Ambiguity and private investors’ behavior after forced fund liquidations
利用德国券商强制基金清算事件，研究发现模糊性低时投资者会再投资87%的退款，模糊性高时则完全不投资，转而持有现金，且该效应在约六个月后反转。
We investigate individual investors' decisions under time-varying ambiguity (VVIX) using plausibly exogenous forced mutual fund liquidations at a German brokerage. Investors reinvest 87% of forced liquidations when the refund occurs on a day of low ambiguity and 0% when it occurs on a day of high ambiguity. Instead of reinvesting, investors become inert and keep the refund in their cash holdings. The effect reverses approximately six months after the liquidation. If investors reinvest, they decrease their risk-taking under ambiguity. Our results are not driven by risk, rebalancing decisions, experiencing losses, or attention and are robust to alternative measures of ambiguity.