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Citations for "Ambiguity, Information Quality and Asset Pricing"

by Larry Epstein & Martin Schneider

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  1. Cosmin Ilut & Matthias Kehrig & Martin Schneider, 2014. "Slow to Hire, Quick to Fire: Employment Dynamics with Asymmetric Responses to News," NBER Working Papers 20473, National Bureau of Economic Research, Inc.
  2. Zheng, Mingli & Wang, Chong & Li, Chaozheng, 2015. "Optimal nonlinear pricing by a monopolist with information ambiguity," International Journal of Industrial Organization, Elsevier, vol. 40(C), pages 60-66.
  3. Rossi, Francesco, 2011. "Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates," MPRA Paper 38682, University Library of Munich, Germany, revised 31 Mar 2012.
  4. Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
  5. Hussinger, Katrin & Pacher, Sebastian, 2014. "Information ambiguity and firm value," ZEW Discussion Papers 14-093, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  6. Krahnen, Jan Pieter & Ockenfels, Peter & Wilde, Christian, 2014. "Measuring ambiguity aversion: A systematic experimental approach," SAFE Working Paper Series 55, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  7. Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
  8. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer, vol. 28(1), pages 1-28, February.
  9. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
  10. Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
  11. Josh Stillwagon, 2014. "Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR," Working Papers 1401, Trinity College, Department of Economics.
  12. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  13. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers 1028, Society for Economic Dynamics.
  14. Balbás, Raquel & Balbás, Beatriz, 2011. "CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure," INDEM - Working Paper Business Economic Series id-11-04, Instituto para el Desarrollo Empresarial (INDEM).
  15. Olivier Coibion & Yuriy Gorodnichenko, 2010. "Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts," NBER Working Papers 16537, National Bureau of Economic Research, Inc.
  16. Ani Guerdijkova & Emanuela Sciubba, 2012. "Survival with Ambiguity," Birkbeck Working Papers in Economics and Finance 1216, Birkbeck, Department of Economics, Mathematics & Statistics.
  17. Amandha Ganegoda & John Evans, 2014. "A framework to manage the measurable, immeasurable and the unidentifiable financial risk," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 5-34, February.
  18. Loughran, Tim & McDonald, Bill, 2013. "IPO first-day returns, offer price revisions, volatility, and form S-1 language," Journal of Financial Economics, Elsevier, vol. 109(2), pages 307-326.
  19. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  20. Ron Bird & Danny Yeung, 2010. "How Do Investors React Under Uncertainty?," Working Paper Series 8, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  21. Carlos Carvalho & Nicholas Klagge & Emanuel Moench, 2009. "The persistent effects of a false news shock," Staff Reports 374, Federal Reserve Bank of New York.
  22. Alexander Ludwig and Alexander Zimper, 2013. "Biased Bayesian Learning with an Application to the Risk-Free Rate Puzzle," Working Papers 390, Economic Research Southern Africa.
  23. Jianjun Miao & Dirk Hackbarth, 2011. "The dynamics of mergers and acquisitions in oligopolistic industries," Boston University - Department of Economics - Working Papers Series WP2011-029, Boston University - Department of Economics.
  24. Doherty, Neil A. & Kartasheva, Anastasia V. & Phillips, Richard D., 2012. "Information effect of entry into credit ratings market: The case of insurers' ratings," Journal of Financial Economics, Elsevier, vol. 106(2), pages 308-330.
  25. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  26. Dicks, David & Fulghieri, Paolo, 2015. "Ambiguity, Disagreement, and Allocation of Control in Firms," CEPR Discussion Papers 10400, C.E.P.R. Discussion Papers.
  27. Epstein, Larry G. & Seo, Kyoungwon, 2015. "Exchangeable capacities, parameters and incomplete theories," Journal of Economic Theory, Elsevier, vol. 157(C), pages 879-917.
  28. Ellison, Martin & Sargent, Thomas J, 2009. "A defence of the FOMC," CEPR Discussion Papers 7510, C.E.P.R. Discussion Papers.
    • Martin Ellison & Thomas J. Sargent, 2012. "A Defense Of The Fomc," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1047-1065, November.
  29. David R Baqaee, 2014. "Asymmetric In?ation Expectations, Downward Rigidity of Wages,and Asymmetric Business Cycles," Working Paper 139681, Harvard University OpenScholar.
  30. Alexander Ludwig & Alexander Zimper, 2013. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, vol. 9(4), pages 625-665, November.
  31. Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
  32. Rossi, Francesco, 2011. "U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters," MPRA Paper 38303, University Library of Munich, Germany, revised Nov 2011.
  33. Alonso, Irasema & Prado, Jr., Jose Mauricio, 2007. "Ambiguity Aversion, the Equity Premium and the Welfare Costs of Business Cycles," Seminar Papers 752, Stockholm University, Institute for International Economic Studies.
  34. Massimo Guidolin & Francesca Rinaldi, 2011. "Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature," Working Papers 417, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  35. Shaun P. Hargreaves Heap & Daniel John Zizzo, 2011. "Emotions and Chat in a Financial Markets Experiment," Working Paper Series 10, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  36. Qiu, Jianying & Weitzel, Utz, 2013. "Experimental Evidence on Valuation and Learning with Multiple Priors," MPRA Paper 43974, University Library of Munich, Germany.
  37. Nihad Aliyev & Xue-Zhong He, 2016. "Toward a General Model of Financial Markets," Research Paper Series 371, Quantitative Finance Research Centre, University of Technology, Sydney.
  38. Yam, Sheung Chi Phillip & Yang, Hailiang & Yuen, Fei Lung, 2016. "Optimal asset allocation: Risk and information uncertainty," European Journal of Operational Research, Elsevier, vol. 251(2), pages 554-561.
