The impact of risk and uncertainty on expected returns.

No abstract is available for this paper.

• Publication year

  2009

• Venue

  Journal of Financial Economics

• Publication date

  2009-06-22

• Fields of study

  Economics

• Identifiers
  DOI 10.1016/J.JFINECO.2008.11.001
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Merton, Robert C.

  2010cited by this paper
• Twenty-Two Years

  2009cited by this paper
• The economic nature of the firm: From Risk, Uncertainty, and Profit

  2009influential reference
• Forecasting Professional Forecasters

  2009cited by this paper
• Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets

  2008cited by this paper
• Recursive robust estimation and control without commitment

  2007cited by this paper
• Components of Market Risk and Return

  2007cited by this paper
• The relationship between risk and expected return in Europe.

  2007cited by this paper
• MIDAS Regressions: Further Results and New Directions

  2007cited by this paper
• Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

  2007cited by this paper
• The Cross-Section of Volatility and Expected Returns

  2006cited by this paper
• Robust control and model misspecification

  2006cited by this paper
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

  2006cited by this paper
• NBER WORKING PAPER SERIES A SKEPTICAL APPRAISAL OF ASSET-PRICING TESTS

  2006cited by this paper
• Robust estimation and control under commitment

  2005cited by this paper
• There is a Risk-Return Tradeoff after All

  2005cited by this paper
• Using Expectations to Test Asset Pricing Models

  2005cited by this paper
• Do Heterogeneous Beliefs Matter for Asset Pricing

  2005cited by this paper
• Robust Portfolio Rules and Asset Pricing

  2004cited by this paper
• Uncovering the Risk-Return Relation in the Stock Market

  2004cited by this paper
• A Simple Theory of Asset Pricing under Model Uncertainty

  2003cited by this paper
• A QUARTET OF SEMIGROUPS FOR MODEL SPECIFICATION, ROBUSTNESS, PRICES OF RISK, AND MODEL DETECTION

  2003cited by this paper
• Robust control of forward-looking models

  2003cited by this paper
• Differences of Opinion and the Cross Section of Stock Returns

  2002cited by this paper
• On the Relationship Between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach ∗

  2002cited by this paper
• Model Misspecification and Under-Diversification ∗

  2002cited by this paper
• Updating Expected Returns Based on Consensus Forecasts

  2001cited by this paper
• The Specification of Conditional Expectations

  2001cited by this paper
• Acknowledging Misspecification in Macroeconomic Theory

  2001cited by this paper
• Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective

  2001cited by this paper
• Toward an Implied Cost of Capital

  2001cited by this paper
• The declining U.S. equity premium

  2000cited by this paper
• Ambiguity, risk, and asset returns in continuous time

  2000cited by this paper
• Robust Permanent Income and Pricing

  1999cited by this paper
• Continuous Record Asymptotics for Rolling Sample Variance Estimators

  1996cited by this paper
• Discounted linear exponential quadratic Gaussian control

  1995cited by this paper
• Assessing Specification Errors in Stochastic Discount Factor Models

  1994cited by this paper
• Introducing: The Survey of Professional Forecasters

  1993cited by this paper
• On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

  1993cited by this paper
• Business Cycles, Indicators and Forecasting

  1993cited by this paper
• No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns

  1992cited by this paper
• Twenty-Two Years of the Nber-Asa Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance

  1992cited by this paper
• CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH

  1991cited by this paper
• Stock Returns and Volatility

  1990cited by this paper
• The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

  1988cited by this paper
• Stock Returns and the Term Structure

  1987cited by this paper
• Expected stock returns and volatility

  1987cited by this paper
• Rational Expectations and Macroeconomic Forecasts

  1985cited by this paper
• LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF

  1982cited by this paper
• On Estimating the Expected Return on the Market: An Exploratory Investigation

  1980cited by this paper
• Risk, Uncertainty, and Divergence of Opinion

  1977cited by this paper
• AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL

  1973cited by this paper
• The Investment, Financing, and Valuation of the Corporation.

  1963cited by this paper
• The Theory of Investment Value.

  1939cited by this paper
• The General Theory of Employment

  1937influential reference
• forthcoming: The Review of Financial Studies

  year unknowncited by this paper
• *London Business School.

  year unknowninfluential reference
• Série Scientifique Scientific Series Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

  year unknowncited by this paper

• Geopolitical risk and the cross-section of stock returns: International evidence

  2026cites this paper
• Text-implied uncertainty in 10-K filings: Do investors get the message?

