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Asset Pricing with Costly Ambiguity-Reducing Information

Student: Alexandra Kovrigina

Supervisor: Dmitry Makarov

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

The focus of our paper is the continuous information acquisition in financial markets with ambiguity about a risky asset’s expected return. To our knowledge, this is the first paper to model continuous demand for ambiguity-reducing information. We relax the assumptions of noisy supply and learning from observed prices to introduce the more complex, yet more realistic, information acquisition mechanism. We study the issue of strategic complementarity and substitutability in information acquisition, participation conditions, welfare implications and excess risk taking in this context.

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