Paper Title
Learning From Trading With Ambiguous Information
Abstract
In this paper we study long-term learning process under the conditions of ambiguous information. We study a unique empirical setting in which pieces of the ambiguous information about the value of corporate bonds are sequentially provided to institutional investors. We use parametric and non-parametric models to show that exits a continual convergence process that it is non-linear. We show that the learning process is strict and that the convergence is towards an unbiased point that represents the set of prices which are dictated by the available information. The theoretical and experimental literature on learning processes is rich, but there are only a handful of empirical studies. We contribute direct empirical evidence that supports important theoretical and experimental predictions.
Keywords - Ambiguous Information, Learning Process, Trade, BondsJEL Code: G12, G23, G24