RATIONAL INVESTORS' REACTION TO UNCERTAINTY: EVIDENCE FROM THE WORLD'S MAJOR MARKETS
研究全球主要市场中理性投资者对意外信息的反应，实证结果支持不确定信息假说，并发现投资者因事件后波动增加而获得补偿。
This paper examines the reaction of rational investors to unexpected information across the world's major markets. The empirical results provide considerable support for the Uncertain Information Hypothesis and limited support for the Overreaction Hypothesis. In addition, it is found that investors are compensated for post‐event increased volatility across these major markets.