Access the full text.
Sign up today, get DeepDyve free for 14 days.
D. Ellsberg (1961)
Decision, probability, and utility: Risk, ambiguity, and the Savage axioms
F. Zhang (2007)
Accruals, Investment, and the Accrual AnomalyOrganizations & Markets eJournal
Robert Verrecchia (1982)
Information Acquisition in a Noisy Rational Expectations EconomyEconometrica, 50
Paul Milgrom, Nancy Stokey (1982)
Information, Trade, and Common KnowledgeJournal of Economic Theory, 26
F. Knight (2009)
The economic nature of the firm: From Risk, Uncertainty, and Profit
D. Easley, Maureen Johnson (2004)
Regulation and Return : The Role of Ambiguity
John Hughes, Jing Liu, Jun Liu (2004)
Information, Diversification, and Cost of CapitalFinancial Accounting eJournal
P. Fairfield, J. Whisenant, T. Yohn (2003)
Accrued Earnings and Growth: Implications for Future Profitability and Market MispricingAccounting review: A quarterly journal of the American Accounting Association, 78
I. Gilboa, D. Schmeidler (1989)
Maxmin Expected Utility with Non-Unique PriorJournal of Mathematical Economics, 18
Larry Epstein, Martin Schneider (2008)
Ambiguity, Information Quality and Asset PricingJournal of Finance, 63
C. Huh (1990)
The equity risk-premium puzzleFRBSF Economic Letter
Chenghu Ma (2001)
A No-Trade Theorem under Knightian Uncertainty with General PreferencesTheory and Decision, 51
Sanford Grossman (1980)
On the Impossibility of Informationally Efficient MarketsERN: Efficient Market Hypothesis Models (Topic)
M. Spiegel, A. Subrahmanyam (1992)
Informed Speculation and Hedging in a Noncompetitive Securities MarketReview of Financial Studies, 5
James Dow, S. Werlang (1992)
Uncertainty Aversion, Risk Aversion, and the Optimal Choice of PortfolioEconometrica, 60
(2006)
A Model of Recursive Smooth Ambiguity Preferences Working paper
Richard Lambert, C. Leuz, Robert Verrecchia (2008)
Information Asymmetry, Information Precision, and the Cost of CapitalCorporate Finance: Valuation
Peter Klibanoff, M. Marinacci, Sujoy Mukerji (2003)
A Smooth Model of Decision Making Under AmbiguityDecisionSciRN: Rational Decision-Making (Topic)
N. Barberis, R. Thaler (2002)
A Survey of Behavioral FinanceBehavioral & Experimental Finance
Narasimhan Jegadeesh, S. Titman (1993)
Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyJournal of Finance, 48
Larry Epstein, Tan Wang (1994)
Intertemporal Asset Pricing Under Knightian UncertaintyEconometrica, 62
Kathryn Jost (2007)
Disagreement, Tastes, and Asset PricesCfa Digest, 37
E. Karni, D. Schmeidler (1991)
Utility theory with uncertaintyHandbook of Mathematical Economics, 4
C. Gollier (2008)
Does ambiguity aversion reinforce risk aversion? Applications to portfolio choices and asset prices
John Hughes, Jing Liu, Jun Liu (2007)
Information Asymmetry, Diversification, and Cost of CapitalThe Accounting Review, 82
R. Dye, S. Sridhar (2004)
Reliability-Relevance Trade-Offs and the Efficiency of AggregationConsequences of Leadership eJournal
V. Bernard, Jacob Thomas (1990)
Evidence that stock prices do not fully reflect the implications of current earnings for future earningsJournal of Accounting and Economics, 13
Zvi Safra, Eyal Sulganik (1995)
On the nonexistence of Blackwell's theorem-type results with general preference relationsJournal of Risk and Uncertainty, 10
V. Bernard, Jacob Thomas (1989)
POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUMJournal of Accounting Research, 27
Guohua Jiang, Charles Lee, Yi Zhang (2004)
Information Uncertainty and Expected ReturnsReview of Accounting Studies, 10
N. Mankiw, S. Zeldes (1990)
The Consumption of Stockholders and Non-StockholdersCapital Markets: Asset Pricing & Valuation eJournal
H. Arry, M. Ma, R. Z (1990)
FOUNDATIONS OF PORTFOLIO THEORY
J. Siegel, R. Thaler (2001)
The Equity Premium Puzzle
F. Zhang (2004)
Information Uncertainty and Stock ReturnsBehavioral & Experimental Finance
Richard Sloan (1998)
Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future EarningsThe Accounting Review, 71
H. Cao, Harold Zhang, Tan Wang (2003)
Model Uncertainty, Limited Market Participation and Asset PricesEuropean Finance Association Meetings (EFA) (Archive)
Evan Anderson, Eric Ghysels, Jennifer Juergens (2009)
The impact of risk and uncertainty on expected returns.Journal of Financial Economics, 94
Maureen O'Hara, D. Easley (2001)
Information and the Cost of CapitalCorporate Finance: Valuation
D. Blackwell (1953)
Equivalent Comparisons of ExperimentsAnnals of Mathematical Statistics, 24
This paper shows that persistent mispricing is consistent with a market that includes ambiguity-averse investors. In particular, ambiguity-averse investors may prefer to trade based on aggregate signals that reduce ambiguity at the cost of a loss in information. Equilibrium prices may therefore fail to impound publicly available information. While this creates profit opportunities for ambiguity-neutral investors, ambiguity-averse investors perceive that the benefit of ambiguity reduction outweighs the cost of trading against investors who have superior information. The model can explain both underreaction, such as that evident in postearnings announcement drifts and momentum, and overreaction to accounting accruals.
The Review of Financial Studies – Oxford University Press
Published: Sep 27, 2009
Keywords: JEL Classification D81 G11 G14
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.