Ambiguity and Asset Markets

By Larry G. Epstein, Martin Schneider. 2010

360 citations recorded by the source corpus.

Subfields: Finance, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2ca38c3f5a5c84da3c67fc16c73bbe2c12210133

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Citations in the corpus

Uncertainty, Information Acquisition and Price Swings in Asset Markets (2015, background): “The literature on the impact of Knightian uncertainty and ambiguity aversion on asset prices is expanding at a fast pace (e.g., Epstein and Wang, 1994, 1995; Uppal and Wang, 2003; Maenhout, 2004; Cao, Wang and Zhang, 2005; Caballero and Krishnamurthy, 2008; Epstein and Schneider, 2008; Hansen and Sa”
Risk Preferences and the Macroeconomic Announcement Premium (2018, neutral): “We refer the readers to Epstein and Schneider (2010) for a review of asset pricing studies with the maxmin expected utility model; Ju and Miao (2012) for an application of the smooth ambiguity-averse preference; Hansen and Sargent (2008) for the robust control preference; Routledge and Zin (2010)…”
Randomization and Ambiguity Aversion (2020, background): “23See, among others, Easley and O’Hara (2010); Epstein and Schneider (2010); Antić (2014); Easley et al. (2014); and Ilut, Kehrig, and Schneider (2018). randomization should render ambiguity irrelevant—and the other argues that the effect of ambiguity is unaffected by randomization.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, neutral): “Before moving on to the core of our review, let us mention that a few papers have reviewed the literature on ambiguity (Camerer and Weber 1992; Epstein and Schneider 2010; Etner et al. 2009; Gilboa et al. 2008; Mukerji and Tallon 2004; Wakker 2008; Gilboa and Marinacci 2011).”
Ambiguous Information, Portfolio Inertia, and Excess Volatility (2011, background): “Epstein and Schneider (2010) show that portfolio inertia can also arise for risky portfolios when investors use an ambiguous asset to hedge a risky bond position.”
Asset pricing and ambiguity: Empirical evidence (2018, neutral): “Epstein (2010) also uses this quotation to express the idea that fitting moments is not sufficient for supporting a theoretical model. to reconcile the conflicting findings.”
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, neutral): “It has since been used in a number of studies in finance and macroeconomics (see Epstein and Schneider (2010) or Guidolin and Rinaldi (2013) for surveys).”
Good and bad uncertainty: Macroeconomic and financial market implications ☆ (2015, background): “This is distinct from other aspects of uncertainty, such as parameter uncertainty, learning, robust-control, and ambiguity (see discussions in Pastor and Veronesi (2009), Hansen and Sargent (2010), Epstein and Schneider (2010)).”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “Ambiguity aversion has been applied in finance in a number of ways (Epstein and Schneider, 2010).”
Chapter 21 - Household Finance: An Emerging Field∗ (2013, neutral): “Thus, aversion to ambiguity may potentially explain why investors demand a high equity premium to hold stocks (e.g. Epstein and Schneider, 2010).”