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Ambiguity and the Skewness Premium

https://doi.org/10.2139/ssrn.4710080
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Ambiguity Attitudes
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Advances in prospect theory: Cumulative representation of uncertainty
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Ambiguity in asset pricing and portfolio choice: a review of the literature
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Common risk factors in the returns on stocks and bonds
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Costly arbitrage and the myth of idiosyncratic risk
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A theoretical foundation of ambiguity measurement
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Profitability, investment and average returns
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Maxing out: Stocks as lotteries and the cross-section of expected returns
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Limits-to-arbitrage, investment frictions, and the asset growth anomaly
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Does realized skewness predict the cross-section of equity returns?
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Asset pricing and ambiguity: Empirical evidence
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Time-varying ambiguity, credit spreads, and the levered equity premium
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Measuring Skewness Premia
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Implied volatility duration: A measure for the timing of uncertainty resolution
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Salience theory and stock prices: Empirical evidence
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.004openalex-extracted
Ambiguity about volatility and investor behavior
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Volume, volatility and information linkages in the stock and option markets
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High order smooth ambiguity preferences and asset prices
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Spanning and derivative-security valuation
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Illiquidity and stock returns: cross-section and time-series effects
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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
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Unknown Unknowns: Uncertainty About Risk and Stock Returns
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Volatility-of-Volatility Risk
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Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returns
inferredcites →https://doi.org/10.1037/e653632011-005openalex-extracted
Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses
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Model Misspecification and Underdiversification
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Risk, Return, and Equilibrium: Empirical Tests
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Parsimonious Modeling of Yield Curves
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The Role of Jumps in Realized Volatility Modeling and Forecasting
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How Aggregate Volatility-of-Volatility Affects Stock Returns*
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Equilibrium Underdiversification and the Preference for Skewness
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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.1093/rfs/hhac082openalex-extracted
Pricing Implications of Noise
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Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
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Expected Idiosyncratic Skewness
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Measuring Equity Risk with Option-implied Correlations
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Ambiguity, Volatility, and Credit Risk
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The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect
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Conditional Skewness in Asset Pricing Tests
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Ambiguity, Risk, and Asset Returns in Continuous Time
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DECISION THEORY UNDER AMBIGUITY
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Exploring Higher Order Risk Effects
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SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE
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SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*
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Evidence of Predictable Behavior of Security Returns
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The Limits of Arbitrage
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On Persistence in Mutual Fund Performance
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The Cross‐Section of Volatility and Expected Returns
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On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
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Ambiguity, Information Quality, and Asset Pricing
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01370.xopenalex-extracted
Asset Growth and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01795.xopenalex-extracted
Ex Ante Skewness and Expected Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12152openalex-extracted
Stock Options as Lotteries
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Does Academic Research Destroy Stock Return Predictability?
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What Is the Expected Return on a Stock?
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Low‐Risk Anomalies?
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The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies
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Prospect Theory and Stock Market Anomalies
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A Tale of Two Time Scales
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Until the Bitter End: On Prospect Theory in a Dynamic Context
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Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
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Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
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Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses
inferredcites →https://doi.org/10.1287/mnsc.1110.1354openalex-extracted
Testing for Prudence and Skewness Seeking
inferredcites →https://doi.org/10.1287/mnsc.2015.2379openalex-extracted
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
inferredcites →https://doi.org/10.1287/mnsc.2016.2700openalex-extracted
The Effect of Learning on Ambiguity Attitudes
inferredcites →https://doi.org/10.1287/mnsc.2021.4074openalex-extracted
Ambiguity and the Tradeoff Theory of Capital Structure
inferredcites →https://doi.org/10.1287/opre.2019.1910openalex-extracted
When Risk Perception Gets in the Way: Probability Weighting and Underprevention
inferredcites →https://doi.org/10.1561/104.00000018openalex-extracted
Cumulative Prospect Theory, Aggregation, and Pricing
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-extracted
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1301437openalex-extracted
Measuring Equity Risk with Option-Implied Correlations
inferredcites →https://doi.org/10.2139/ssrn.1301648openalex-extracted
Risk-Neutral Skewness: Return Predictability and Its Sources
inferredcites →https://doi.org/10.2139/ssrn.1572827openalex-extracted
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.2139/ssrn.1673494openalex-extracted
Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature
inferredcites →https://doi.org/10.2139/ssrn.2018079openalex-extracted
Asset Pricing and Ambiguity: Empirical Evidence
inferredcites →https://doi.org/10.2139/ssrn.2021815openalex-extracted
High Order Smooth Ambiguity Preferences and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.2696672openalex-extracted
The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies
inferredcites →https://doi.org/10.2139/ssrn.282451openalex-extracted
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.2139/ssrn.2873248openalex-extracted
Ambiguity and the Tradeoff Theory of Capital Structure
inferredcites →https://doi.org/10.2139/ssrn.3480519openalex-extracted
Skewness Preferences in Choice under Risk
inferredcites →https://doi.org/10.2139/ssrn.480171openalex-extracted
On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.4828038openalex-extracted
A Theoretical Foundation of Ambiguity Measurement: A Reply
inferredcites →https://doi.org/10.2139/ssrn.630821openalex-extracted
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.2139/ssrn.649421openalex-extracted
Stocks as Lotteries: the Implications of Probability Weighting for Security Prices
inferredcites →https://doi.org/10.2139/ssrn.661481openalex-extracted
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
inferredcites →https://doi.org/10.2139/ssrn.883856openalex-extracted
Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994
inferredcites →https://doi.org/10.2139/ssrn.976962openalex-extracted
Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
inferredcites →https://doi.org/10.2307/1884324openalex-extracted
Risk, Ambiguity, and the Savage Axioms
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2171769openalex-extracted
Risk Attitudes and Decision Weights
inferredcites →https://doi.org/10.2307/2297912openalex-extracted
Automatic Lag Selection in Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2527343openalex-extracted
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
inferredcites →https://doi.org/10.2307/2946693openalex-extracted
Ambiguity Aversion and Comparative Ignorance
inferredcites →https://doi.org/10.2307/2951614openalex-extracted
Intertemporal Asset Pricing under Knightian Uncertainty
inferredcites →https://doi.org/10.2307/3594989openalex-extracted
Risk-Neutral Skewness: Evidence from Stock Options
inferredcites →https://doi.org/10.3386/t0055openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
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A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
inferredcites →https://doi.org/10.3982/ecta11396openalex-extracted
Consistency of Higher Order Risk Preferences
inferredcites →https://doi.org/10.5445/ir/1000119915openalex-extracted
Probabilities of Future Equity Returns
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