Work

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

Year: 2025

Type: article

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,” a significant event with high policy ambiguity in China, affect the financial market. Our findings suggest that institutional investors mainly sell their holdings between 15 and 5 days before the meetings. Furthermore, the delay in the “two sessions” in 2020 suggests that these selloffs are driven by ambiguity aversion rather than new information.

Source: Financial Innovation

DOI: 10.1186/s40854-024-00711-6

Authors: Jiarui Wang, Haijun Yang, Shancun Liu

Institution: Beihang University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: National Natural Science Foundation of China

Award: 基于社会网络中信息传导过程的金融异象研究