{"id":"https://openalex.org/W2170417857","doi":"https://doi.org/10.1080/07350015.2014.958230","title":"Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment","display_name":"Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment","publication_year":2014,"publication_date":"2014-09-26","ids":{"openalex":"https://openalex.org/W2170417857","doi":"https://doi.org/10.1080/07350015.2014.958230","mag":"2170417857"},"language":"en","primary_location":{"id":"doi:10.1080/07350015.2014.958230","doi":"https://doi.org/10.1080/07350015.2014.958230","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07350015.2014.958230","pdf_url":null,"source":{"id":"https://openalex.org/S18095783","display_name":"Journal of Business and Economic Statistics","issn_l":"0735-0015","issn":["0735-0015","1537-2707"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-a","fnege-1","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Business & Economic Statistics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://figshare.com/articles/journal_contribution/Ambiguity_in_the_Cross_Section_of_Expected_Returns_An_Empirical_Assessment/1183382","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5059053090","display_name":"Julian Thimme","orcid":"https://orcid.org/0000-0002-9652-847X","observed_orcids":["https://orcid.org/0000-0002-9652-847X"]},"institutions":[{"id":"https://openalex.org/I22465464","display_name":"University of M\u00fcnster","ror":"https://ror.org/00pd74e08","country_code":"DE","type":"education","lineage":["https://openalex.org/I22465464"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Julian Thimme","raw_affiliation_strings":["Finance Center M\u00fcnster, Westf\u00e4lische Wilhelms-Universit\u00e4t M\u00fcnster, 48149, M\u00fcnster, Germany julian.thimme@wiwi.uni-muenster.de clemens.voelkert@gmail.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Finance Center M\u00fcnster, Westf\u00e4lische Wilhelms-Universit\u00e4t M\u00fcnster, 48149, M\u00fcnster, Germany julian.thimme@wiwi.uni-muenster.de clemens.voelkert@gmail.com","institution_ids":["https://openalex.org/I22465464"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5009739278","display_name":"Clemens V\u00f6lkert","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I22465464","display_name":"University of M\u00fcnster","ror":"https://ror.org/00pd74e08","country_code":"DE","type":"education","lineage":["https://openalex.org/I22465464"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Clemens V\u00f6lkert","raw_affiliation_strings":["Finance Center M\u00fcnster, Westf\u00e4lische Wilhelms-Universit\u00e4t M\u00fcnster, 48149, M\u00fcnster, Germany julian.thimme@wiwi.uni-muenster.de clemens.voelkert@gmail.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Finance Center M\u00fcnster, Westf\u00e4lische Wilhelms-Universit\u00e4t M\u00fcnster, 48149, M\u00fcnster, Germany julian.thimme@wiwi.uni-muenster.de clemens.voelkert@gmail.com","institution_ids":["https://openalex.org/I22465464"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I22465464"],"apc_list":null,"apc_paid":null,"fwci":6.0997,"has_fulltext":false,"cited_by_count":28,"citation_normalized_percentile":{"value":0.95950411,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"33","issue":"3","first_page":"418","last_page":"429"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9101999998092651,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9101999998092651,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10315","display_name":"Decision-Making and Behavioral Economics","score":0.07150000333786011,"subfield":{"id":"https://openalex.org/subfields/1800","display_name":"General Decision Sciences"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0044999998062849045,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/smooth-ambiguity-model","display_name":"smooth ambiguity model","score":0.8759999871253967},{"id":"https://openalex.org/keywords/ambiguity-aversion","display_name":"ambiguity aversion","score":0.9819999933242798},{"id":"https://openalex.org/keywords/cross-section-of-expected-returns","display_name":"cross-section of expected returns","score":0.9100000262260437},{"id":"https://openalex.org/keywords/conditional-expectation-estimation","display_name":"conditional mean estimation","score":0.6510000228881836},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"risk aversion","score":0.9010000228881836},{"id":"https://openalex.org/keywords/epstein-zin-preferences","display_name":"Epstein-Zin preferences","score":0.9610000252723694},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.8040000200271606},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.49399998784065247}],"concepts":[{"id":"https://openalex.org/C2780522230","wikidata":"https://www.wikidata.org/wiki/Q1140419","display_name":"Ambiguity","level":2,"score":0.9061990976333618},{"id":"https://openalex.org/C127447990","wikidata":"https://www.wikidata.org/wiki/Q4741446","display_name":"Ambiguity aversion","level":3,"score":0.9044061899185181},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7389854192733765},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6230669617652893},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.5061995387077332},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.4798126220703125},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4765879809856415},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4337526261806488},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.37921133637428284},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36875659227371216},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.34055930376052856},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.20013871788978577},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.07428529858589172},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1080/07350015.2014.958230","doi":"https://doi.org/10.1080/07350015.2014.958230","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07350015.2014.958230","pdf_url":null,"source":{"id":"https://openalex.org/S18095783","display_name":"Journal