{"id":"https://openalex.org/W2017347976","doi":"https://doi.org/10.1093/rfs/hhn062","title":"Information in Equity Markets with Ambiguity-Averse Investors","display_name":"Information in Equity Markets with Ambiguity-Averse Investors","publication_year":2008,"publication_date":"2008-06-27","ids":{"openalex":"https://openalex.org/W2017347976","doi":"https://doi.org/10.1093/rfs/hhn062","mag":"2017347976"},"language":"en","primary_location":{"id":"doi:10.1093/rfs/hhn062","doi":"https://doi.org/10.1093/rfs/hhn062","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/hhn062","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Studies","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/abstract=1468192","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5043947433","display_name":"Judson A. Caskey","orcid":"https://orcid.org/0000-0001-6257-4868","observed_orcids":["https://orcid.org/0000-0001-6257-4868"]},"institutions":[{"id":"https://openalex.org/I161318765","display_name":"University of California, Los Angeles","ror":"https://ror.org/046rm7j60","country_code":"US","type":"education","lineage":["https://openalex.org/I161318765"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Judson A. Caskey","raw_affiliation_strings":["#N#UCLA Anderson School of Management#N#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"#N#UCLA Anderson School of Management#N#","institution_ids":["https://openalex.org/I161318765"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5043947433"],"corresponding_institution_ids":["https://openalex.org/I161318765"],"apc_list":{"value":4028,"currency":"USD","value_usd":4028},"apc_paid":null,"fwci":12.2332,"has_fulltext":false,"cited_by_count":118,"citation_normalized_percentile":{"value":0.98218212,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"22","issue":"9","first_page":"3595","last_page":"3627"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/ambiguity-aversion","display_name":"ambiguity aversion","score":0.9819999933242798},{"id":"https://openalex.org/keywords/mispricing","display_name":"mispricing","score":0.6140000224113464},{"id":"https://openalex.org/keywords/information-aggregation","display_name":"information aggregation","score":0.3630000054836273},{"id":"https://openalex.org/keywords/equilibrium-prices","display_name":"equilibrium prices","score":0.6169999837875366},{"id":"https://openalex.org/keywords/ambiguity-reduction","display_name":"ambiguity reduction","score":0.5989999771118164},{"id":"https://openalex.org/keywords/underreaction","display_name":"underreaction","score":0.8270000219345093},{"id":"https://openalex.org/keywords/post-earnings-announcement-drift","display_name":"post-earnings announcement drift","score":0.8700000047683716},{"id":"https://openalex.org/keywords/momentum","display_name":"momentum","score":0.9259999990463257},{"id":"https://openalex.org/keywords/overreaction","display_name":"overreaction","score":0.7739999890327454},{"id":"https://openalex.org/keywords/accruals","display_name":"accruals","score":0.9739999771118164},{"id":"https://openalex.org/keywords/investor-heterogeneity","display_name":"investor heterogeneity","score":0.4729999899864197}],"concepts":[{"id":"https://openalex.org/C2780522230","wikidata":"https://www.wikidata.org/wiki/Q1140419","display_name":"Ambiguity","level":2,"score":0.907122790813446},{"id":"https://openalex.org/C4577558","wikidata":"https://www.wikidata.org/wiki/Q384475","display_name":"Accrual","level":3,"score":0.6417267322540283},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5351228713989258},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.5344041585922241},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.524371862411499},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4486968517303467},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4260058104991913},{"id":"https://openalex.org/C127447990","wikidata":"https://www.wikidata.org/wiki/Q4741446","display_name":"Ambiguity