Information in Equity Markets with Ambiguity-Averse Investors
证明，当市场中有模糊厌恶投资者时，价格可能持续偏离合理水平，因为这类投资者宁愿用模糊度较低的汇总信号交易，即使损失信息。模型能解释盈余公告后漂移、动量等反应不足，以及对应计利润的过度反应。
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 Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.