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https://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

October 13, 2016


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 and higher return volatility relative to informationally efficient benchmarks. Moreover, asset returns are negatively skewed and may be leptokurtic. Inefficiency also leads to amplification in price of small changes in news, relative to informationally efficient benchmarks. Public information affects the nature of unrevealed private infor-
mation and the informational inefficiency of prices. Asset prices may be lower (higher) with good (bad) public information.

Number of Pages in PDF File: 69

Keywords: ambiguity, partial revelation, asset pricing

JEL Classification: G1, G12, G14


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Date posted: September 30, 2012 ; Last revised: October 18, 2016

Suggested Citation

Condie, Scott and Ganguli, Jayant V., The Pricing Effects of Ambiguous Private Information (October 13, 2016). Available at SSRN: https://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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