Dispersion of beliefs, ambiguity, and the cross-section of stock returns

• Published in: Journal of empirical finance Vol. 50; pp. 43 - 56
• Main Authors: Lee, Deok-Hyeon, Min, Byoung-Kyu, Kim, Tong Suk
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.01.2019
• Subjects: Ambiguity; Cross-section of stock returns; Dispersion of beliefs; Dispersion of beliefs; G12; G14; Cross-section of stock returns; Ambiguity

We examine whether ambiguity is priced in the cross-section of expected stock returns. Using the cross-sectional dispersion in real-time forecasts of real GDP growth as a measure for ambiguity, we find that high ambiguity beta stocks earn lower future returns relative to low ambiguity beta stocks. T...