Corresponding author: Praveen Kujal, Department of Economics, Universidad Carlos III de Madrid, C./Madrid, 126, Getafe 28903, Madrid, Spain. Email: email@example.com.
Reaction to Public Information in Markets: How much does Ambiguity Matter?*
Article first published online: 20 DEC 2012
© 2012 The Author(s). The Economic Journal © 2012 Royal Economic Society
The Economic Journal
Volume 123, Issue 569, pages 699–737, June 2013
How to Cite
Corgnet, B., Kujal, P. and Porter, D. (2013), Reaction to Public Information in Markets: How much does Ambiguity Matter?. The Economic Journal, 123: 699–737. doi: 10.1111/j.1468-0297.2012.02557.x
The authors acknowledge financial support from grant ECO2008-00977 and 2012/00103/001 from the Spanish Ministry of Education. Kujal acknowledges financial support from the Instituto Universitario de Economía, Consolider-Ingenio 2010 and the Comunidad de Madrid (grant Excelecon).
- Issue published online: 7 JUN 2013
- Article first published online: 20 DEC 2012
- Accepted manuscript online: 20 AUG 2012 09:46AM EST
- Submitted: 17 March 2011 Accepted: 20 May 2012
In this article, we experimentally study trader reaction to ambiguity when dividend information is revealed sequentially. Our results indicate that the role of ambiguity aversion in explaining financial anomalies is limited. Specifically, price changes are consistent with news revelation regarding the dividend, independent of subject experience and the degree of ambiguity. In addition, there is no under or overprice reactions to news. Regardless of experience, market reaction to news moves in line with fundamentals. We find no significant differences in the control versus ambiguity treatments regarding prices, price volatility and trading volume for experienced subjects.