Research

My research lies at the intersection of household finance and behavioural finance. I study how investors make decisions under uncertainty and ambiguity and how information is incorporated into prices.

Research interests

• Ambiguity and information processing in financial markets: How does ambiguity change the incorporation of corporate news into prices?
• Preference heterogeneity and retail trading decisions: How can observed portfolio choices discipline models of utility, probability weighting, and ambiguity aversion?
• Belief formation, probability weighting, and investor attention: When do distorted beliefs and non-standard preferences generate observationally similar trading patterns?

Working papers

Information processing under ambiguity in financial markets

Lukas A. Grahl, Steffen Meyer, and Charline Uhr
Working paper, 2026

We show that ambiguity affects how information is incorporated into prices. Using earnings announcements of 624 S&P 500 firms from 2006 to 2024, we find underreac- tion to positive news and overreaction to negative news under high ambiguity, with price discounts of 8% to 35%. These effects are not driven by expected volatility and are robust to alternative ambiguity measures, highlighting a distinction between am- biguity and risk. We further show that these effects persist for at least 10 days but reverse within 30 days. This pattern suggests that ambiguity induces temporary price distortions rather than persistent post-earnings announcement drift.

Presented at: FMARC 2026, DGF Annual Meeting 2025, and 10th SDU Finance Workshop.

Award FMARC Doctoral Paper Runner-Up Award.