The impact of risk and uncertainty on expected returns.

By Evan W. Anderson, Eric Ghysels, Jennifer L. Juergens. 2009

383 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bf3d4e94ad0e36de0575e91c8ad9e5ad2015855b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Hao Zhou
2. Turan G. Bali
3. Yawei Guo
4. Huiming Zhu
5. A. Melé
6. Francesco Sangiorgi
7. Wanhai You
8. Yong Tang

In Finance

1. Hao Zhou
2. Turan G. Bali
3. A. Melé
4. Francesco Sangiorgi
5. Huiming Zhu
6. Wanhai You
7. Yong Tang
8. Yawei Guo

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; Maenhout, 2004; Cao, Wang and Zhang, 2005; Leippold, Trojani and Vanini, 2007; Anderson, Ghysels and Juergens, 2007; Epstein and Schneider, ”
• Asset pricing and ambiguity: Empirical evidence (2018, neutral): “, Anderson et al. (2009) and Antoniou et al.. (2014)). Most empirical (behavioral) studies about ambiguity use data collected in controlled experiments and focus on individuals’ attitudes toward ambiguity rather than on the implications of ambiguity itself. Only a few studies use market data to prox”
• Information in Equity Markets with Ambiguity-Averse Investors (2009, background): “Anderson, Ghysels, and Juergens (2006) provide empirical evidence that ambiguity explains a significant portion of equity returns.”
• Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017, background): “A growing number of studies provide evidence that uncertainty affects financial markets, such as equity portfolios and stocks (Anderson et al., 2009; Bekaert et al., 2009; Pástor and Veronesi, 2012; Brogaard and Detzel, 2015; Bekiros et al., 2016), volatility and investment opportunities (Bloom et…”
• Macroeconomic Risk and Hedge Fund Returns (2014, neutral): “Phone: +90 (216) 564-9518, E-mail: mustafa.caglayan@ozyegin.edu.tr  Electronic copy available at: http://ssrn.com/abstract=2343256   1  ”
• Risk, Uncertainty, and Expected Returns (2011, background): “Anderson, Ghysels, and Juergens (2009) introduce a model in which the volatility, skewness, and higher-order moments of all returns are known exactly, whereas there is uncertainty about mean returns.”
• Asymmetric Responses to Earnings News: A Case for Ambiguity (2015, neutral): “Anderson et al. (2008) use as a proxy for variation in ambiguity the quarterly dispersion in professional forecasters.”
• A theory of corporate financial decisions with liquidity and solvency concerns (2011, neutral): “These findings suggest that empirical studies should pay attention to the effects of uncertainty besides the usual focus on volatility (see, e.g., Anderson, Ghysels, and Juergens (2009) for an empirical proxy of long-term uncertainty).”