The impact of risk and uncertainty on expected returns

被引:188
作者
Anderson, Evan W. [1 ]
Ghysels, Eric [2 ,3 ,4 ]
Juergens, Jennifer L. [5 ]
机构
[1] No Illinois Univ, Dept Econ, De Kalb, IL 60115 USA
[2] Univ N Carolina, Dept Finance, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA
[3] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA
[4] Fed Reserve Bank New York, Res Dept, New York, NY USA
[5] Univ Texas Austin, Red McCombs Sch Business, Dept Finance, Austin, TX 78712 USA
关键词
Conditional volatility; Model uncertainty; Disagreement; Factor models; ROBUST PORTFOLIO RULES; STOCK RETURNS; CROSS-SECTION; MODEL MISSPECIFICATION; ASSET RETURNS; VOLATILITY; MARKET; HETEROSKEDASTICITY; EXPECTATIONS; ESTIMATORS;
D O I
10.1016/j.jfineco.2008.11.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical risk-return trade-off and augment these models with our measure of uncertainty. We find stronger empirical evidence for an uncertainty-return trade-off than for the traditional risk-return trade-off. Finally, we investigate the performance of a two-factor model with risk and uncertainty in the cross section. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码:233 / 263
页数:31
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