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On Identification of Ambiguity Premium

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  • Katsutoshi WAKAI

Abstract

Based on the smooth model of decision making under ambiguity as proposed by Klibanoff, Marinacci, and Mukerji (2005, 2009), we derive a method that selects assets whose regression constant from the factor regression captures ambiguity premium.

Suggested Citation

  • Katsutoshi WAKAI, 2019. "On Identification of Ambiguity Premium," Discussion papers e-18-009, Graduate School of Economics , Kyoto University.
    • Handle: RePEc:kue:epaper:e-18-009
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    File URL: http://www.econ.kyoto-u.ac.jp/dp/papers/e-18-009.pdf
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    References listed on IDEAS

    as
    1. Klibanoff, Peter & Marinacci, Massimo & Mukerji, Sujoy, 2009. "Recursive smooth ambiguity preferences," Journal of Economic Theory, Elsevier, vol. 144(3), pages 930-976, May.
    2. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
    3. Katsutoshi Wakai, 2018. "A Factor Pricing Model under Ambiguity," Discussion papers e-17-012, Graduate School of Economics , Kyoto University.
    4. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Ambiguity aversion; asset pricing; factor pricing;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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