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Information in Equity Markets with Ambiguity-Averse Investors

Caskey, Judson - 2010

This paper shows that persistent mispricing is consistent with a market that includes ambiguity-averse investors. In particular, ambiguity-averse investors may prefer to trade based on aggregate signals that reduce ambiguity at the cost of a loss in information. Equilibrium prices may therefore...

Persistent link: https://www.econbiz.de/10013151013

When does attention matter? : the effect of investor attention on stock market volatility around news releases

Ballinari, Daniele; Audrino, Francesco; Sigrist, Fabio - In: International review of financial analysis 82 (2022), pp. 1-28

Persistent link: https://www.econbiz.de/10013431147

News, Institutional Investors’Limited Attention, and Stock Market Reaction

chen, shaoling; Wu, Jun; Liang, Weijuan; Yang, Haisheng - 2022

This study takes news observations of Chinese listed companies from 2006 to 2017 as a sample to explore how the stock market responds to news. From the perspective of limited attention, we shed light on the role of institutional investors in the above reaction mechanism. The findings suggest...

Persistent link: https://www.econbiz.de/10013404316

News, Institutional Investors' Limited Attention and Stock Market Reaction

Wu, Jun; chen, shaoling; Liang, Weijuan; Yang, Haisheng - 2023

This study explores the Chinese stock market's response to news shocks. The results show that: (1) institutional investors pay over-attention to positive news shocks but insufficient attention to negative news shocks, which cause the asymmetric reaction of the stock market directly; (2) the...

Persistent link: https://www.econbiz.de/10014353776

Sustainable success : how high ESG ratings affect stock market responses to earnings surprises

Wang, Renxuan; Wang, Xuewu; Yan, Zhipeng - In: Finance research letters 62 (2024) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10014530782

Do local investors always know better? : evidence from China's market segmentation

Cao, Sean Shun; Ma, Tao; Wan, Chi - In: Accounting horizons : a quarterly publication of the … 33 (2019) 1, pp. 17-37

Persistent link: https://www.econbiz.de/10012121877

The impact of religious certification on market segmentation and investor recognition

Alhomaidi, Asem; Hassan, M. Kabir; Hippler, William J.; … - In: The journal of corporate finance : contracting, … 55 (2019), pp. 28-48

Persistent link: https://www.econbiz.de/10011996531

Market segmentation, information asymmetry and investor responses in the Chinese A- and B-markets

Yao, Juan - In: Australasian accounting business and finance journal : AABF 8 (2014) 1, pp. 79-100

Persistent link: https://www.econbiz.de/10010520038

Effect of interest rate changes and dividend announcements on stock returns : evidence from a frontier economy

Hasan, Fakhrul; Kayani, Umar Nawaz; Abdel-Razzaq, Assim … - In: Pakistan journal of commerce and social sciences 16 (2022) 4, pp. 639-659

This paper is motivated from previous work in the area of bank interest rate and dividend policy, and we went further … to figure out whether there is any association between interest rate changes and the stock market's reaction to dividend … savings interest rate and dividend increase stock market react positively and our result show that stock market react …

Persistent link: https://www.econbiz.de/10013550309

Public information in fragmented markets

Storkenmaier, Andreas; Wagener, Martin; Weinhardt, Christof - In: Financial markets and portfolio management 26 (2012) 2, pp. 179-215

Persistent link: https://www.econbiz.de/10009553650

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