  2026cites this paper
• Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

  2026cites this paper
• Learning about Ambiguous Long-Term Prospects

  2026cites this paper
• Hedges of the Second Republic: firms, equity investors and political uncertainty in a nascent democracy, 1930–1936

  2025cites this paper
• Cautious and Conscientious or Fish in Troubled Waters: Knightian Uncertainty and Financial Restatement

  2025cites this paper
• So oddly calm: democratization and stock market liquidity in interwar Spain, 1914–1936

  2025cites this paper
• Risk, uncertainty, world business cycles, and the U.S. stock-oil relationship

  2025cites this paper
• The Value of Investor Sophistication

  2025cites this paper
• Information Acquisition ahead of Monetary Policy Announcements

  2025cites this paper
• Contemporaneous ESG ratings and idiosyncratic stock risk: Empirical evidence on measures of market consensus and dispersion

  2025cites this paper
• Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method

  2025cites this paper
• Is climate policy uncertainty priced in China?

  2025cites this paper
• Ambiguity and information tradeoffs

  2025cites this paper
• Dynamic Asset Pricing: Integrating FinBERT-Based Sentiment Quantification with the Fama-French Five-Factor Model

  2025cites this paper
• The equity premium and the disconnect between uncertainty and volatility: A global perspective

  2025cites this paper
• Study on the dynamic relationship among economic policy uncertainty, bitcoin and energy price

  2025cites this paper
• Have the Chinese crude oil futures prices made a progress towards becoming the regional oil pricing benchmark? Empirical analysis from the asset pricing perspective

  2025cites this paper
• Economic Policy Uncertainty and Stock Returns in China: The Role of Regulatory Short-selling Constraints

  2025cites this paper
• Uncertainty words and corporate information environment

  2025cites this paper
• Ambiguity and stock price crash risk: Evidence from China

  2025cites this paper
• Competence and ambiguity aversion of heterogeneous investors

  2025cites this paper
• The effect of risk management disclosure on idiosyncratic risk: evidence from annual reports

  2025cites this paper
• Knight in shining armor: Ambiguity and gold prices

  2025cites this paper
• Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets

  2024cites this paper
• Asset Returns and Economic Uncertainty: A Cross-Country Analysis

  2024influential citation
• An Islamic Inter‐Temporal Capital Asset Pricing Model: Evidence From GCC Indexes

  2024cites this paper
• Does economic policy uncertainty matter to corporate default probability? findings from theoretic analyses and China’s listed firms

  2024cites this paper
• The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets

  2024cites this paper
• The international natural gas price and its cross-sectional pricing implication: Evidence from Chinese stock market

  2024cites this paper
• Dynamic currency hedging with non-Gaussianity and ambiguity

  2024cites this paper
• Information Dissemination and the Monetary Policy Uncertainty Premium: Evidence from China

  2024cites this paper
• Economic policy uncertainty and capital flows' tail risk in China

  2024cites this paper
• The Price of Firm-Level Information Uncertainty

  2024cites this paper
• Dual effects of investor sentiment and uncertainty in financial markets

  2024cites this paper
• Global Uncertainty and the Cross-Section of FX Returns

  2024cites this paper
• Aversion and ambiguity: On the robustness of the macroeconomic uncertainty measure framework

  2024cites this paper
• Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions

  2024cites this paper
• Ambiguity and risk in the oil market

  2024cites this paper
• Ambiguous Investor Sentiment

  2024cites this paper
• Market Ambiguity, Investor Sentiment and Market Anomalies --Evidence from the Chinese A-share Market

  2024cites this paper
• Macroeconomic uncertainty and the excess returns of stock

  2024cites this paper
• Can financial uncertainty forecast aggregate stock market returns?

