Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/oxford-university-press/safety-first-learning-under-ambiguity-and-the-cross-section-of-stock-lqI9h8ZqYv
References (75)
-
E. Fama, K. French (1993)
Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 33
-
L. Kogan, Tan Wang (2003)
A Simple Theory of Asset Pricing under Model Uncertainty -
D. Ellsberg (1961)
Decision, probability, and utility: Risk, ambiguity, and the Savage axioms -
P. Grünwald, A. Dawid, P. Grünwald, A. Dawid (2004)
Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theoryAnnals of Statistics, 32
-
R. Merton (1973)
AN INTERTEMPORAL CAPITAL ASSET PRICING MODELEconometrica, 41
-
F. Knight (2009)
The economic nature of the firm: From Risk, Uncertainty, and Profit -
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
-
H. Tong (1990)
Non-Linear Time Series -
L. Goodman (1965)
On Simultaneous Confidence Intervals for Multinomial ProportionsTechnometrics, 7
-
(1998)
adjusted t-stats (tJW) correcting Shanken’s test for the distribution of the errors; and Kan, Robotti, and Shanken (2013) robust t-stats under model misspecification -
R. Jagannathan, Zhenyu Wang (1998)
An Asymptotic Theory for Estimating Beta‐Pricing Models Using Cross‐Sectional RegressionJournal of Finance, 53
-
P. Harremoës, F. Topsøe (2001)
Maximum Entropy FundamentalsEntropy, 3
-
Amos Golan, G. Judge, Douglas Miller (1996)
Maximum entropy econometrics: robust estimation with limited data -
(1999)
Conditioning Variables and the Cross-Section of Stock Returns -
Larry Epstein, Martin Schneider (2008)
Ambiguity, Information Quality and Asset PricingJournal of Finance, 63
-
L. Xiang (2008)
On persistence of mutual fund performance in China:implication for mutual fund market efficiencyJournal of Beijing Institute of Machinery
-
Ralitsa Petkova (2005)
Do the Fama-French Factors Proxy for Innovations in Predictive Variables?Capital Markets: Market Efficiency eJournal
-
E. Fama, G. Schwert (1977)
Asset returns and inflationJournal of Financial Economics, 5
-
George Pennacchi (2007)
Theory of Asset Pricing -
Lorenzo Garlappi, Tan Wang, R. Uppal (2004)
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior ApproachInternational Finance eJournal
-
James Hamilton (1989)
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business CycleEconometrica, 57
-
Owen Lamont (1999)
Economic Tracking PortfoliosCapital Markets: Asset Pricing & Valuation
-
Narasimhan Jegadeesh (1990)
Evidence of Predictable Behavior of Security ReturnsJournal of Finance, 45
-
J. Campbell (1985)
Stock Returns and the Term StructureNBER Working Paper Series
-
M. Lettau, Sydney Ludvigson (1999)
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐VaryingJournal of Political Economy, 109
-
J. Campbell (1993)
Understanding Risk and ReturnJournal of Political Economy, 104
-
J. Cochrane (1996)
A Cross-Sectional Test of an Investment-Based Asset Pricing ModelJournal of Political Economy, 104
-
Benjamin Grosof, Terrence Poon (2003)
MIT Sloan School of Management -
Tan Wang, R. Uppal (2002)
Model Misspecification and Under-DiversificationChina Academy of Financial Research (CAFR) Research Paper Series
-
Massimo Guidolin, F. Rinaldi (2010)
Ambiguity in asset pricing and portfolio choice: a review of the literatureTheory and Decision, 74
-
E. Ziegel, A. Ullah, D. Giles (2000)
Handbook of Applied Economic StatisticsTechnometrics, 42
-
Nengjiu Ju, Jianjun Miao (2009)
Ambiguity, Learning, and Asset ReturnsMicroeconomic Theory eJournal
-
L. Hansen, T. Sargent (2010)
Fragile beliefs and the price of uncertaintyQuantitative Economics, 1
-
Larry Epstein, Martin Schneider (2003)
Recursive multiple-priorsJ. Econ. Theory, 113
-
J. Lintner (1965)
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETSThe Review of Economics and Statistics, 47
-
D. Dijk, T. Teräsvirta, P. Franses (2002)
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTSEconometric Reviews, 21
-
Evan Anderson, Eric Ghysels, Jennifer Juergens (2009)
The impact of risk and uncertainty on expected returns.Journal of Financial Economics, 94
-
Francisco Barillas, L. Hansen, T. Sargent (2009)
Doubts or variability?J. Econ. Theory, 144
-
F. Topsøe (1979)
Information-theoretical optimization techniquesKybernetika, 15
-
Douglas Breeden, R. Gibbons, R. Litzenberger (1989)
Empirical Tests of the Consumption-Oriented CAPMEconometric Modeling: Capital Markets - Asset Pricing eJournal
-
J. Campbell, R. Shiller (1988)
Stock Prices, Earnings and Expected DividendsCapital Markets: Asset Pricing & Valuation
