Ambiguity and asset pricing: An empirical investigation for an emerging market

Sahin B. C., DANIŞOĞLU S.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, cilt.84, 2022 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 84
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1016/j.irfa.2022.102338
  • Dergi Adı: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit
  • Anahtar Kelimeler: Ambiguity, Asset pricing, Ambiguity index, CROSS-SECTION, STOCK RETURNS, EXPECTED UTILITY, COMMON-STOCKS, RISK, EQUILIBRIUM, LIQUIDITY, UNCERTAINTY, VALUATION, ANOMALIES
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

This study explores the impact of ambiguity on returns of both individual stocks and stock portfolios in an emerging market setting. First, an ambiguity index is derived and then the sensitivity of stock returns to am-biguity is analyzed while controlling for the other risk factors commonly cited in the literature. Results show that stocks with a high (low) sensitivity to ambiguity generate higher (lower) excess returns. These results are intuitive in the sense that investors seem to ask for lower returns from those stocks that serve as a natural hedge against ambiguity. Our findings are also in line with the earlier studies that provide similar evidence from the US stock markets.