Ambiguity, Information Quality, and Asset Pricing
当厌恶模糊性的投资者处理质量不确定的新闻时，他们对坏消息反应强于好消息，且不喜欢信息质量差的资产，这导致资产定价中出现模糊性溢价，并受基本面特质风险和收益偏度影响。
ABSTRACT When ambiguity‐averse investors process news of uncertain quality, they act as if they take a worst‐case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent negative effects on prices even if fundamentals do not change.