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Asset pricing and ambiguity: Empirical evidence
16 references·16 citing·39 second hopsampled
Asset pricing and ambiguity: Empirical evidence (2018)Asset pricing and ambiguity: Empirical ev…Theory of games and economic behavior (2019)Theory of games and economic …A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Expected stock returns and volatility (1987)Expected stock returns and vo…On estimating the expected return on the market (1980)On estimating the expected re…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Knightian Uncertainty in Entrepreneurship Research: Retrospect and Prospect (2025)Knightian Uncertainty in Entr…Beyond Risk: A Measure of Distribution Uncertainty (2024)Beyond Risk: A Measure of Dis…A Theoretical Foundation of Ambiguity Measurement: A Reply (2024)A Theoretical Foundation of A…The Influence of ESG Ratings On Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners (2023)The Influence of ESG Ratings …Knightian uncertainty and the limitations of the Savage Heuristic (2023)Knightian uncertainty and the…Travel choice behaviour under uncertainty in real-market settings: A source-dependent utility approach (2022)Travel choice behaviour under…ESG tail risk: The Covid-19 market crash analysis (2022)ESG tail risk: The Covid-19 m…Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies (2021)Investing during a Fintech Re…Belief hedges: Measuring ambiguity for all events and all models (2021)Belief hedges: Measuring ambi…Ambiguity aversion: bibliometric analysis and literature review of the last 60 years (2021)Ambiguity aversion: bibliomet…Ambiguity and the Tradeoff Theory of Capital Structure (2021)Ambiguity and the Tradeoff Th…Ambiguity about volatility and investor behavior (2021)Ambiguity about volatility an…Innovation Under Ambiguity and Risk (2019)Innovation Under Ambiguity an…Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence (2019)Economic policy uncertainty a…Uncertainty Aversion and Systemic Risk (2018)Uncertainty Aversion and Syst…Ambiguity, Volatility, and Credit Risk (2016)Ambiguity, Volatility, and Cr…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • Cited by

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    • 2021Ambiguity about volatility and investor behavior66 cited
    • 2023The Influence of ESG Ratings On Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners39 cited
    • 2022ESG tail risk: The Covid-19 market crash analysis36 cited
    • 2021Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies33 cited
    • 2019Innovation Under Ambiguity and Risk29 cited
    • 2021Belief hedges: Measuring ambiguity for all events and all models24 cited
    • 2021Ambiguity aversion: bibliometric analysis and literature review of the last 60 years23 cited
    • 2025Knightian Uncertainty in Entrepreneurship Research: Retrospect and Prospect18 cited
    • 2022Travel choice behaviour under uncertainty in real-market settings: A source-dependent utility approach10 cited
    • 2024Beyond Risk: A Measure of Distribution Uncertainty7 cited
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    • 2024A Theoretical Foundation of Ambiguity Measurement: A Reply7 cited