Uncertainty, Information Acquisition, and Price Swings in Asset Markets
分析了在奈特不确定性下，资产市场中投资者获取信息的成本与收益，发现不确定性厌恶导致信息获取决策成为战略互补，引发多重均衡，信息需求的快速变化可导致价格大幅波动。
This article analyses costly information acquisition in asset markets with Knightian uncertainty about the asset fundamentals. In these markets, acquiring information not only reduces the expected variability of the fundamentals for a given distribution (i.e. risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack knowledge of this distribution cannot correctly interpret the information other investors impound into the price. We show that, due to uncertainty aversion, the incentives to reduce uncertainty by acquiring information increase as more investors acquire information. When uncertainty is high enough, information acquisition decisions become strategic complements and lead to multiple equilibria. Swift changes in information demand can drive large price swings even after small changes in Knightian uncertainty.