predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate …

Before information φ arrives, market observers must be uncertain whether the stock price conditioned on φ will be … condition of efficient markets, it is shown under the mean-variance CAPM that information which makes the future value of a firm … general, information that allows better discrimination between firms leads some firms to have higher costs of capital and …

Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns …. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the …, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty …

techniques. Our results also provide evidence of commonality in asset pricing anomalies …

We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous …