题目：Asset Pricing with Ambiguous Signals: An Experiment
主讲人：Jiahua Zhu 新加坡南洋理工大学博士后
This paper explores how ambiguous signals and ambiguity aversion influence individuals' expectations and the pricing of asset in experimental financial markets. In line with the theory of Epstein and Schneider (2008), we find that subjects' degree of ambiguity aversion is positively correlated with their expectations about the variance of ambiguous signals. These signals matter for the determination of asset prices. We find that price volatility is significantly larger under ambiguous signals. Our findings provide evidence in support of the idea that ambiguous information and ambiguity aversion may be a source of excess volatility in financial markets.
Jiahua Zhu is a postdoc at Nanyang Technological University in Singapore where she received Ph.D in economics. Her research focuses on experimental economics, experimental Finance, and behavioral economics, and her publication appears in Journal of Economic Behavior & Organization.