  2024cites this paper
• Certainty of uncertainty for asset pricing

  2024cites this paper
• Beyond Risk: A Measure of Distribution Uncertainty

  2024influential citation
• Ambiguous price formation

  2023cites this paper
• Ambiguity and Information Tradeoffs

  2023cites this paper
• The effects of economic uncertainty on financial volatility: A comprehensive investigation

  2023cites this paper
• Inflation Risk, Ambiguity, and the Cross-Section of Stock Returns

  2023cites this paper
• Macroeconomic Expectations and State-Dependent Factor Returns

  2023cites this paper
• The asset pricing implications of global oil price uncertainty: Evidence from the cross-section of Chinese stock returns

  2023cites this paper
• Optimal investment in a general stochastic factor framework under model uncertainty

  2023cites this paper
• International stock return predictability: The role of U.S. uncertainty spillover

  2023cites this paper
• Economic Policy Uncertainty: Does It Truly Matter?—Evidence from Corporate Fraudulent Behaviors in Chinese Capital Market

  2023cites this paper
• The Influence of ESG Ratings On Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners

  2023cites this paper
• The Impact of Uncertainty in Macroeconomic Variables on Stock Returns in the USA

  2023cites this paper
• Corporate governance, market conditions and investors’ reaction to information signals

  2023influential citation
• Climate policy uncertainty and firm investment

  2023cites this paper
• Empirical Quantification of Predictive Uncertainty Due to Model Discrepancy by Training with an Ensemble of Experimental Designs: An Application to Ion Channel Kinetics

  2023cites this paper
• An Analytic Network Process to Support Financial Decision-Making in the Context of Behavioural Finance

  2023cites this paper
• Why Do Hedgers Hedge? The Role of Ambiguity

  2023cites this paper
• Money Never Sleeps: Capital Flows under Global Risk and Uncertainty

  2023cites this paper
• When is the Price of Analysts' Disagreement Risk Positive?

  2023cites this paper
• Ambiguity and Asset Prices: A Closer Look in an Emerging Market

  2023cites this paper
• Macroeconomic Uncertainty and Non-GAAP Disclosure

  2023cites this paper
• Robust leverage dynamics without commitment

  2022cites this paper
• Volatility in U.S. Housing Sector and the REIT Equity Return

  2022cites this paper
• Sentiment and uncertainty

  2022cites this paper
• An empirical evaluation of alternative fundamental models of credit spreads

  2022cites this paper
• On the predictive power of tweet sentiments and attention on bitcoin

  2022cites this paper
• Global risks, the macroeconomy, and asset prices

  2022cites this paper
• Economic Policy Uncertainty and the Cross-Section of Corporate Bond Returns

  2022cites this paper
• Quantification of Aversion to Uncertainty in Intertemporal Choice through Subjective Perception of Time

  2022cites this paper
• Options market ambiguity and its information content

  2022cites this paper
• Ambiguous Text

  2022cites this paper
• Disagreement in economic forecasts and equity returns: risk or mispricing?

  2022cites this paper
• Ambiguity and asset pricing: An empirical investigation for an emerging market

  2022cites this paper
• Investor Information Gathering and the Resolution of Uncertainty

  2022cites this paper
• Uncertainty of Uncertainty and Accounting Conservatism

  2022cites this paper
• White knight in dark days? Supply chain finance firms, blockchain, and the COVID-19 pandemic

  2022cites this paper
• The COVID-19 storm and the energy sector: The impact and role of uncertainty

  2021cites this paper
• The Option to Pay Attention

  2021cites this paper
• Mean–variance relationship and uncertainty

  2021influential citation
• Volatility expectations and disagreement

  2021cites this paper
• Overnight returns, daytime reversals, and future stock returns

  2021cites this paper
• Optimal Pension Fund Management Under Risk and Uncertainty: The Case Study of Poland

  2021cites this paper
• Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty

  2021cites this paper
• Robust Optimal Investment Problem with Delay under Heston’s Model

  2021cites this paper
• Risk, ambiguity, and equity premium: International evidence

  2021cites this paper
• Ambiguity about volatility and investor behavior

  2021influential citation
• Robust Optimal Investment Problem with Delay under Heston’s Model

  2021influential citation
• The impact of mixed-frequency geopolitical risk on stock market returns

  2021cites this paper
• Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return

  2021cites this paper
• The Capital Asset Pricing Model

  2021cites this paper
• Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies

  2021cites this paper
• Mean–variance relationship and uncertainty

  2021cites this paper
• When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance

  2021cites this paper
• Ambiguity, asset illiquidity, and price variability

  2021cites this paper
• This Is the Way the World Ends, Not With a Bang but Bonds and Bullets

  2021cites this paper
• Beliefs about Beta: Upside Participation and Downside Protection

  2021cites this paper