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The effects of sentiment should be strongest during times of heightened valuation uncertainty. As such, we document a … significant amplifying role for market uncertainty in the relation between sentiment and aggregate investment. A one …-standard-deviation increase in uncertainty more than doubles the effect of sentiment on investment. Moreover, allowing uncertainty …
Persistent link: https://www.econbiz.de/10014350126
are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk …
Persistent link: https://www.econbiz.de/10009411461
rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …‐free rate in data and measure the uncertainty each period conditional on the actual, observed history of (U.S.) macroeconomic …
Persistent link: https://www.econbiz.de/10011994544
-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …
Persistent link: https://www.econbiz.de/10011780610
rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …-free rate in data and measure the uncertainty each period conditional on the actual, observed histroy of (U.S.) macroeconomic …
Persistent link: https://www.econbiz.de/10011756113
generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …
Persistent link: https://www.econbiz.de/10012617667
historically unique events cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations …
Persistent link: https://www.econbiz.de/10013322439
This study investigates the short- and long-term effects of various sources of uncertainty on the share prices of key … other relevant approaches to time series. Economic policy, climate policy, pandemics, and Twitter-based uncertainty may … China, geopolitical, climatic, and pandemic uncertainty are short-term sources of uncertainty, and in India, economic policy …
Persistent link: https://www.econbiz.de/10014330079
Persistent link: https://www.econbiz.de/10001294511
Persistent link: https://www.econbiz.de/10001212811