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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition

Zhao, Lin; Wijnbergen, Sweder van - 2014

(Generalized AutoRegressive Score) and GARCH models, extending them to Student's t-GARCH and t-GAS. Second, an important risk … standard option pricing inapplicable. Therefore we parametrize the investor's risk preference and use utility indifference …

Persistent link: https://www.econbiz.de/10010465169

Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10012795039

Spontaneous volatility : fooled by reflexive randomness

Schotanus, Patrick; Schurger, Aaron - In: The journal of behavioral finance : a publication of … 22 (2021) 2, pp. 201-213

Persistent link: https://www.econbiz.de/10012514173

Expectations Concordance and Stock Market Volatility : Knightian Uncertainty in the Year of the Pandemic

Frydman, Roman; Mangee, Nicholas - 2021

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when historically unique events cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which non-repetitive...

Persistent link: https://www.econbiz.de/10013322439

Sources of uncertainty and their impact on stock prices evidence from emerging economies

Nazir, Noman; Bashir, Zahid; Izhar, Syed Usman; … - In: Financial internet quarterly 19 (2023) 2, pp. 49-64

This study investigates the short- and long-term effects of various sources of uncertainty on the share prices of key exchanges in emerging nations. The sample comprises monthly time series data from January 2017 to December 2021 for China, India, Russia, and Brazil. The study contains a version...

Persistent link: https://www.econbiz.de/10014330079

Data-driven decision making in the VUCA context : harnessing data for informed decisions

Maheshkar, Chandan; Poulose, Jeanne; Sharma, Vinod - In: Data-Driven Decision Making, (pp. 1-25). 2024

Persistent link: https://www.econbiz.de/10014633388

More certainty in uncertainty : a special life-cycle approach for management decisions in volatile markets

Röser, Marcel - In: Journal of management control 35 (2024) 1, pp. 165-197

Persistent link: https://www.econbiz.de/10015114598

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, Beatrice - 2011

comparative analysis of risk aversion and ambiguity aversion. The perception of ambiguity is described by a hidden Markovian … premium and risk free rate and can generate asset-price stylized facts like a procyclical price-dividend ratio and …

Persistent link: https://www.econbiz.de/10013127171

Stocks with Extreme Past Returns : Lotteries or Insurance?

Barinov, Alexander - 2018

the aggregate volatility risk factor explains low returns to stocks with high maximum returns in the past (Bali, Cakici …, and Whitelaw, 2011) and high expected skewness (Boyer, Mitton, and Vorkink, 2010). Aggregate volatility risk also explains …

Persistent link: https://www.econbiz.de/10012940125

Stocks with extreme past returns : lotteries or insurance?

Barinov, Alexander - In: Journal of financial economics 129 (2018) 3, pp. 458-478

Persistent link: https://www.econbiz.de/10011982283