Ambiguity and Nonparticipation: The Role of Regulation
研究模糊厌恶如何导致部分交易者不参与市场，并分析监管（尤其是对罕见事件的监管）如何缓解模糊性、提高参与率并增进福利。
We investigate the implications of ambiguity aversion for performance and regulation of markets. In our model, agents' decision making may incorporate both risk and ambiguity, and we demonstrate that nonparticipation arises from the rational decision by some traders to avoid ambiguity. In equilibrium, these participation decisions affect the equilibrium risk premium, and distort market performance when viewed from the perspective of traditional asset pricing models. We demonstrate how regulation, particularly regulation of unlikely events, can moderate the effects of ambiguity, thereby increasing participation and generating welfare gains. Our analysis demonstrates how legal systems affect participation in financial markets through their influence on ambiguity. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.