aversion","level":3,"score":0.42541033029556274},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.4243665635585785},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.35253262519836426},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.34516263008117676},{"id":"https://openalex.org/C2781426361","wikidata":"https://www.wikidata.org/wiki/Q5326940","display_name":"Earnings","level":2,"score":0.2114848792552948},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.11012029647827148},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1093/rfs/hhn062","doi":"https://doi.org/10.1093/rfs/hhn062","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/hhn062","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Studies","raw_type":"journal-article"},{"id":"mag:3125088802","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/abstract=1468192","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"pmh:oai:RePEc:oup:rfinst:v:22:y:2009:i:9:p:3595-3627","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1093/rfs/hhn062","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"mag:3125088802","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/abstract=1468192","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.49000000953674316,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W1499550068","https://openalex.org/W1513649242","https://openalex.org/W1591099623","https://openalex.org/W1596216439","https://openalex.org/W1603240804","https://openalex.org/W1994228146","https://openalex.org/W2006553348","https://openalex.org/W2027047704","https://openalex.org/W2030608640","https://openalex.org/W2038224101","https://openalex.org/W2044683838","https://openalex.org/W2044758379","https://openalex.org/W2045617304","https://openalex.org/W2050495532","https://openalex.org/W2058861354","https://openalex.org/W2067477904","https://openalex.org/W2069107031","https://openalex.org/W2119094949","https://openalex.org/W2122001079","https://openalex.org/W2125520394","https://openalex.org/W2168849258","https://openalex.org/W2323122968","https://openalex.org/W2570834760","https://openalex.org/W2606860516","https://openalex.org/W2991953046","https://openalex.org/W3122592429","https://openalex.org/W3122597312","https://openalex.org/W3123819895","https://openalex.org/W3123993840","https://openalex.org/W3124176564","https://openalex.org/W3124920732","https://openalex.org/W3125078907","https://openalex.org/W3125512896","https://openalex.org/W3125721039","https://openalex.org/W3125980017","https://openalex.org/W3143487701","https://openalex.org/W3205459585","https://openalex.org/W4206439541","https://openalex.org/W4248604735"],"related_works":["https://openalex.org/W4414224129","https://openalex.org/W7134032205","https://openalex.org/W7097977663","https://openalex.org/W3163124615","https://openalex.org/W7096387059","https://openalex.org/W3152589372","https://openalex.org/W1531420034","https://openalex.org/W4242186981","https://openalex.org/W3121712647","https://openalex.org/W4400733571"],"abstract_inverted_index":{"This":[0],"paper":[1],"shows":[2],"that":[3,11,27,59,84],"persistent":[4],"mispricing":[5],"is":[6],"consistent":[7],"with":[8],"a":[9,34],"market":[10],"includes":[12],"ambiguity-averse":[13,17,56],"investors.":[14],"In":[15],"particular,":[16],"investors":[18,57,71],"may":[19,40],"prefer":[20],"to":[21,43,94],"trade":[22],"based":[23],"on":[24,105],"aggregate":[25],"signals":[26],"reduce":[28],"ambiguity":[29,63],"at":[30],"the":[31,60,66],"cost":[32,67],"of":[33,62,68,107],"loss":[35],"in":[36,86],"information.":[37,47,75],"Equilibrium":[38],"prices":[39],"therefore":[41],"fail":[42],"impound":[44],"publicly":[45],"available":[46],"While":[48],"this":[49],"creates":[50],"profit":[51],"opportunities":[52],"for":[53,110],"ambiguity-neutral":[54],"investors,":[55],"perceive":[58],"benefit":[61],"reduction":[64],"outweighs":[65],"trading":[69],"against":[70],"who":[72],"have":[73],"superior":[74],"The":[76,97,108],"model":[77],"can":[78],"explain":[79],"both":[80],"underreaction,":[81],"such":[82],"as":[83],"evident":[85],"postearnings":[87],"announcement":[88],"drifts":[89],"and":[90,92],"momentum,":[91],"overreaction":[93],"accounting":[95],"accruals.":[96],"Author":[98],"2008.":[99],"Published":[100],"by":[101],"Oxford":[102,121],"University":[103,122],"Press":[104],"behalf":[106],"Society":[109],"Financial":[111],"Studies.":[112],"All":[113],"rights":[114],"reserved.":[115],"For":[116],"Permissions,":[117],"please":[118],"email:":[119],"journals.permissions@oxfordjournals.org,":[120],"Press.":[123]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":7},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":8},{"year":2017,"cited_by_count":10},{"year":2016,"cited_by_count":7},{"year":2015,"cited_by_count":7},{"year":2014,"cited_by_count":10},{"year":2013,"cited_by_count":10},{"year":2012,"cited_by_count":9}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
