Yang, Xiaolou - In: Journal of risk and financial management : JRFM 13 (2020) 7/140, pp. 1-13
The purpose of this paper is to assess the impact of ambiguity on financial analyst forecast incentives and the associated abnormal stock returns. I present a model incorporating ambiguity aversion into a two-period Lucas tree model. The resulting model confirms the role of ambiguity in the...
