Economic uncertainty: Mispricing and ambiguity premium
نویسندگان
چکیده
We uncover two channels of effect in the financial market when investors face macroeconomic uncertainty. Conditional on a common mispricing index, we find that economic uncertainty exposure (EUE) induces disagreement, which amplifies mispricing. The highest EUE quintile produces an annualized alpha 9.96%, more than double unconditional effect. An ambiguity premium 3.84% is documented “non-mispricing” quintile. EUE-induced different from existing limits arbitrage explanations. predictably observed during unfolding shocks Covid-19 to market. This article protected by copyright. All rights reserved.
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ژورنال
عنوان ژورنال: European Financial Management
سال: 2022
ISSN: ['1468-036X', '1354-7798']
DOI: https://doi.org/10.1111/eufm.12403