Ni, Shawn; Ratti, Ronald A. - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-41, pp. 1-22
We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the...
