It is often argued in defense of Risk Parity portfolios that they maximize the Sharpe ratio if their securities have identical Sharpe ratios and identical correlations. However, securities have neither identical Sharpe ratios nor this correlation structure. In realistic markets, Risk Parity...

We test a theory about ambiguity surrounding the distribution of fundamental values to determine how market uncertainty affects earnings guidance perception and behavior. We find a more pronounced negative share price response to negative earnings guidance and a lower likelihood that management...