{"title":"Competence and ambiguity aversion of heterogeneous investors","authors":"Christine W. Lai , Donald Lien , Shih-Chuan Tsai","doi":"10.1016/j.pacfin.2025.102678","DOIUrl":null,"url":null,"abstract":"<div><div>A unique intraday dataset from Taiwan is employed to investigate the effects of ambiguity aversion on trading dynamics and portfolio choice considering different competencies across investors. We find investors reduce trading propensities when market-level uncertainty is high but the trading volume does not reduce to zero. Less-competent investors, more ambiguity averse to market uncertainty than to firm uncertainty, exhibit portfolio under-diversification. Domestic institutional investors are equally (less) ambiguity averse to high market (firm) uncertainty than foreign counterparts, showing the home bias. High dividend yields offer certification of a “floor” payoff and are preferred by retail investors.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"90 ","pages":"Article 102678"},"PeriodicalIF":4.8000,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Pacific-Basin Finance Journal","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927538X25000150","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
A unique intraday dataset from Taiwan is employed to investigate the effects of ambiguity aversion on trading dynamics and portfolio choice considering different competencies across investors. We find investors reduce trading propensities when market-level uncertainty is high but the trading volume does not reduce to zero. Less-competent investors, more ambiguity averse to market uncertainty than to firm uncertainty, exhibit portfolio under-diversification. Domestic institutional investors are equally (less) ambiguity averse to high market (firm) uncertainty than foreign counterparts, showing the home bias. High dividend yields offer certification of a “floor” payoff and are preferred by retail investors.
期刊介绍：
The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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