Reaction to Public Information in Markets: How much does Ambiguity Matter?

Brice Corgnet, Praveen Kujal and David Porter

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Abstract: In this article, we experimentally study trader reaction to ambiguity when dividend information is revealed sequentially. Our results indicate that the role of ambiguity aversion in explaining financial anomalies is limited. Specifically, price changes are consistent with news revelation regarding the dividend, independent of subject experience and the degree of ambiguity. In addition, there is no under or overprice reactions to news. Regardless of experience, market reaction to news moves in line with fundamentals. We find no significant differences in the control versus ambiguity treatments regarding prices, price volatility and trading volume for experienced subjects.

Date: 2013-06-01
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Citations: View citations in EconPapers (18)

Published in The Economic Journal, 2013, 123 (569), 699-737 p. ⟨10.1111/j.1468-0297.2012.02557.x⟩

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Related works:
Journal Article: Reaction to Public Information in Markets: How much does Ambiguity Matter? (2013)
Working Paper: Reaction to Public Information in Markets: How Much Does Ambiguity Matter? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02311957

DOI: 10.1111/j.1468-0297.2012.02557.x

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