The impact of risk and uncertainty on expected returns

• 成果类型: Article
• 署名作者: Anderson, Evan W.; Ghysels, Eric; Juergens, Jennifer L.
• 署名单位: Northern Illinois University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; Federal Reserve System - USA; Federal Reserve Bank - New York; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.11.001
• 发表日期: 2009
• 页码: 233-263
• 关键词: Conditional volatility; model uncertainty; DISAGREEMENT; factor models

摘要

We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical risk-return trade-off and augment these models with our measure of uncertainty. We find stronger empirical evidence for an uncertainty-return trade-off than for the traditional risk-return trade-off. Finally, we investigate the performance of a two-factor model with risk and uncertainty in the cross section. (C) 2009 Elsevier B.V. All rights reserved.