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Ambiguous Information, Portfolio Inertia, and Excess Volatility

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  • PHILIPP KARL ILLEDITSCH

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  • Philipp Karl Illeditsch, 2011. "Ambiguous Information, Portfolio Inertia, and Excess Volatility," Journal of Finance, American Finance Association, vol. 66(6), pages 2213-2247, December.
  • Handle: RePEc:bla:jfinan:v:66:y:2011:i:6:p:2213-2247
    DOI: j.1540-6261.2011.01693.x
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    File URL: http://hdl.handle.net/10.1111/j.1540-6261.2011.01693.x
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    Citations

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    Cited by:

    1. Jang, Bong-Gyu & Lee, Seungkyu & Lim, Byung Hwa, 2016. "Robust consumption and portfolio rules with time-varying model confidence," Finance Research Letters, Elsevier, vol. 18(C), pages 342-352.
    2. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
    3. repec:eee:jetheo:v:172:y:2017:i:c:p:512-557 is not listed on IDEAS
    4. Dmitri Vinogradov & Yousef Makhlouf, 2017. "Signaling Probabilities in Ambiguity: on the impact of vague news," Working Papers 2017_12, Business School - Economics, University of Glasgow.
    5. Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
    6. Illeditsch, PK & Ganguli, J & Condie, S, 2017. "Information Inertia (Working Paper)," Economics Discussion Papers 15615, University of Essex, Department of Economics.
    7. Ganguli, Jayant & Condie, Scott, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 5631, University of Essex, Department of Economics.
    8. repec:esx:essedp:719 is not listed on IDEAS
    9. F├╝llbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
    10. Jan Werner, 2016. "Speculative Trade under Ambiguity," 2016 Meeting Papers 1607, Society for Economic Dynamics.
    11. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
    12. Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
    13. repec:spr:reaccs:v:22:y:2017:i:4:d:10.1007_s11142-017-9414-2 is not listed on IDEAS
    14. repec:esx:essedp:770 is not listed on IDEAS
    15. Dicks, David & Fulghieri, Paolo, 2016. "Innovation Waves, Investor Sentiment, and Mergers," CEPR Discussion Papers 11082, C.E.P.R. Discussion Papers.
    16. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.

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