Ambiguity, limited market participation, and the cross-sectional stock return
Using expected utility under uncertain probability theory (EUUP, Izhakian, 2017, 2020), we study whether the ambiguity related to individual stocks is priced in the Chinese A-share market and the mechanism behind the ambiguity premium phenomenon. Theoretically, when the asset price is within a speci...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2024-12-01
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| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232024000349 |
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