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1、InformationinEquityMarketswithAmbiguity-AverseInvestorsJudsonA.CaskeyUCLA,AndersonSchoolofManagementThispapershowsthatpersistentmispricingisconsistentwithamarketthatincludesambiguity-averseinvestors.Inparticular,ambiguity-averseinvestorsmayprefertotradeDownloa
2、dedfrombasedonaggregatesignalsthatreduceambiguityatthecostofalossininformation.Equilib-riumpricesmaythereforefailtoimpoundpubliclyavailableinformation.Whilethiscreatesprofitopportunitiesforambiguity-neutralinvestors,ambiguity-averseinvestorsperceivethatthebenefi
3、tofambiguityreductionoutweighsthecostoftradingagainstinvestorswhohavesuperiorinformation.Themodelcanexplainbothunderreaction,suchasthatevidentinpostearningsannouncementdriftsandmomentum,andoverreactiontoaccountingaccruals.http://rfs.oxfordjournals.org/(JELD81,
4、G11,G14)Thisstudyexamineshowtheaggregationofinformationaffectsequitypriceswhensomeinvestorsareambiguity-averse,whileothershavepreferencesthatsatisfytheSavage(1954)axioms(hereafterSavageinvestors).1Ambiguityaversionreferstoadistasteforuncertaintyaboutthejointdi
5、stributionofinfor-mativesignalsandsecuritypayoffs.2Thispaperdemonstratesthatambiguityaversioncancauseinvestorstopreferaggregateinformationevenwhentheag-atUniversityofVirginiaonDecember3,2012gregatesignalisnotasufficientstatisticforitscomponents,andthereforeenta
6、ilsalossofinformationinaBlackwell(1953)sense.WhereasSavageinvestorsweaklypreferanaggregatesignalonlyifitisasufficientstatisticforitscom-ponents,ambiguity-averseinvestorsarewillingtotradestatisticalsufficiencyforareductioninambiguity.Itispossibleforaggregatesigna
7、lsthatdeviatefromsufficiencytoprovidegreaterreductionsinambiguitythanthosethatdonot.Asaconsequence,ambiguity-averseinvestors’preferenceforaggregateThispaperisbasedonmydissertationattheUniversityofMichigan’sStephenM.RossSchoolofBusiness.Iwouldliketothankmydisser
8、tationcommitteemembersIliaDichev,RaffiIndjejikian(chair),RussellLundholm,M.P.Narayanan,andEmreOzdenoren.IamgratefulforcommentsfromMichelleHanlon,JackHughes,DavidHirshleifer,JingLiu,
