Ambiguity, Information Quality and Asset Pricing

By Larry G. Epstein, Martin Schneider. 2008

816 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6c5301551fe08ffe0bf2d67bf8876f15a2aa822a

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Citations in the corpus

Risk, Uncertainty, and Option Exercise (2011, neutral): “5 See Chen and Epstein (2002), Epstein and Miao (2003), Epstein and Schneider (2006, 2007), Epstein and Wang (1994, 1995), Kogan and Wang (2002), Miao (2004, 2009), and Routledge and Zin (2009).”
Ambiguity and Asset Markets (2010, methodology): “Thus, to assess various models, we rely on thought experiments, the following of which is based on Epstein & Schneider (2008).”
Asymmetric Responses to Earnings News: A Case for Ambiguity (2015, positive): “Epstein and Schneider (2008) point out the importance of ambiguity shocks when empirically studying ambiguity, because agents are in novel environments.”
The Impact of the Options Backdating Scandal on Shareholders (2009, background): “Recent studies formalize this notion and show that investors’ perception about disclosure quality can affect firm value (Duffie and Lando, 2001; Easley and O’Hara, 2004; Kumar et al., 2006; Epstein and Schneider, 2007).”
Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts (2012, neutral): “31 The substantial decrease in information rigidity during recessions could also be consistent with models in which agents have ambiguity aversion, as in Epstein and Schneider (2008) and Ilut (2010).”
Signaling in Equity Crowdfunding (2015, neutral): “Investors will therefore have a better basis on which to form expectations, which is commonly favored by investors in the sense of Epstein and Schneider (2008), and increase funding success.”
Information, overconfidence and trading: Do the sources of information matter? (2012, background): “rebalancing) than news from a less reliable one (Epstein and Schneider, 2008).”
The debt market relevance of management earnings forecasts: evidence from before and during the credit crisis (2011, neutral): “To the extent that Epstein and Schneider (2008) model characterizes the behavior of investors during the recent credit crisis, we would expect the CDS spread reactions to management forecasts to be more (less) negative (positive) for bad (good) news during the financial crisis than in the…”
Ambiguous Information, Portfolio Inertia, and Excess Volatility (2011, background): “This paper is most closely related to Epstein and Schneider (2008), who investigate the impact of ambiguous information on stock prices assuming a representative investor who is risk neutral and averse to ambiguous information.”
Target’s earnings quality and bidders’ takeover decisions (2013, neutral): “Moreover, Epstein and Schneider (2008) note that ambiguity-averse investors will discount the price of low-information-quality stocks when the fundamentals of their assets are volatile, which also predicts a negative relation between symmetric uncertainty and bid premium.”
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, neutral): “In particular, Epstein and Schneider (2008), Leippold et al. (2008), Sbuelz and Trojani (2008) and Drechsler (2013) consider the effect of time varying ambiguity on asset prices.”
Accruals Quality, Stock Returns, and Macroeconomic Conditions (2010, neutral): “Based on their theoretical model, Epstein and Schneider (2008) also demonstrate that investors require a higher risk premium for poorer information quality, especially when the underlying fundamentals are volatile.”
Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis (2009, background): “Epstein and Schneider (2008) conjecture that shocks to information quality can have persistent negative effects on prices even if fundamentals do not change.”