Yuan, Yefang; Ling, Aifan; Hu, Zhijun - 2024
Using expected utility under uncertain probability theory (EUUP, Izhakian, 2017, 2020), we study whether the ambiguity … related to individual stocks is priced in the Chinese A-share market and the mechanism behind the ambiguity premium phenomenon …. Theoretically, when the asset price is within a specific range, ambiguity-averse investors refrain from participating in trading. As …