Ambiguous Information, Portfolio Inertia, and Excess Volatility
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- Jang, Bong-Gyu & Lee, Seungkyu & Lim, Byung Hwa, 2016. "Robust consumption and portfolio rules with time-varying model confidence," Finance Research Letters, Elsevier, vol. 18(C), pages 342-352.
- Larry G. Epstein & Shaolin Ji, 2013.
"Ambiguous Volatility and Asset Pricing in Continuous Time,"
Review of Financial Studies,
Society for Financial Studies, vol. 26(7), pages 1740-1786.
- Larry G. Epstein & Shaolin Ji, 2012. "Ambiguous Volatility and Asset Pricing in Continuous Time," CIRANO Working Papers 2012s-29, CIRANO.
- Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
- repec:eee:jetheo:v:172:y:2017:i:c:p:512-557 is not listed on IDEAS
- Dmitri Vinogradov & Yousef Makhlouf, 2017. "Signaling Probabilities in Ambiguity: on the impact of vague news," Working Papers 2017_12, Business School - Economics, University of Glasgow.
- Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
- Illeditsch, PK & Ganguli, J & Condie, S, 2017. "Information Inertia (Working Paper)," Economics Discussion Papers 15615, University of Essex, Department of Economics.
- Ganguli, Jayant & Condie, Scott, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 5631, University of Essex, Department of Economics.
- repec:esx:essedp:719 is not listed on IDEAS
- Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
- Jan Werner, 2016. "Speculative Trade under Ambiguity," 2016 Meeting Papers 1607, Society for Economic Dynamics.
- Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
- Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
- repec:spr:reaccs:v:22:y:2017:i:4:d:10.1007_s11142-017-9414-2 is not listed on IDEAS
- repec:esx:essedp:770 is not listed on IDEAS
- Dicks, David & Fulghieri, Paolo, 2016. "Innovation Waves, Investor Sentiment, and Mergers," CEPR Discussion Papers 11082, C.E.P.R. Discussion Papers.
- Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
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