Economics at your fingertips  

Safety First, Learning Under Ambiguity, and the Cross-Section of Stock Returns

Ariel Viale (), Luis Garcia-Feijoo and Antoine Giannetti

Review of Asset Pricing Studies, 2014, vol. 4, issue 1, 118-159

Abstract: We examine the empirical implications of learning under ambiguity for the cross-section of stock returns. We introduce a theoretically-motivated ambiguity measure and find that ambiguity is priced in the cross-section of average stock returns. Ambiguity is not subsumed by state variables known to predict stock returns, nor by value, size, and momentum factors. In R-squared comparative tests, a model that takes ambiguity into account performs better than empirical implementations of the Bayesian learning model, the intertemporal CAPM, and the four-factor model of Fama and French (1993) and Carhart (1997).

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Review of Asset Pricing Studies is currently edited by Wayne Ferson

More articles in Review of Asset Pricing Studies from Oxford University Press
Bibliographic data for series maintained by Oxford University Press ().

Page updated 2020-10-17
Handle: RePEc:oup:rasset:v:4:y:2014:i:1:p:118-159.