Information in Equity Markets with Ambiguity-Averse Investors

By Judson Caskey. 2009

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e112cdd75e72a8327daaa12881313e252f02427

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Citations in the corpus

Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, unknown): “In Section 6, we study the scope of the augmented mean-variance model (6) via a portfolio allocation exercise.”
Ambiguity and Asset Markets (2010, background): “Ozsoylev & Werner (2009) and Caskey (2009) study the response of prices to shocks when ambiguity-averse agents interact with SEU traders and noise traders.”
Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis (2009, background): “Thus, persistent mispricing might occur when there are ambiguity-averse investors in the market (Caskey 2008).”
Uncertainty, Information Acquisition and Price Swings in Asset Markets (2015, background): “The literature on the impact of Knightian uncertainty and ambiguity aversion on asset prices is expanding at a fast pace (e.g., Epstein and Wang, 1994, 1995; Uppal and Wang, 2003; Maenhout, 2004; Cao, Wang and Zhang, 2005; Caballero and Krishnamurthy, 2008; Epstein and Schneider, 2008; Hansen and Sa”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “For instance, using a model characterized by both ambiguity averse and SEU agents, Caskey (2009) has shown that mispricings may occur because ambiguity averse investors may prefer to reduce the perceived ambiguity using aggregate signals, even at the cost of losing some of the available information.”
Asymmetric Responses to Earnings News: A Case for Ambiguity (2015, unknown): “In Caskey (2008), ambiguity-averse traders choose aggregated information to mitigate ambiguity, while Bayesian traders choose disaggregated signals.”
Ambiguous Information, Portfolio Inertia, and Excess Volatility (2011, background): “For instance, Caskey (2009) studies how the aggregation of information affects equity prices when some investors are standard expected utility maximizers and some have smooth ambiguity aversion preferences.”
Textual risk disclosures and investors’ risk perceptions (2013, unknown): “and above the effect of traditional risk factors (Barry and Brown 1985; Epstein and Schneider 2008; Caskey 2009).”