발표주제_Distribution Uncertainty and Expected Stock Returns
일 시 : 2014년 12월 22일(월) 오후 5:00~6:30
장 소 : 자본시장연구원 대회의실(여의도 금융투자협회 19층)
발표자 : 이은정 교수(한양대학교)
사회자 : 엄영호 교수(연세대학교)
토론자 : 한재훈 교수(연세대학교)
Abstract
We investigate the significance of uncertainty about the return distribution (distribution
uncertainty) in the cross-sectional pricing of stocks. Our parsimonious proxies for distribution
uncertainty measure the difference of empirical distributions between an individual stock return
and the market return. We find that stocks with higher distribution uncertainty exhibit higher
returns on average, and the difference between returns on the portfolios with the highest and
lowest distribution uncertainty is significantly positive. Moreover, the results from firm-level
cross-sectional regressions show strong corroborating evidence for an economically and
statistically significant positive relation between the degree of distribution uncertainty and the
expected stock returns. This positive distribution uncertainty effect is persistent after controlling
for size, book-to-market, momentum, short-term reversals, liquidity, idiosyncratic volatility,
skewness, kurtosis, and maximum return. This paper is suggesting the interpretation of the
degree of distribution uncertainty as an ambiguity since there is a positive relation between
distribution uncertainty and expected stock return as most theories about ambiguity suggest,
whereas almost none of the empirical studies verify such a relation.
학회소식
[2014년 제 6차] Distribution Uncertainty and Expected Stock Returns
작성자 : 관리자
조회수 : 2874
게시일 :
2014-12-24
