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The Income Effect under Uncertainty : A Slutsky-Like Decomposition with Risk Aversion

Antoniadou, Elena - 2016

representing attitudes to risk, modified by income. (revised February 2016) …

Persistent link: https://www.econbiz.de/10013007578

Ambiguity, Risk, and Payout Policy

Herron, Richard - 2020

the known negative effect of risk on payout policy. Ambiguity leads ambiguity-averse investors to overweight the …

Persistent link: https://www.econbiz.de/10012854214

Uncertainty, Investment Spikes, and Leverage Adjustments

Im, Hyun Joong - 2020

We study the effects of uncertainty on corporate leverage adjustments with respect to investment spikes and find that overlevered and underlevered firms behave very differently in response to the combination of uncertainty and investment spikes. Overlevered firms facing high uncertainty converge...

Persistent link: https://www.econbiz.de/10012855716

Logic of Interval Uncertainty

Kuzmin, Evgeny - 2014

The scientific category of uncertainty refers to that group of terms, an interpretation of which is not unambiguous and exact. In non-eliminability of the category soft content barrier there is an objective transition to the interval uncertainty. This research is an attempt to solve the issue of...

Persistent link: https://www.econbiz.de/10013048281

The Role of Informational Uncertainty in the Decision to Strategically Default

Seiler, Michael - 2014

This study identifies a severe gap between the financial backlash borrowers believe awaits them after strategic mortgage default and the reality that lenders rarely pursue deficiency judgments. This, coupled with the social norm finding that borrowers widely view strategic default as immoral,...

Persistent link: https://www.econbiz.de/10013051040

Information Gaps for Risk and Ambiguity

Golman, Russell - 2015

We apply a model of preferences for information to the domain of decision making under risk and ambiguity. An uncertain … unpleasant to think about, an individual tends to be averse to risk and ambiguity. Yet in circumstances in which thinking about … an information gap is pleasant, an individual may exhibit risk- and ambiguity-seeking. The model provides explanations …

Persistent link: https://www.econbiz.de/10013022819

Uncertainty Shocks and Non-Fundamental Debt Crises : An Ambiguity Approach

Grosse Steffen, Christoph - 2015

This paper develops a theory of sovereign debt crises driven by uncertainty shocks that are modeled as changes in …

Persistent link: https://www.econbiz.de/10013023262

How Asset Irreversibility Influences the Investment-Uncertainty Relationship

Schauer (neé Klepsch), Catharina - 2016

This paper examines how industry-specific uncertainty affects firms' investments for varying degrees of asset irreversibility (i.e. the wedge between purchase price and liquidation value of an asset). To identify more or less irreversible capital goods, we exploit unique survey data on German...

Persistent link: https://www.econbiz.de/10012985786

Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation

Xu, Yuhong - 2016

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation …

Persistent link: https://www.econbiz.de/10012987227

Endogenous Uncertainty

Carriero, Andrea - 2018

We show that macroeconomic uncertainty can be considered as exogenous when assessing its effects on the U.S. economy. Instead, financial uncertainty can at least in part arise as an endogenous response to some macroeconomic developments, and overlooking this channel leads to distortions in the...

Persistent link: https://www.econbiz.de/10012923342