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Ambiguity aversion and underdiversification

Guidolin, Massimo; Liu, Hening - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 4, pp. 1297-1323

Persistent link: https://www.econbiz.de/10011610419

Financial uncertainty with ambiguity and learning

Liu, Hening; Zhang, Yuzhao - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2120-2140

Persistent link: https://www.econbiz.de/10013262914

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - In: The review of financial studies 32 (2019) 9, pp. 3617-3666

Persistent link: https://www.econbiz.de/10012108126

Asset pricing with time varying pessimism and rare disasters

Zhang, Jian; Kong, Dongmin; Liu, Hening; Wu, Ji - In: International review of economics & finance : IREF 60 (2019), pp. 165-175

Persistent link: https://www.econbiz.de/10012203951

Bayesian estimation of long-run risk models using sequential Monte Carlo

Fulop, Andras; Heng, Jeremy; Li, Junye; Liu, Hening - In: Journal of econometrics 228 (2022) 1, pp. 62-84

Persistent link: https://www.econbiz.de/10013441725

Consumption risks in option returns

Yang, Shuwen; Aretz, Kevin; Liu, Hening; Zhang, Yuzhao - In: Journal of empirical finance 69 (2022), pp. 285-302

Persistent link: https://www.econbiz.de/10013478527

Quantile-based GARCH-MIDAS : estimating value-at-risk using mixed-frequency information

Xu, Yan; Wang, Xinyu; Liu, Hening - In: Finance research letters 43 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014632411

Optimal capital structure, ambiguity aversion, and leverage puzzles

Attaoui, Sami; Cao, Wenbin; Duan, Xiaoman; Liu, Hening - In: Journal of economic dynamics & control 129 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013205460

Estimating and testing long-run risk models : international evidence

Fulop, Andras; Li, Junye; Liu, Hening; Yan, Cheng - In: Management science : journal of the Institute for … 71 (2025) 4, pp. 3517-3536

Persistent link: https://www.econbiz.de/10015413787

Growth uncertainty, generalized disappointment aversion and production-based asset pricing

Liu, Hening; Miao, Jianjun - In: Journal of Monetary Economics 69 (2015) C, pp. 70-89

We study a production economy with regime switching in the conditional mean and volatility of productivity growth. The representative agent has generalized disappointment aversion (GDA) preferences. We show that volatility risk in productivity growth carries a positive and sizable risk premium...

Persistent link: https://www.econbiz.de/10011208555

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