Information Inertia
研究发现，投资者对风险和模糊性的厌恶会导致他们在处理公共新闻时产生信息惯性，即最优投资组合并不总是根据坏消息调整，从而造成股价信息效率低下，这有助于解释新闻动量、低交易活动以及宏观和盈余公告溢价。
ABSTRACT We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk‐neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e.g., after earnings announcements) and is consistent with low household trading activity. An ambiguity premium helps explain the macro and earnings announcement premium.