English, Article, Journal or magazine article edition: Ambiguity, Information Acquisition and Price Swings in Asset Markets Antonio Mele; Francesco Sangiorgi

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Bookmark: http://trove.nla.gov.au/version/1896
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Ambiguity, Information Acquisition and Price Swings in Asset Markets
Author
  • Antonio Mele
  • Francesco Sangiorgi
Physical Description
  • preprint
Notes
  • This paper studies asset markets in which ambiguity averse investors face Knightian uncertainty about expected payoffs. The same investors, however, might wish to resolve their uncertainty, although not risk, by just purchasing information. In these markets, uninformed and, hence, ambiguity averse, agents may coexist with informed agents, as a result of a rational information acquisition process. Moreover, there are complementaries in information acquisition, multiplicity of equilibria, history-dependent prices, and large price swings occurring after small changes in the uncertainty surrounding the asset expected payoffs. Our model suggests the importance of uncertainty, as a new channel for episodes of extreme price volatility, media frenzies and media glooms.
  • RePEc:fmg:fmgdps:dp633
Language
  • English
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