À繫¿¬±¸ Á¦ ±Ç È£ (2015³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.91~104
pp.91~104
Asset Market Equilibrium with Information Acquisition under Ambiguity
Guangsug Hahn Division of Humanities and Social Sciences, POSTECH, Korea
Joon Yeop Kwon Graduate Program for Technology and Innovation Management, POSTECH, Korea
The paper investigates the effects of ambiguity on asset prices when all traders face ambiguous information about the variance of the true value in the ex ante stage and they can observe the true value at some costs. To do this, we adopt the model of Grossman and Stiglitz (1980) and assume that uninformed traders face ambiguous information. It is found that traders who will purchase information about the true value consider the lowest variance of the true value as their worst case scenario in the ex ante stage. Meanwhile, traders who will remain uninformed consider the maximum variance of the true value as their worst case scenario both in the ex ante and interim stage. We also find that the value of information increases due to existence of ambiguous information.
Guangsug Hahn
Joon Yeop Kwon
The paper investigates the effects of ambiguity on asset prices when all traders face ambiguous information about the variance of the true value in the ex ante stage and they can observe the true value at some costs. To do this, we adopt the model of Grossman and Stiglitz (1980) and assume that uninformed traders face ambiguous information. It is found that traders who will purchase information about the true value consider the lowest variance of the true value as their worst case scenario in the ex ante stage. Meanwhile, traders who will remain uninformed consider the maximum variance of the true value as their worst case scenario both in the ex ante and interim stage. We also find that the value of information increases due to existence of ambiguous information.
ambiguity,ambiguity premium,risk aversion,excess volatility,asymmetric information