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 times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …

uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases …-Requejo (2000) to compute lower and upper gooddeal bounds in the presence of model uncertainty. We illustrate the methodology using … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …

measures, and spatial and time fixed measures of expected future prices and price uncertainty. This method improves the … price uncertainty by a generalized autoregressive conditional heteroskedasticity (GARCH) model. To explore for the presence … of real options in house prices, vacant land sales price is regressed on SDM measures of future house price uncertainty …

We study how macroeconomic uncertainty (EU) manifests into the cross-sectional variations of the credit default swap …

This paper presents a new robust predictor for option returns: the uncertainty of put-call parity violation (VVS). We … the classical uncertainty and limit-to-arbitrage measures, the predictability still cannot be explained by standard …

uncertainty, given that their interaction should be incorporated into the valuation process. In response, financial theory has … proposed valuation approaches that allow different sources of uncertainty to be represented by a consolidated estimate of … treatment that incorporates the dynamics of each uncertainty can be given. In this context, there are different proposals that …

, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk …