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Dispersion of Beliefs, Ambiguity, and the Cross-Section of Stock Returns

Lee, Deok-Hyeon - 2019

future returns is consistent with theory, which predicts the marginal utility of consumption to rise when ambiguity is high …We examine whether ambiguity is priced in the cross-section of expected stock returns. Using the cross …-sectional dispersion in real-time forecasts of real GDP growth as a measure for ambiguity, we find that high ambiguity beta stocks earn …

Persistent link: https://www.econbiz.de/10012890954

Ambiguity in the cross-section of expected returns : an empirical assessment

Thimme, Julian; Völkert, Clemens - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 418-429

Persistent link: https://www.econbiz.de/10011390409

Risk and return of a trend-chasing application in financial markets: an empirical test

Ilomäki, Jukka - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 258-272

Persistent link: https://www.econbiz.de/10011885978

Cognitive biases, downside risk shocks, and stock expected returns

Li, Si; He, Fangyi; Shi, Fangquan - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014485480

Essays on behavioral finance

Neszveda, Gábor - 2019

Persistent link: https://www.econbiz.de/10012106500

Individual investors' dispersion in beliefs and stock returns

Ma, Junjun; Li, Xindan; Lu, Lei; Wu, Wei-xing; Xiong, Xiong - In: Financial management : FM 51 (2022) 3, pp. 929-953

Persistent link: https://www.econbiz.de/10013468473

Economic uncertainty : mispricing and ambiguity premium

Cai, Charlie X.; Fu, Xi; Kerestecioglu, Semih - In: European financial management : the journal of the … 29 (2023) 5, pp. 1702-1751

Persistent link: https://www.econbiz.de/10014430235

A representative agent asset pricing model with heterogeneous beliefs and recursive utility

Suzuki, Masataka - In: International review of economics & finance : IREF 45 (2016), pp. 298-315

Persistent link: https://www.econbiz.de/10011626381

Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

Persistent link: https://www.econbiz.de/10012905055

Accounting accruals, heterogeneous investor beliefs, and stock returns

Peng, Emma Y.; Yan, An; Yan, Meng - In: Journal of financial stability 24 (2016), pp. 88-103

Persistent link: https://www.econbiz.de/10011704112