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Chinco, Alex - 2015

Companies have overlapping exposures to many different features that might plausibly affect their returns, like whether they're involved in a crowded trade, whether they're mentioned in an M&A rumor, or whether their supplier recently missed an earnings forecast. Yet, at any point in time, only...

Persistent link: https://www.econbiz.de/10013032176

Ambiguous Information, Portfolio Inertia, and Excess Volatility

Illeditsch, Philipp K. - 2011

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess...

Persistent link: https://www.econbiz.de/10013133587

Ambiguous Information, Risk Aversion, and Asset Pricing

Illeditsch, Philipp K. - 2011

I study the effects of aversion to risk and ambiguity (uncertainty in the sense of Knight (1921)) on the value of the market portfolio when investors receive public information that they find difficult to link to fundamentals and hence treat as ambiguous. I show that small changes in public...

Persistent link: https://www.econbiz.de/10013134524

Shadow Probability Theory for Asset Pricing under Ambiguity

Izhakian, Yehuda (Yud) - 2011

under ambiguity, called Shadow probability theory, a generalization of the Choquet expected utility. In this model … space. Risk and risk attitude, on the other hand, apply to the subordinated space, as in classical expected utility theory … the classical asset pricing theory by incorporating ambiguous probabilities. It proposes a well defined ambiguity premium …

Persistent link: https://www.econbiz.de/10013119880

Asset Pricing with Unknown Consumption and Financial Risk

Gvozdeva, Evgenia - 2011

Do parameter uncertainties regarding different risk factors have symmetric effects on asset prices? In a general equilibrium setting where uncertainties regarding consumption and portfolio returns are of concern to investors but all the structural parameters of consumption and dividend growth...

Persistent link: https://www.econbiz.de/10013128507

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Equilibrium Asset Pricing with Both Liquid and Illiquid Markets

Praz, Remy - 2015

I study a general equilibrium model in which investors face endowment risk and trade two correlated assets; one asset is traded on a liquid market whereas the other is traded on an illiquid over-the-counter (OTC) market. Endowment shocks not only make prices drop, they also make the OTC asset...

Persistent link: https://www.econbiz.de/10013033233

An Empirical Evaluation of the Black-Litterman Approach to Portfolio Choice

Gofman, Michael - 2012

We evaluate the Black-Litterman equilibrium model approach to portfolio choice. We quantify the improvement in portfolio performance of a privately informed investor who learns from market prices over an equally informed, but dogmatic investor who only uses private information. We extend the...

Persistent link: https://www.econbiz.de/10013115124

Does the Salience of Risk Affect Large, Risky Asset Prices?

Garnache, Cloé - 2020

This paper documents that when a southern California home gets designated to a wildfire risk zone, its price drops by 11% relative to homes just outside the designation boundary. Whereas the risk designation is discontinuous, the underlying risk is continuous — suggesting the price effect is...

Persistent link: https://www.econbiz.de/10012849036

Consumption based capital asset pricing and the Austrian Stock Exchange

Böheim, René; Boss, Michael - 1996

Persistent link: https://www.econbiz.de/10000939601