EconPapers    
Economics at your fingertips  
 

Information Inertia

Jayant Ganguli, S Condie and Pk Illeditsch

Economics Discussion Papers from University of Essex, Department of Economics

Abstract: We study how information about an asset affects optimal portfolios and equilibrium asset prices when investors are not sure about the model that predicts future asset values and thus treat the information as ambiguous. We show that this ambiguity leads to optimal portfolios that are insensitive to news even though there are no information processing costs or other market frictions. In equilibrium, we show that stock prices may not react to public information that is worse than expected and this mispricing of bad news leads to profitable trading strategies based on public information.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://repository.essex.ac.uk/5628/ original version (application/pdf)

Related works:
Journal Article: Information Inertia (2021) Downloads
Working Paper: Information Inertia (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:esx:essedp:5628

Ordering information: This working paper can be ordered from
Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
ueco@essex.ac.uk

Access Statistics for this paper

More papers in Economics Discussion Papers from University of Essex, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Essex Economics Web Manager (econoweb@essex.ac.uk).

 
Page updated 2024-12-28
Handle: RePEc:esx:essedp:5628