TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
研究了市场中资产模糊性和投资者模糊厌恶程度均存在差异时，公共信息到达如何影响投资组合选择和交易行为，发现与标准理论预测的系统性偏离，并统一解释了资产配置谜题、盈利公告后交易量激增而价格变动小等现象。
Abstract We consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity‐averse investors whose preferences are a parsimonious extension of the mean–variance framework. We study portfolio choice and trade upon arrival of public information, and show systematic departures from the predictions of standard theory, that occur in the direction of empirical regularities. In particular, our theory speaks to several phenomena in a unified fashion: the asset allocation puzzle, the observation that earnings announcements are followed by significant trading volume with small price change, and that increases in uncertainty are positively associated with increased trading activity and portfolio rebalancing toward safer assets.