Model Uncertainty, Limited Market Participation and Asset Prices

By H. Cao, Tan Wang, Harold H. Zhang, Cheung Kong. 2005

369 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/45255b9424756f43ee90802846c3f4aa94a46a91

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Citations in the corpus

IQ and stock market participation (2011, neutral): “…Smith, and Weisbenner 2008), non-standard preferences with agents exhibiting ambiguity aversion (Dow and Werlang 1992; Ang, Bekaert, and Liu 2005; Cao, Wang, and Zhang 2005; Epstein and Schneider 2006), lack of education (Campbell 2006; Calvet, Campbell, and Sodini 2007; Christiansen, Joensen,…”
Fear of the Unknown: Familiarity and Economic Decisions (2007, neutral): “Our paper differs in several ways from previous studies relating ambiguity aversion and model uncertainty to underdiversification and home bias (e.g., Dow and Werlang, 1992; Uppal and Wang, 2003; Epstein and Miao, 2003; Cao, Wang, and Zhang, 2005).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, positive): “Even though a closed-form solution for optimal portfolio weights fails to exist, using (15), and denoting by ω the composition of the market portfolio, Kogan and Wang show that a basic two-factor beta representation holds:”
Ambiguity, Learning, and Asset Returns (2009, methodology): “We reproduce data moments estimated by Cecchetti et al. (2000) in Table 2.”
Risk, Uncertainty, and Option Exercise (2011, neutral): “We now analyze the implications of ambiguity and ambiguity aversion on the option exercise decision for the preceding baseline model.”
Ambiguity and Asset Markets (2010, background): “The reason is that the more ambiguity averse group might leave the market altogether, leaving the less ambiguity averse agents driving prices (Cao et al. 2005, Chapman & Polkovnichenko 2009, Ui 2009).”
Ambiguous Information, Portfolio Inertia, and Excess Volatility (2011, background): “…stock prices can be distinguished from the effects of risk alone.4 It is well known that ambiguity aversion leads to portfolio inertia for the riskfree portfolio and thus helps explain non-market participation (Dow and Werlang (1992), Cao, Wang, and Zhang (2005), and Epstein and Schneider (2007)).”
Information in Equity Markets with Ambiguity-Averse Investors (2009, background): “…costly to satisfy SEU investors’ demand for a more informative signal because it is too costly to satisfy AA investors with further reductions in λ. Cao, Wang, and Zhang (2005) show that ambiguity aversion can induce a conglomerate discount whereby the value of a combined firm falls below the…”
Liquidity and Valuation in an Uncertain World (2010, background): “Cao, Wang, and Zhang [2005] use a similar approach, model uncertainty, to explain limited market participation, while Garlappi, Uppal and Wang [2007] apply model uncertainty to explain portfolio selection.”