作者：Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan
作者单位：Wilfrid Laurier University; University of British Columbia; Universite Catholique de Lille; EDHEC Business School
摘要：We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's familiarity toward assets. The model shows that for any given level of expected returns, the optimal portfolio depends on two quantities: relative ambiguity across assets and the standard deviation of the expected return estimate for e...
作者：Seybert, Nicholas; Yang, Holly I.
作者单位：University System of Maryland; University of Maryland College Park; University of Pennsylvania
摘要：This paper shows that an important link between investor sentiment and firm. overvaluation is optimistic earnings expectations, and that management earnings guidance helps resolve sentiment-driven overvaluation. Using previously identified firm characteristics, we find that most of the negative returns to uncertain firms in months following high-sentiment periods fall within the three-day window around the issuance of management earnings guidance. Comparisons of guidance months to nonguidance ...
