IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v17y2010i10p945-949.html
   My bibliography  Save this article

Knightian uncertainty: evidence of uncertainty premium in the capital market

Author

Listed:
  • James Ang
  • Carol Boyer

Abstract

We empirically verify two predictions of asset pricing with a role for uncertainty: return premium to increase with uncertainty, and to decrease with the resolution of uncertainty over time and experience. These properties are found among Initial Public Offerings (IPOs) of new industries where uncertainty is created by innovations of new products and services, and resolution of uncertainty from early IPOs is to decline with later IPOs. Return premium for uncertainty is shown to be separate from all known measurable risks. Evidence that uncertainty is priced also lends support to the notion that investors are in general, averse to uncertainty.

Suggested Citation

  • James Ang & Carol Boyer, 2010. "Knightian uncertainty: evidence of uncertainty premium in the capital market," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 945-949.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:10:p:945-949
    DOI: 10.1080/17446540802599721
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540802599721&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17446540802599721?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Griffin, John, 2017. "Risk premia and ambiguity in an experimental market featuring a long-lived asset," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 21-27.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:17:y:2010:i:10:p:945-949. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.