Asset pricing and ambiguity: Empirical evidence

• 成果类型: Article
• 署名作者: Brenner, Menachem; Izhakian, Yehuda
• 署名单位: New York University; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.07.007
• 发表日期: 2018
• 页码: 503-531
• 关键词: Ambiguity aversion; Ambiguity measurement; Knightian uncertainty; equity premium

摘要

We introduce ambiguity in conjunction with risk to study the relation between risk, ambiguity, and expected returns. Distinguishing between ambiguity and attitudes toward ambiguity, we develop an empirical methodology for measuring the degree of ambiguity and for assessing attitudes toward ambiguity from market data. The main findings indicate that ambiguity in the equity market is priced. Introducing ambiguity alongside risk provides stronger evidence on the role of risk in explaining expected returns in the equity markets. The findings also indicate that investors' level of aversion to or love for ambiguity is contingent on the expected probability of favorable returns. (C) 2018 Elsevier B.V. All rights reserved.