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On Equilibrium Pricing under Parameter Uncertainty
Open accessAbstract
Prior theoretical work on estimation risk generally has been restricted to single-period, returns-based models in which the investor must estimate the vector of expected returns but the covariance matrix is known. This paper extends the literature on parameter uncertainty in several ways. First, we analyze asymmetric parameter uncertainty in a model based on payoffs. Second, we explore the effects of both symmetric and asymmetric estimation risk on equilibrium asset prices when the covariance matrix for payoffs must also be estimated. Finally, we investigate the effects on equilibrium of asymmetric parameter uncertainty in a simple multiperiod model.
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Botosan, C. A. (1997) · The Accounting Review · doi:10.2308/tar-9709240185 · Cited by 3,436
Accounting Information, Disclosure, and the Cost of Capital
LAMBERT, R., LEUZ, C., & VERRECCHIA, R. E. (2007) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2007.00238.x · Cited by 2,586
HAIL, L., & LEUZ, C. (2006) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2006.00209.x · Cited by 1,371
Voluntary environmental disclosure quality and firm value: Further evidence
Plumlee, M., Brown, D., Hayes, R. M., & Marshall, R. S. (2015) · Journal of Accounting and Public Policy · doi:10.1016/j.jaccpubpol.2015.04.004 · Cited by 1,031
Business sustainability performance and cost of equity capital
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Metadata
- Authors
- Coles, J. L., Loewenstein, U., & Suay, J.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1995-09
- Volume
- 30
- Issue
- 3
- Pages
- 347
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2029583424
- Cited by
- 320
- References
- 18
- FWCI
- 4.07
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
