Anderson, Evan W.; Ghysels, Eric; Juergens, Jennifer L. - In: Journal of Financial Economics 94 (2009) 2, pp. 233-263
We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical...