We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency is more severe when there is more risk and ambiguity but disappears when investors are risk‐neutral or the news is about idiosyncratic risk. Information inertia leads to news momentum (e.g., after earnings announcements) and is consistent with low household trading activity. An ambiguity premium helps explain the macro and earnings announcement premium.

中文翻译：

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信息惯性

我们表明，当投资者处理有关资产的公共新闻时，对风险和模棱两可的厌恶会导致信息惯性。最佳投资组合并不总是依赖于比预期更糟的新闻。因此，均衡股价不能反映这个坏消息。当存在更多风险和模棱两可时，这种信息效率低下会变得更加严重，但是当投资者保持风险中立或有关特质风险的消息时，这种信息效率低下的现象将会消失。信息惯性导致新闻动能（例如，在公布收益后），并且与低水平的家庭交易活动相一致。歧义溢价有助于解释宏观和收益公告溢价。