of Business and Economic Statistics","issn_l":"0735-0015","issn":["0735-0015","1537-2707"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-a","fnege-1","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Business & Economic Statistics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:jnlbes:v:33:y:2015:i:3:p:418-429","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/07350015.2014.958230","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:figshare.com:article/1183382","doi":null,"is_oa":true,"landing_page_url":"https://figshare.com/articles/journal_contribution/Ambiguity_in_the_Cross_Section_of_Expected_Returns_An_Empirical_Assessment/1183382","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"doi:10.6084/m9.figshare.1183382.v2","doi":"https://doi.org/10.6084/m9.figshare.1183382.v2","is_oa":true,"landing_page_url":"https://doi.org/10.6084/m9.figshare.1183382.v2","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"JournalArticle"}],"best_oa_location":{"id":"pmh:oai:figshare.com:article/1183382","doi":null,"is_oa":true,"landing_page_url":"https://figshare.com/articles/journal_contribution/Ambiguity_in_the_Cross_Section_of_Expected_Returns_An_Empirical_Assessment/1183382","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":83,"referenced_works":["https://openalex.org/W48558331","https://openalex.org/W191251271","https://openalex.org/W1502763133","https://openalex.org/W1523509543","https://openalex.org/W1527542794","https://openalex.org/W1539903848","https://openalex.org/W1574786337","https://openalex.org/W1583498511","https://openalex.org/W1591099623","https://openalex.org/W1777509706","https://openalex.org/W1803375092","https://openalex.org/W1964661235","https://openalex.org/W1965761421","https://openalex.org/W1975285668","https://openalex.org/W1983549787","https://openalex.org/W1992403182","https://openalex.org/W2004029628","https://openalex.org/W2004220372","https://openalex.org/W2011043606","https://openalex.org/W2020558716","https://openalex.org/W2027047704","https://openalex.org/W2028995298","https://openalex.org/W2034946940","https://openalex.org/W2044683838","https://openalex.org/W2045202248","https://openalex.org/W2047968739","https://openalex.org/W2053438786","https://openalex.org/W2053504955","https://openalex.org/W2057032881","https://openalex.org/W2062341688","https://openalex.org/W2067477904","https://openalex.org/W2073465757","https://openalex.org/W2082330181","https://openalex.org/W2089583970","https://openalex.org/W2104204963","https://openalex.org/W2113704261","https://openalex.org/W2113946792","https://openalex.org/W2119143694","https://openalex.org/W2132807882","https://openalex.org/W2133970743","https://openalex.org/W2134921972","https://openalex.org/W2135647799","https://openalex.org/W2136245893","https://openalex.org/W2137028652","https://openalex.org/W2142332207","https://openalex.org/W2146387535","https://openalex.org/W2149180867","https://openalex.org/W2158179451","https://openalex.org/W2162721244","https://openalex.org/W2164695604","https://openalex.org/W2170415678","https://openalex.org/W2176007373","https://openalex.org/W2310330709","https://openalex.org/W2498495084","https://openalex.org/W2506088817","https://openalex.org/W2570834760","https://openalex.org/W2889716834","https://openalex.org/W2891496871","https://openalex.org/W2892019190","https://openalex.org/W3009303059","https://openalex.org/W3021233293","https://openalex.org/W3121302379","https://openalex.org/W3121790069","https://openalex.org/W3121900164","https://openalex.org/W3121917322","https://openalex.org/W3122026075","https://openalex.org/W3122592429","https://openalex.org/W3122664861","https://openalex.org/W3123122365","https://openalex.org/W3123178375","https://openalex.org/W3123508747","https://openalex.org/W3123603330","https://openalex.org/W3123661715","https://openalex.org/W3124010988","https://openalex.org/W3124199139","https://openalex.org/W3124342051","https://openalex.org/W3124655713","https://openalex.org/W3124700771","https://openalex.org/W3124836277","https://openalex.org/W3125017137","https://openalex.org/W3125644974","https://openalex.org/W3125787537","https://openalex.org/W4248764197"],"related_works":["https://openalex.org/W3124362149","https://openalex.org/W2121134691","https://openalex.org/W2528557082","https://openalex.org/W3124226544","https://openalex.org/W4318773914","https://openalex.org/W1502763133","https://openalex.org/W2784031264","https://openalex.org/W2494060966","https://openalex.org/W4406986237","https://openalex.org/W7096355402"],"abstract_inverted_index":{"This":[0],"article":[1,119],"estimates":[2,44,58],"and":[3,12,52,88],"tests":[4],"the":[5,26,31,46,80,97,101,104],"smooth":[6],"ambiguity":[7,37,47,70,76,95],"model":[8,99],"of":[9,33,45,82],"Klibanoff,":[10],"Marinacci,":[11],"Mukerji":[13],"based":[14],"on":[15,39],"stock":[16],"market":[17,67],"data.":[18],"We":[19],"introduce":[20],"a":[21,34],"novel":[22],"methodology":[23],"to":[24,103],"estimate":[25],"conditional":[27],"expectation,":[28],"which":[29],"characterizes":[30],"impact":[32],"decision":[35,98],"maker\u2019s":[36],"attitude":[38],"asset":[40],"prices.":[41],"Our":[42],"point":[43],"parameter":[48],"are":[49,59,69,120],"between":[50],"25":[51],"60,":[53],"whereas":[54],"our":[55],"risk":[56,109],"aversion":[57,77,110],"considerably":[60],"lower.":[61],"The":[62],"substantial":[63],"difference":[64],"indicates":[65],"that":[66,93],"participants":[68],"averse.":[71],"Furthermore,":[72],"we":[73,91],"evaluate":[74],"if":[75],"helps":[78],"explaining":[79],"cross-section":[81],"expected":[83],"returns.":[84],"Compared":[85],"with":[86],"Epstein":[87],"Zin":[89],"preferences,":[90],"find":[92],"incorporating":[94],"into":[96],"improves":[100],"fit":[102],"data":[105],"while":[106],"keeping":[107],"relative":[108],"at":[111],"more":[112],"reasonable":[113],"levels.":[114],"Supplementary":[115],"materials":[116],"for":[117],"this":[118],"available":[121],"online.":[122]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}