The “two sessions”: institutional investors selloff to avoid ambiguity

Abstract We construct a model to examine the time-varying ambiguity of investors. When ambiguity occurs concerning recent news, long (short) position investors who are averse to ambiguity reduce (increase) their holdings, resulting in price drops (rises). We empirically analyze how the “two sessions...

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Bibliographic Details
Main Authors: Jiarui Wang, Haijun Yang, Shancun Liu
Format: Article
Language:English
Published: SpringerOpen 2025-02-01
Series:Financial Innovation
Subjects:
Online Access:https://doi.org/10.1186/s40854-024-00711-6
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