RT Generic
T1 Reaction to public information in asset markets: does ambiguity matter?
A1 Corgnet, Brice
A1 Kujal, Praveen
A1 Porter, David
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB We report experiments that examine trader reaction to ambiguity when dividend information is revealed sequentially. We find that experienced traders are better at internalizing ambiguity than inexperienced subjects. No significant differences are observed in the ambiguity versus control treatments regarding prices, price volatility and volumes for experienced subjects. However, relative to the control, prices are higher, volatility greater and trading unsophisticated for inexperienced subjects in the ambiguity treatment. Price changes are consistent with news revelation regardless of subject experience and the degree of ambiguity. Further, we do not find under or over price reactions to news. Regardless of experience, market reaction to news moves in line with fundamentals.
SN 2340-5031
YR 2010
FD 2010-10
LK https://hdl.handle.net/10016/9405
UL https://hdl.handle.net/10016/9405
LA eng
DS e-Archivo
RD 1 sept. 2024