the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … uncertainty, which cannot be reduced to a probability distribution, underpins outcomes in the stock market. This finding reveals … REH models, regardless of how they specify the market's risk premium. Our evidence is also inconsistent with bubble …

the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … uncertainty, which cannot be reduced to a probability distribution, underpins outcomes in the stock market. This finding reveals … REH models, regardless of how they specify the market's risk premium. The authors' evidence is also inconsistent with …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

This study shows that uncertainty about information does not strengthen momentum. If the behavioral models hold, and if … uncertainty about information causes high-volatility momentum strategies to outperform low-volatility strategies, then this … relation must hold on a relative level. Momentum must be stronger among those stocks that show an increased uncertainty about …