Reaction to public information in markets: how much does ambiguity matter?

Article

Corgnet, B., Kujal, P. and Porter, D. 2012. Reaction to public information in markets: how much does ambiguity matter? The Economic Journal. 123 (569), pp. 699-737. https://doi.org/10.1111/j.1468-0297.2012.02557.x
TypeArticle
TitleReaction to public information in markets: how much does ambiguity matter?
AuthorsCorgnet, B., Kujal, P. and Porter, D.
Abstract

In this article, we experimentally study trader reaction to ambiguity when dividend information is revealed sequentially. Our results indicate that the role of ambiguity aversion in explaining financial anomalies is limited. Specifically, price changes are consistent with news revelation regarding the dividend, independent of subject experience and the degree of ambiguity. In addition, there is no under or overprice reactions to news. Regardless of experience, market reaction to news moves in line with fundamentals. We find no significant differences in the control versus ambiguity treatments regarding prices, price volatility and trading volume for experienced subjects.

PublisherRoyal Economic Society
JournalThe Economic Journal
ISSN0013-0133
Publication process dates
Deposited18 Sep 2013
Output statusPublished
Digital Object Identifier (DOI)https://doi.org/10.1111/j.1468-0297.2012.02557.x
LanguageEnglish
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