This paper studies asymmetric profitability of the momentum trading strategy. When investors face Knightian uncertainty, they react differently to past winners and losers, which creates asymmetric patterns in price continuations. This asymmetry increases with the level of market and...

The paper examines the impacts of ambiguity and ambiguity attitudes on macro-economic "Big Push" model. By formally modelling ambiguity, optimism and pessimism in economic industrialization, we show the results with Keynesian flavour: sufficient optimism can create the "Big Push" to help the...

The paper finds that sufficient ambiguity leads to the uniqueness of equilibrium in macroeconomic coordination games. The results have a Keynesian flavour: sufficient optimism gives rise to a Pareto-optimal equilibrium; and sufficient pessimism results in a Pareto-inferior equilibrium. This...

This paper studies asymmetric profitability of the momentum trading strategy. When investors face Knightian uncertainty, they react differently to past winners and losers which creates asymmetric patterns in price continuations. This asymmetry increases with the level of market and idiosyncratic...