  39. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  40. Lars Helge Haß & Sofia Johan & Denis Schweizer, 2016. "Is Corporate Governance in China Related to Performance Persistence?," Journal of Business Ethics, Springer, vol. 134(4), pages 575-592, April.
  41. Ron Bird & Krishna Reddy & Danny Yeung, 2014. "The relationship between uncertainty and the market reaction to information: Is it influenced by stock-specific characteristics?," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 4(2), pages 113-132.
  42. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  43. Zhijun Zhao, 2011. "Preference Relativity, Ambiguity and Social Welfare Evaluation," Working Papers 352011, Hong Kong Institute for Monetary Research.
  44. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
  45. Chiang, Thomas C. & Nelling, Edward & Tan, Lin, 2008. "The speed of adjustment to information: Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 216-229.
  46. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
  47. John Dickhaut & Radhika Lunawat & Kira Pronin & Jack Stecher, 2011. "Decision making and trade without probabilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 275-288, October.
  48. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
  49. Massimo Guidolin & Francesca Rinaldi, 2010. "A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 105-135.
  50. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
  51. Hui Chen & Nengjiu Ju & Jianjun Miao, . "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
  52. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
  53. Edison Yu, 2013. "Dynamic market participation and endogenous information aggregation," Working Papers 13-42, Federal Reserve Bank of Philadelphia.
  54. Menachem Brenner & Yehuda Izhakian, 2011. "Asset Priving and Ambiguity: Empirical Evidence," Working Papers 11-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  55. Callan Windsor & Gianni La Cava & James Hansen, 2014. "Home Price Beliefs in Australia," RBA Research Discussion Papers rdp2014-04, Reserve Bank of Australia.
  56. Guo, Liang, 2013. "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 279-297.
  57. Cuzman, Ioan & Dima, Bogdan & Dima (Cristea), Stefana Maria, 2010. "IFRSs for financial instruments, quality of information and capital market’s volatility: an empirical assessment for Eurozone," MPRA Paper 27167, University Library of Munich, Germany.
  58. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2006. "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers 5947, C.E.P.R. Discussion Papers.
  59. : David Kelsey & Roman Kozhan & Wei Pang, 2010. "Asymmetric Momentum Effects Under Uncertainty," Working Papers wpn10-04, Warwick Business School, Finance Group.
  60. Autore, Don M. & Billingsley, Randall S. & Schneller, Meir I., 2009. "Information uncertainty and auditor reputation," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 183-192, February.
  61. Vu, Huong & Alsakka, Rasha & Gwilym, Owain ap, 2015. "The credit signals that matter most for sovereign bond spreads with split rating," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 174-191.
  62. Dong, Ming, 2014. "Market reaction to transparency: An empirical study on life insurance demand in Europe," ICIR Working Paper Series 17/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  63. Schröder, David & Cavatorta, Elisa, 2014. "Measuring Ambiguity Preferences," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100593, Verein für Socialpolitik / German Economic Association.
  64. : Kostas Koufopoulos & : Roman Kozhan, 2012. "Optimal Insurance under Advserse Selection and Ambiguity Aversion," Working Papers wpn12-07, Warwick Business School, Finance Group.
  65. Dicks, David & Fulghieri, Paolo, 2016. "Innovation Waves, Investor Sentiment, and Mergers," CEPR Discussion Papers 11082, C.E.P.R. Discussion Papers.
  66. Margarida Abreu & Victor Mendes, 2011. "Information, Overconfidence and Trading: Do the Sources of Information Matter?," Working Papers Department of Economics 2011/25, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  67. Antonio Mele & Francesco Sangiorgi, 2009. "Ambiguity, information acquisition and price swings in asset markets," LSE Research Online Documents on Economics 24424, London School of Economics and Political Science, LSE Library.
  68. repec:bos:wpaper:wp2013-001 is not listed on IDEAS
  69. Yehuda Izhakian & David Yermack, 2014. "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers 19975, National Bureau of Economic Research, Inc.
  70. Dong, Ming, 2014. "The impact of firm-level transparency on the ex ante risk decisions of insurers: Evidence from an empirical study," ICIR Working Paper Series 14/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  71. : Constantinos Antoniou & : Richard D.F. Harris & : Ruogu Zhang, 2013. "Ambiguity Aversion and Stock Market Participation: Evidence from Fund Flows," Working Papers wpn13-01, Warwick Business School, Finance Group.
  72. Robert Kast, 2011. "Managing financial risks due to natural catastrophes," Working Papers hal-00610241, HAL.
  73. Huang, Rachel J. & Huang, Yi-Chieh & Tzeng, Larry Y., 2013. "Insurance bargaining under ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 812-820.
  74. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
  75. Windsor, Callan & La Cava, Gianni & Hansen, James, 2015. "Home price beliefs: Evidence from Australia," Journal of Housing Economics, Elsevier, vol. 29(C), pages 41-58.
  76. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.
  77. Tang, Michael & Zarowin, Paul & Zhang, Li, 2015. "How do analysts interpret management range forecasts?," Accounting, Organizations and Society, Elsevier, vol. 42(C), pages 48-66.
  78. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  79. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 469-491, October.
  80. Bernile, Gennaro & Jarrell, Gregg A., 2009. "The impact of the options backdating scandal on shareholders," Journal of Accounting and Economics, Elsevier, vol. 47(1-2), pages 2-26, March.
  81. Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013. "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2991-3006.
  82. Serguey Khovansky & Zhylyevskyy, Oleksandr, 2012. "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns," Staff General Research Papers Archive 34990, Iowa State University, Department of Economics.
  83. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
  84. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
  85. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
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