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ArticleAsset pricing and ambiguity: Empirical evidence

Menachem Brenner2018

Article2018

Asset pricing and ambiguity: Empirical evidence

Menachem Brenner · Yehuda Izhakian

213 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Decision-Making and Behavioral Economics Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 2019Theory of games and economic behavior 1992Advances in prospect theory: Cumulative representation of uncertainty 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2006Investor Sentiment and the Cross‐Section of Stock Returns 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1987Expected stock returns and volatility

Cited by

2016Ambiguity, Volatility, and Credit Risk 2019Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence 2018Uncertainty Aversion and Systemic Risk 2021Ambiguity and the Tradeoff Theory of Capital Structure 2021Ambiguity about volatility and investor behavior 2023The Influence of ESG Ratings On Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners

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Year2018

Typearticle

Published2018-07-05

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations213

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2018.07.007

openalex_workW3124362149

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