Information Inertia

被引：13
|
作者：
Illeditsch, Philipp K. [1 ]
Ganguli, Jayant V. [2 ]
Condie, Scott [3 ]
机构：
[1] Texas A&M Univ, Mays Business Sch, Wehner Bldg, College Stn, TX 77843 USA
[2] Univ Essex, Dept Econ, Colchester, Essex, England
[3] Brigham Young Univ, Dept Econ, Provo, UT 84602 USA
来源：
JOURNAL OF FINANCE | 2021年 / 76卷 / 01期
关键词：
EARNINGS-ANNOUNCEMENT DRIFT; STOCK RETURNS; ANALYSTS FORECASTS; PORTFOLIO INERTIA; AMBIGUITY; MARKETS; UNCERTAINTY; ATTENTION; RISK; PREFERENCES;
D O I：
10.1111/jofi.12979
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk-neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e.g., after earnings announcements) and is consistent with low household trading activity. An ambiguity premium helps explain the macro and earnings announcement premium.
引用
收藏
页码：443 / 479
页数：37
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