메뉴 건너뛰기




Volumn 22, Issue 9, 2009, Pages 3595-3627

Information in equity markets with ambiguity-averse investors

Author keywords

[No Author keywords available]

Indexed keywords


EID: 71949104867     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhn062     Document Type: Article
Times cited : (86)

References (17)
  • 2
    • 0042350815 scopus 로고    scopus 로고
    • A survey of behavioral finance
    • G. Constantinides, M. Harris, and R. Stulz (eds), chap. 18, Amsterdam, The Netherlands: Elsevier Science
    • Barberis, N., and R. Thaler. 2003. A Survey of Behavioral Finance, in G. Constantinides, M. Harris, and R. Stulz (eds), Handbook of the Economics of Finance, vol.1B, chap. 18, pp. 1051-1121. Amsterdam, The Netherlands: Elsevier Science.
    • (2003) Handbook of the Economics of Finance , vol.1 B , pp. 1051-1121
    • Barberis, N.1    Thaler, R.2
  • 4
    • 0000909526 scopus 로고
    • Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
    • Bernard, V., and J. Thomas. 1990. Evidence That Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings. Journal of Accounting and Economics 13(4):305-340
    • (1990) Journal of Accounting and Economics , vol.13 , Issue.4 , pp. 305-340
    • Bernard, V.1    Thomas, J.2
  • 5
    • 0000129333 scopus 로고
    • Equivalent comparisons of experiments
    • Blackwell, D. 1953. Equivalent Comparisons of Experiments. Annals of Mathematical Statistics 24(2):267-272
    • (1953) Annals of Mathematical Statistics , vol.24 , Issue.2 , pp. 267-272
    • Blackwell, D.1
  • 6
    • 27544452916 scopus 로고    scopus 로고
    • Model uncertainty, limited market participation and asset prices
    • Cao, H., T. Wang, and H. Zhang. 2005. Model Uncertainty, Limited Market Participation and Asset Prices. Review of Financial Studies 18(4):1219-1251
    • (2005) Review of Financial Studies , vol.18 , Issue.4 , pp. 1219-1251
    • Cao, H.1    Wang, T.2    Zhang, H.3
  • 7
    • 0000672689 scopus 로고
    • Uncertainty aversion, risk aversion and the optimal choice of Portfolio
    • Dow, J., and S. Werlang. 1992. Uncertainty Aversion, Risk Aversion and the Optimal Choice of Portfolio. Econometrica 60(1):197-204.
    • (1992) Econometrica , vol.60 , Issue.11 , pp. 197-204
    • Dow, J.1    Werlang, S.2
  • 8
    • 2442609381 scopus 로고    scopus 로고
    • Information and the cost of capital
    • Easley, D., and M. O'Hara. 2004. Information and the Cost of Capital. Journal of Finance 59(4):1553-1583
    • (2004) Journal of Finance , vol.59 , Issue.4 , pp. 1553-1583
    • Easley, D.1    O'Hara, M.2
  • 10
    • 84957363402 scopus 로고
    • Risk, ambiguity and the savage axioms
    • Ellsberg, D. 1961. Risk, Ambiguity and the Savage Axioms. Quarterly Journal of Economics 75(4):643-669
    • (1961) Quarterly Journal of Economics , vol.75 , Issue.4 , pp. 643-669
    • Ellsberg, D.1
  • 11
    • 38149027568 scopus 로고    scopus 로고
    • Ambiguity, information quality and asset pricing
    • Epstein, L., and M. Schneider. 2008. Ambiguity, Information Quality and Asset Pricing. Journal of Finance 63(1):197-228.
    • (2008) Journal of Finance , vol.63 , Issue.1 , pp. 197-228
    • Epstein, L.1    Schneider, M.2
  • 12
    • 0000206041 scopus 로고
    • Intertemporal asset pricing under Knightian uncertainty
    • Epstein, L., and T. Wang. 1994. Intertemporal Asset Pricing under Knightian Uncertainty. Econometrica 62(2):283-322.
    • (1994) Econometrica , vol.62 , Issue.2 , pp. 283-322
    • Epstein, L.1    Wang, T.2
  • 13
    • 0037289089 scopus 로고    scopus 로고
    • Accrued earnings and growth: Implications for future profitability and market mispricing
    • Fairfield, P., J. Whisenant, and T. Yohn. 2003. Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing. The Accounting Review 78(1):353-371
    • (2003) The Accounting Review , vol.78 , Issue.1 , pp. 353-371
    • Fairfield, P.1    Whisenant, J.2    Yohn, T.3
  • 14
    • 33847238370 scopus 로고    scopus 로고
    • Disagreement, tastes and asset prices
    • Fama, E., and K. French. 2007. Disagreement, Tastes and Asset Prices. Journal of Financial Economics 83(3):667-689
    • (2007) Journal of Financial Economics , vol.83 , Issue.3 , pp. 667-689
    • Fama, E.1    French, K.2
  • 15
    • 0001266334 scopus 로고
    • Maxmin expected utility with a non-unique prior
    • Gilboa, I., and D. Schmeidler. 1989. Maxmin Expected Utility with a Non-Unique Prior. Journal of Mathematical Economics 18(2):141-153
    • (1989) Journal of Mathematical Economics , vol.18 , Issue.2 , pp. 141-153
    • Gilboa, I.1    Schmeidler, D.2
  • 16
    • 30744462019 scopus 로고    scopus 로고
    • Does ambiguity aversion reinforce risk aversion?
    • Working Paper, University of Toulouse
    • Gollier, C. 2005. Does Ambiguity Aversion Reinforce Risk Aversion? Applications to Portfolio Choices and Asset Prices. Working Paper, University of Toulouse.
    • (2005) Applications to Portfolio Choices and Asset Prices
    • Gollier, C.1
  • 17
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman, S., and J. Stiglitz. 1980. On the Impossibility of Informationally Efficient Markets. American Economic Review 70(3):393-408.
    • (1980) American Economic Review , vol.70 , Issue.3 , pp. 393-408
    • Grossman, S.1    Stiglitz, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.