This paper develops a two-sector dynamic stochastic general equilibrium model to measure intangible capital stock and studies the implied riskiness of market value of capital. The equilibrium of the economy is characterized by a state-space representation of dynamic system. Kalman filter...

This paper studies the pricing of ambiguity or Knightian uncertainty in China stock market with binding short-sale constraints. We measure the stock ambiguity by the dispersion in the probability distribution of the daily stock returns estimated from the trading data, based on the method...

This paper studies the impact of the COVID-19 on the stock ambiguity, risks, liquidity, and stock prices in China stock market, before and after the outbreak of COVID-19 in China during the Chinese New Year holidays in 2020. We measure stock ambiguity using the intraday trading data from the...