재무연구 제 권 호 (2014년 5월)
Asian Review of Financial Research, Vol., No..
pp.1849~1867
pp.1849~1867
Ambiguity, Risk Aversion, and Excess Volatility under Asymmetric Information
Guangsug Hahn Division of Humanities and Social Sciences, POSTECH
Joon Yeop Kwon Graduate Program for Technology and Innovation Management, POSTECH
The paper investigates how the degree of ambiguity and risk aversion affect excess volatility in asset markets. Assuming that uninformed traders have multiple beliefs about asset payoff in the model of Grossman and Stiglitz (1980), we analyze asset market equilibrium under asymmetric information. We show that both risk aversion and ambiguity play important roles of explaining excess volatility in asset market equilibrium.
Guangsug Hahn
Joon Yeop Kwon
The paper investigates how the degree of ambiguity and risk aversion affect excess volatility in asset markets. Assuming that uninformed traders have multiple beliefs about asset payoff in the model of Grossman and Stiglitz (1980), we analyze asset market equilibrium under asymmetric information. We show that both risk aversion and ambiguity play important roles of explaining excess volatility in asset market equilibrium.
