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Birru, Justin; Young, Trevor - 2020

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

Persistent link: https://www.econbiz.de/10012216707

Certainty of Uncertainty for Asset Pricing

Jiang, Fuwei; Kang, Jie; Meng, Lingchao - 2023

Uncertainty is known to be crucial in asset pricing, yet evidence from comprehensive analysis of various uncertainty measures remains sparse. This paper investigates the predictability of stock returns based on economic fundamentals uncertainty by constructing a novel uncertainty index derived...

Persistent link: https://www.econbiz.de/10014351430

Is Information Uncertainty Diversifiable? A Short Bayesian Answer

Johnstone, David - 2015

characterization are bound to yield Bayesianly incorrect generalizations. In the Bayesian way of thinking, information risk impacts the …

Persistent link: https://www.econbiz.de/10013019904

The Pricing of Composition Uncertainty

Aliyev, Nihad - 2018

The "quant crisis" of 2007 and subsequent unfolding of the global financial crisis highlighted the importance of the "crowded-trade" problem (not being able to know how many others are taking the same position). To investigate the crowded trading, we present a model in which informed and...

Persistent link: https://www.econbiz.de/10012910555

Valuation Uncertainty

Golubov, Andrey; Konstantinidi, Theodosia - 2021

valuation uncertainty stocks. Stocks in the short leg earn average returns indistinguishable from the risk-free rate – turning …

Persistent link: https://www.econbiz.de/10013226702

Amplification of Uncertainty in Illiquid Markets

Albagli, Elias - 2011

intermediaries to lower expected returns and non-fundamental price fluctuations. In anticipation, risk-averse intermediaries trade … time-variation in the risk premium, Sharpe ratio and volatility even when risk aversion and the variance of fundamental … of fundamentals, the mechanism highlighted suggests fluctuations in the risk premium can be sub-optimal to the extent …

Persistent link: https://www.econbiz.de/10013128328

Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically

Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015

the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. The authors' evidence is also inconsistent with …

Persistent link: https://www.econbiz.de/10011309720

Rational Decision-Making under Uncertainty : Observed Betting Patterns on a Biased Coin

Haghani, Victor - 2016

What would you do if you were invited to play a game where you were given $25 and allowed to place bets for 30 minutes on a coin that you were told was biased to come up heads 60% of the time? This is exactly what we did, gathering 61 young, quantitatively trained men and women to play this...

Persistent link: https://www.econbiz.de/10012980760

Uncertainty, Information Acquisition and Price Swings in Asset Markets

Mele, Antonio - 2018

distribution (i.e., risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack …

Persistent link: https://www.econbiz.de/10012940746

Herding and Anchoring in Cryptocurrency Markets : Investor Reaction to Fear and Uncertainty

Gurdgiev, Constantin - 2020

Cryptocurrencies have emerged as an innovative alternative investment asset class, traded in data-rich markets by globally distributed investors. Although significant attention has been devoted to their pricing properties, to-date, academic literature on behavioral drivers remains less...

Persistent link: https://www.econbiz.de/10012844436