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Cited by 404

The DOI matches its Crossref record; 86 of the 86 references it cites were found in a registry or an index.

Ambiguity, Learning, and Asset Returns

Open access
·2012·Econometrica
DOI 10.3982/ecta7618
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Abstract

We propose a novel generalized recursive smooth ambiguity model which permits a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset-pricing model in which consumption and dividends follow hidden Markov regime-switching processes. Our calibrated model can match the mean equity premium, the mean risk-free rate, and the volatility of the equity premium observed in the data. In addition, our model can generate a variety of dynamic asset-pricing phenomena, including the procyclical variation of price–dividend ratios, the countercyclical variation of equity premia and equity volatility, the leverage effect, and the mean reversion of excess returns. The key intuition is that an ambiguity-averse agent behaves pessimistically by attaching more weight to the pricing kernel in bad times when his continuation values are low.

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Registry

Crossref · 10.3982/ecta7618

Cites

86 of 86 references verified0 citation errors · 0 not checkable

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Citations

Cites

Metadata

Venue
Econometrica
Publisher
The Econometric Society
Published
2012
Volume
80
Issue
2
Pages
559-591
ISSN
0012-9682 (ISSN-L)
DOI
10.3982/ecta7618
OpenAlex
W3123661715
Cited by
404
References
86
FWCI
57.31
Type
journal article
Language
en
Open access
bronze

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Data sources

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.