Ambiguous Information, Portfolio Inertia, and Excess Volatility

By Philipp Karl Illeditsch. 2011

145 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d5aa63b2d91c9a32bfe88d0fe4c0f6486e0dce9a

Citations in the corpus

• Asset pricing and ambiguity: Empirical evidence (2018, unknown): “…a surge in research that focuses on other theoretical aspects of ambiguity, such as limited market participation (e.g., Dow and Werlang (1992)), portfolio inertia (e.g., Illeditsch (2011)) and extensions of the CAPM that incorporate ambiguity (e.g., Chen and Epstein (2002) and Izhakian (2012)).”
• Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, unknown): “Caskey (2009) and Illeditsch (2011) study the e¤ects of " ambiguous " information on investors'market trades and valuations.”