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

2022-11-01
Sahin, Baki Cem
Danışoğlu, Seza
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.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

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Citation Formats
B. C. Sahin and S. Danışoğlu, “Ambiguity and asset pricing: An empirical investigation for an emerging market,” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 84, pp. 0–0, 2022, Accessed: 00, 2022. [Online]. Available: https://hdl.handle.net/11511/99253.