Reaction to Public Information in Markets: How much does Ambiguity Matter?
通过实验研究股息信息逐步披露时交易者对模糊性的反应，发现模糊厌恶对解释金融异常的作用有限，价格变化与基本面一致，且经验不影响结果。
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.