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Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

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  • Gertsman, Gleb

    (Tilburg University, School of Economics and Management)

  • Frehen, Rik

    (Tilburg University, School of Economics and Management)

  • Werker, Bas J.M.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Gertsman, Gleb & Frehen, Rik & Werker, Bas J.M., 2019. "Would Ambiguity Averse Investors Hedge Risk in Equity Markets?," Other publications TiSEM bd3eb3e5-517e-40d4-aab9-e, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:bd3eb3e5-517e-40d4-aab9-ee57a02fa76e
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    References listed on IDEAS

    as
    1. Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2013. "Alpha as Ambiguity: Robust Mean‐Variance Portfolio Analysis," Econometrica, Econometric Society, vol. 81(3), pages 1075-1113, May.
    2. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
    3. R. David Mclean & Jeffrey Pontiff, 2016. "Does Academic Research Destroy Stock Return Predictability?," Journal of Finance, American Finance Association, vol. 71(1), pages 5-32, February.
    4. Pascal J. Maenhout, 2004. "Robust Portfolio Rules and Asset Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 951-983.
    5. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005. "A Smooth Model of Decision Making under Ambiguity," Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
    6. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    7. Doriana Ruffino, 2014. "A Robust Capital Asset Pricing Model," Finance and Economics Discussion Series 2014-01, Board of Governors of the Federal Reserve System (U.S.).
    8. Barahona, Ricardo & Driessen, Joost & Frehen, Rik, 2021. "Can unpredictable risk exposure be priced?," Journal of Financial Economics, Elsevier, vol. 139(2), pages 522-544.
    9. Gollier, Christian, 2016. "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
    10. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 75(4), pages 643-669.
    11. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    12. Vasicek, Oldrich A, 1973. "A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas," Journal of Finance, American Finance Association, vol. 28(5), pages 1233-1239, December.
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