Paper Title :Coarse Information Raises up Price Volatility
Author :Guangsug Hahn, Joon Yeop Kwon
Article Citation :Guangsug Hahn ,Joon Yeop Kwon ,
(2018 ) " Coarse Information Raises up Price Volatility " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 1-8,
Volume-4,Issue-9
Abstract : This paper investigates effects of coarse information on the variability of asset prices by assuming that
uninformed traders face ambiguity in the model of Grossman and Stiglitz (1980). We find that risk aversion plays
a dominant role in generating excess volatility compared to coarse information. If the degree of risk aversion is
sufficiently low, excess volatility does not arise, even when the degree of ambiguity is extremely high. On the
contrary, if traders are sufficiently risk-averse, excess volatility occurs irrespective of ambiguity. When traders are
moderately risk-averse, ambiguity makes excess volatility more likely.
Keywords - Asymmetric information; coarse information; risk aversion
Type : Research paper
Published : Volume-4,Issue-9
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-13644
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Published on 2018-11-23 |
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