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Ambiguity and the Historical Equity Premium

Ambiguity and the historical equity premium
descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 2011 United Kingdom, France, United Kingdom English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; Tallon, Jean-Marc;

doi: 10.2139/ssrn.1836297 , 10.3982/qe708 , 10.2139/ssrn.1837349

handle: 10419/217119 , 10419/184786

Ambiguity and the Historical Equity Premium

Abstract

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United Kingdom, France, United Kingdom
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Keywords

330, uncertainty shocks, Ambiguity aversion, time-varying uncertainty, Ambiguity Aversion, Asset pricing, Equity premium puzzle, uncertainty shocks, time-varying uncertainty, Inference from stochastic processes and prediction, Equity premium puzzle, equity premium puzzle, G12, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, B- ECONOMIE ET FINANCE, Statistical methods; risk measures, ambiguity aversion, Ambiguity aversion,Asset pricing,Equity premium puzzle,Time-varying uncertainty,Uncertainty shocks, ddc:330, asset pricing, Asset pricing, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, D81, Time series, auto-correlation, regression, etc. in statistics (GARCH), C63, Time-varying uncertainty, Uncertainty shocks, E21, jel: jel:D81, jel: jel:C63, jel: jel:E21, jel: jel:G12

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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
64
Top 10%
Top 10%
Top 10%
Green
gold