-
J. Lewellen, S. Nagel, Jay Shanken (2006)
A Skeptical Appraisal of Asset-Pricing TestsNBER Working Paper Series
-
J. Keynes (1921)
A Treatise on Probability -
I. Csiszár, G. Wiener, G. Tardos, G. Katona (2007)
Entropy, search, complexity -
A. Roy (1952)
Safety first and the holding of assettsEconometrica, 20
-
L. Hansen, T. Sargent (2011)
Robustness and ambiguity in continuous timeJ. Econ. Theory, 146
-
(2009)
WORKING PAPER SERIESFEDERAL RESERVE BANK of ATLANTA WORKING PAPER SERIES Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology -
(2006)
Mimicking Portfolios with Conditioning Information -
Markus Leippold, F. Trojani, P. Vanini (2004)
Financial Valuation and Risk Management Working Paper No . 249 Learning and Asset Prices under Ambiguous Information -
T. Cover, Joy Thomas (1991)
Elements of Information Theory -
A. David, P. Veronesi (2009)
What Ties Return Volatilities to Price Valuations and Fundamentals?Journal of Political Economy, 121
-
James Hamilton (1990)
Analysis of time series subject to changes in regimeJournal of Econometrics, 45
-
E. Fama, K. French (1989)
BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDSJournal of Financial Economics, 25
-
J. Campbell
AMERICAN FINANCE ASSOCIATIONThe Journal of Finance
-
P. Veronesi (1999)
Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium ModelReview of Financial Studies, 12
-
M. Jensen, F. Black, Myron Scholes (2006)
The Capital Asset Pricing Model: Some Empirical TestsCapital Markets: Asset Pricing & Valuation
-
Ralitsa Petkova, Lu Zhang (2003)
Is Value Riskier than Growth?China Academy of Financial Research (CAFR) Research Paper Series
-
Larry Epstein, Martin Schneider (2002)
Learning Under AmbiguityBehavioral & Experimental Finance
-
Arzu Ozoguz (2007)
Good Times or Bad Times? Investors' Uncertainty and Stock ReturnsCapital Markets: Asset Pricing & Valuation
-
Sydney Ludvigson (2011)
Advances in Consumption-Based Asset Pricing: Empirical TestsERN: Econometric Modeling in Financial Economics (Topic)
-
T. Teräsvirta (1996)
Modelling Economic Relationships with Smooth Transition Regressions -
P. Streeten, G. Shackle (1951)
Expectation in Economics -
W. Ferson, Sergei Sarkissian, Timothy Simin (2002)
Spurious Regressions in Financial Economics?Econometrics eJournal
-
N. Chen (1991)
Financial Investment Opportunities and the MacroeconomyJournal of Finance, 46
-
Narasimhan Jegadeesh, S. Titman (1993)
Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyJournal of Finance, 48
-
F. Topsøe (2007)
Information Theory at the Service of Science -
Larry Epstein, Tan Wang (1994)
Intertemporal Asset Pricing Under Knightian UncertaintyEconometrica, 62
-
L. Hansen (2007)
Beliefs, Doubts and Learning: Valuing Economic RiskFEN: Behavioral Finance (Topic)
-
Jay Shanken (1992)
On the Estimation of Beta-Pricing ModelsReview of Financial Studies, 5
-
J. Bicksler, M. Jensen (1973)
Studies in the Theory of Capital Markets.Journal of the American Statistical Association, 68
-
Larry Epstein, Martin Schneider (2010)
Ambiguity and Asset MarketsERN: Behavioral Finance (Microeconomics) (Topic)
-
Pascal Maenhout (2004)
Robust Portfolio Rules and Asset PricingReview of Financial Studies, 17
-
A. Estrella, G. Hardouvelis (1991)
The term structure as a predictor of real economic activity -
M. Brennan, Ashley Wang, Yihong Xia (2002)
Estimation and Test of a Simple Model of Intertemporal Capital Asset PricingTexas Finance Festival
-
Zengjing Chen, Larry Epstein (2000)
Ambiguity, risk, and asset returns in continuous timeEconometrica, 70
- Publisher
- Oxford University Press
- Copyright
- © The Author 2014. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oup.com
- ISSN
- 2045-9920
- eISSN
- 2045-9939
- DOI
- 10.1093/rapstu/rat017
- Publisher site
- See Article on Publisher Site
Abstract
We examine the empirical implications of learning under ambiguity for the cross-section of stock returns. We introduce a theoretically-motivated ambiguity measure and find that ambiguity is priced in the cross-section of average stock returns. Ambiguity is not subsumed by state variables known to predict stock returns, nor by value, size, and momentum factors. In R-squared comparative tests, a model that takes ambiguity into account performs better than empirical implementations of the Bayesian learning model, the intertemporal CAPM, and the four-factor model of Fama and French (1993) and Carhart (1997). (JEL G12)
Journal
The Review of Asset Pricing Studies – Oxford University Press
Published: Jun 25, 2014