Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for aggregate uncertainty and controlling for market...

The literature on stock return predictability has identified macroeconomic and technical predictors that when combined, leads to out-of-sample outperformance relative to the historical mean null. This paper investigates a new method for aggregating information beyond using forecast combination...

This paper analyzes a comprehensive data set of 160 non venture-backed, 79 venture-backed and 61 bridge financed companies going public at Germany´s Neuer Markt between March 1997 and March 2002. I examine whether these three types of issues differ with regard to issuer characteristics, balance...