石油信息的不确定性与总体市场回报：基于卫星数据的自然实验

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-09-01 DOI:10.1016/j.finmar.2024.100913

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引用次数: 0

摘要

卫星可以 "看到 "油罐中的石油存量，但对云层很敏感。云层带来了与信息质量有关的新的不确定性。我们通过评估浮顶油罐上空的云层来衡量这种信息不确定性。利用云层指数，我们证明了较高的信息不确定性会导致较低的未来回报（平均效应）和较强的动量异常（交互效应）。这两种效应可分别用投资者过度自信和套利成本来解释。具有均值方差偏好的投资者在确定性等价收益方面会获得可观的收益，这就是均值效应的原因。

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Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data

Satellites can “see” oil inventory in oil tanks, but they are sensitive to cloud cover. Cloud cover introduces a new uncertainty related to information quality. We measure such information uncertainty by assessing cloud cover over floating roof oil tanks. Using a cloud cover index, we demonstrate that higher information uncertainty leads to lower future returns (mean effect) and a stronger momentum anomaly (interaction effect). These two effects can be explained by investor overconfidence and arbitrage costs, respectively. An investor with a mean–variance preference obtains sizable gains in terms of certainty equivalent return, which accounts for the mean effect.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.