Reaction to Public Information in Markets: How much does Ambiguity Matter?*. (20th December 2012)

• Record Type: Journal Article
• Authors: Corgnet, Brice; Kujal, Praveen; Porter, David
• Is Part Of: Economic journal. Volume 123:Number 569(2013)
• Page Start: 699
• Page End: 737
• Publication Date: 2012-12-20
• Subjects: Economics -- Periodicals; Économie politique -- Périodiques; 330.05
• DOI: 10.1111/j.1468-0297.2012.02557.x
• Languages: English
• ISSNs: 0013-0133

Abstract

<abstract abstract-type="main" xml:lang="en"> <title> <x xml:space="preserve">Abstract</x> </title> <p>In this article, we experimentally study trader reaction to ambiguity when dividend information is revealed sequentially. Our results indicate that the role of ambiguity aversion in explaining financial anomalies is limited. Specifically, price changes are consistent with news revelation regarding the dividend, independent of subject experience and the degree of ambiguity. In addition, there is no under or overprice reactions to news. Regardless of experience, market reaction to news moves in line with fundamentals. We find no significant differences in the control <italic>versus</italic> ambiguity treatments regarding prices, price volatility and trading volume for experienced subjects.</p> </abstract>