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Ambiguity, Learning, and Asset Returns · Study

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PreprintAmbiguity, Learning, and Asset Returns

Nengjiu Ju2007

OA

Preprintgreen2007

Ambiguity, Learning, and Asset Returns

Nengjiu Ju · Jianjun Miao

83 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1961Risk, Ambiguity, and the Savage Axioms 1985The equity premium: A puzzle 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1978Asset Prices in an Exchange Economy 1997The Econometrics of Financial Markets 1992ARCH modeling in finance 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited by

2011Liquidity and asset prices in rational expectations equilibrium with ambiguous information 2012Parameter Learning in General Equilibrium: The Asset Pricing Implications 2012Asset Pricing and Ambiguity: Empirical Evidence 2012Reaction to Public Information in Markets: How much does Ambiguity Matter?2013X-CAPM: An Extrapolative Capital Asset Pricing Model 2009Learning, ambiguity and life-cycle portfolio allocation

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literaturepreprint · 43 shared references 2012Ambiguity, Learning, and Asset Returnsarticle · 38 shared references 2013Dynamic asset allocation with ambiguous return predictabilityarticle · 34 shared references 2012Ambiguity Aversion and Asset Prices in Production Economiespreprint · 28 shared references 2009Dynamic Asset Allocation with Ambiguous Return Predictabilitypreprint · 27 shared references 2014Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shillerarticle · 26 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations83

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1017034

openalex_workW1580764711

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2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature

2009Dynamic Asset Allocation with Ambiguous Return Predictability