Ambiguous Information, Portfolio Inertia, and Excess Volatility
研究了当投资者收到难以与基本面挂钩的信息时，风险和模糊性对最优投资组合及均衡资产价格的影响，发现投资者对冲模糊性的动机会导致投资组合惰性和过度波动。
ABSTRACT I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, investors may not react to price changes even if there are no transaction costs or other market frictions. Moreover, I show that small shocks to cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess volatility.