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  • Ambiguity, Information Quality, and Asset Pricing - EPSTEIN - 2008 . . .
    Ambiguity, Information Quality, and Asset Pricing Larry G Epstein is with the Department of Economics, Boston University Martin Schneider is with the Department of Economics, NYU and the Federal Reserve Bank of Minneapolis We are grateful to Robert Stambaugh (the editor) and an anonymous referee for very helpful comments
  • Ambiguity, Information Quality, and Asset Pricing
    ABSTRACT When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality As a result, they react more strongly to bad news than to good news They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile These effects induce ambiguity premia that depend on idiosyncratic
  • Epstein, L. G. , Schneider, M. (2008). Ambiguity, Information Quality . . .
    Epstein, L G , Schneider, M (2008) Ambiguity, Information Quality, and Asset Pricing The Journal of Finance, 63, 197-228
  • ‪Larry G Epstein‬ - ‪Google Scholar‬
    ‪Professor of Economics, McGill University‬ - ‪‪Cited by 26,496‬‬ - ‪decision theory‬ - ‪asset pricing‬ - ‪microeconomics‬
  • Ambiguity, Information Quality, and Asset Pricing: Larry G . . . - Scribd
    THE JOURNAL OF FINANCE • VOL LXIII, NO 1 • FEBRUARY 2008 Ambiguity, Information Quality, and Asset Pricing LARRY G EPSTEIN and MARTIN SCHNEIDER∗ ABSTRACT When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality As a result, they react more strongly to bad news than to good news They also dislike assets for which
  • Ambiguity, Information Quality, and Asset Pricing
    When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality As a result, they react more strongly to bad news than to good news They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile These effects induce ambiguity premia that depend on idiosyncratic risk in
  • ambsig31. dvi - Boston University
    To model preferences (as opposed to merely beliefs), we use recursive multiple-priors utility, axiomatized in Epstein and Schneider [12] The axioms describe behavior that is consistent with experimental evidence typified by the Ellsberg Paradox They imply that an ambiguity averse agent behaves as if he maximizes, every period, expected utility under a worst-case belief that is chosen from a
  • ambsig15. dvi - pages. stern. nyu. edu
    To model preferences (as opposed to merely beliefs), we use recursive multiple-priors utility, axiomatized in Epstein and Schneider [17] The axioms describe behavior that is consistent with experimental evidence typified by the Ellsberg Paradox They imply that an ambiguity averse agent behaves as if he maximizes, every period, expected utility under a worst-case belief that is chosen from a




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