Abstract

http://ssrn.com/abstract=2154383
 
 

Citations (2)



 


 



The Pricing Effects of Ambiguous Private Information


Scott Condie


Brigham Young University - Department of Economics

Jayant V. Ganguli


University of Essex - Department of Economics

December 18, 2015


Abstract:     
When private information is observed by ambiguity averse investors, asset prices may be informationally inefficient in rational expectations equilibrium. This inefficiency implies lower asset prices as uninformed investors require a premium to hold assets. Asset returns are negatively skewed and may be leptokurtic. Inefficiency also leads to amplification in price of small changes in news, relative to benchmarks where there is no informational inefficiency. Public information affects the nature of unrevealed private information and the informational inefficiency of prices. Asset prices can fall (rise) when good (bad) public information is observed.

Number of Pages in PDF File: 61

Keywords: ambiguity, partial revelation, asset pricing

JEL Classification: G1, G12, G14


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Date posted: September 30, 2012 ; Last revised: December 19, 2015

Suggested Citation

Condie, Scott and Ganguli, Jayant V., The Pricing Effects of Ambiguous Private Information (December 18, 2015). Available at SSRN: http://ssrn.com/abstract=2154383 or http://dx.doi.org/10.2139/ssrn.2154383

Contact Information

Scott Condie (Contact Author)
Brigham Young University - Department of Economics ( email )
130 Faculty Office Bldg.
Provo, UT 84602-2363
United States
Jayant V. Ganguli
University of Essex - Department of Economics ( email )
Wivenhoe Park
Colchester CO4 3SQ
United Kingdom
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