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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

Expectations-based reference-dependent preferences and asset pricing

Pagel, Michaela - In: Journal of the European Economic Association 14 (2016) 2, pp. 468-514

Persistent link: https://www.econbiz.de/10011565525

Expected and realized returns in conditional asset pricing models: a new testing approach

Antell, Jan; Vaihekoski, Mika - In: Journal of empirical finance 52 (2019), pp. 220-236

Persistent link: https://www.econbiz.de/10012171126

Intertemporal substitution and recursive smooth ambiguity preferences

Hayashi, Takashi; Miao, Jianjun - In: Theoretical economics : TE ; an open access journal in … 6 (2011) 3, pp. 423-472

In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff,...

Persistent link: https://www.econbiz.de/10011691090

Preserving the Rothschild-Stiglitz type increase in risk with background risk : a characterization

Denuit, Michel; Mesfioui, Mhamed - In: Insurance / Mathematics & economics 72 (2017), pp. 1-5

Persistent link: https://www.econbiz.de/10011691479

Return expectations and risk aversion heterogeneity in household portfolios

Bucciol, Alessandro; Miniaci, Raffaele; Pastorello, Sergio - In: Journal of empirical finance 40 (2017), pp. 201-219

Persistent link: https://www.econbiz.de/10011745022

Preferences and biases in educational choices and labour market expectations : shrinking the black box of gender

Reuben, Ernesto; Wiswall, Matthew; Zafar, Basit - In: The economic journal : the journal of the Royal … 127 (2017) 604, pp. 2153-2186

Persistent link: https://www.econbiz.de/10011758107

A gift-exchange with probabilistic payoffs

Luzuriaga, Miguel; Kunze, Oliver - In: International journal of applied behavioral economics : … 6 (2017) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10011820526

Can prospect theory explain the disposition effect? : a new perspective on reference points

Meng, Juanjuan; Weng, Xi - In: Management science : journal of the Institute for … 64 (2018) 7, pp. 3331-3351

Persistent link: https://www.econbiz.de/10011899780

Risk behavior for gain, loss, and mixed prospects

Brooks, Peter; Peters, Simon A.; Zank, Horst - In: Theory and decision : an international journal for … 77 (2014) 2, pp. 153-182

Persistent link: https://www.econbiz.de/10010481285