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http://ssrn.com/abstract=2154383
 
 

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The Pricing Effects of Ambiguous Private Information


Scott Condie


Brigham Young University - Department of Economics

Jayant V. Ganguli


University of Essex - Department of Economics

July 14, 2014


Abstract:     
Ambiguous private information leads to informational inefficiency of asset prices in rational expectations equilibrium. This inefficiency implies lower asset price as uninformed traders require a premium to hold assets. This premium is increasing in the riskiness of the asset. The market exhibits excess volatility, price swings, and relatively large volatility variation and illiquidity variation as measured by price sensitivity variation across informational efficiency regimes. Public information affects the informational efficiency of price and can also lead to relatively large changes in volatility and illiquidity.

Number of Pages in PDF File: 45

Keywords: ambiguity, partial revelation, asset pricing

JEL Classification: G1, G12, G14

working papers series


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Date posted: September 30, 2012 ; Last revised: July 15, 2014

Suggested Citation

Condie, Scott and Ganguli, Jayant V., The Pricing Effects of Ambiguous Private Information (July 14, 2014). 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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