Ambiguity and asset prices: a closer look in an emerging market

IF 1.9 Q2 BUSINESS, FINANCE

Review of Behavioral Finance Pub Date : 2023-01-03 DOI:10.1108/rbf-06-2022-0151

Merve G. Cevheroğlu-Açar, Cenk C. Karahan

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Abstract

Purpose This study empirically documents the effect of ambiguity on stock returns in a major emerging market along with the ambiguity attitudes under various market conditions. Design/methodology/approach Ambiguity is measured as the volatility of return probability distributions extracted from high frequency intraday data via a method developed by Brenner and Izhakian (2018). The impact of ambiguity is then tested on stock market returns. Findings The results show that ambiguity is a priced factor in Turkish stock market with a positive premium that is distinct from risk premium. In contrast with the findings in the US market, the investors in Turkey show an increasing level of ambiguity aversion as expected probability of favorable returns deviate from the mean value. The investors are effectively ambiguity neutral in lateral markets. The results are robust to testing with higher moments, sentiment measures and under recession conditions. Originality/value This study contributes to empirically documenting ambiguity and ambiguity aversion in a major emerging market along with the opportunity to observe international differences in ambiguity attitudes.

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模糊性与资产价格:对新兴市场的进一步观察

本研究实证研究了一个主要新兴市场在不同市场条件下歧义态度对股票收益的影响。设计/方法/方法模糊性是通过Brenner和Izhakian(2018)开发的方法从高频日内数据中提取的回报概率分布的波动性来衡量的。然后测试歧义对股票市场回报的影响。结果表明，模糊性是土耳其股票市场的一个定价因素，其溢价为正，与风险溢价不同。与美国市场的调查结果相反，土耳其的投资者表现出越来越高的模糊性厌恶水平，因为预期的有利回报概率偏离了平均值。投资者在横向市场上实际上是模糊中立的。在更高的时刻、情绪指标和衰退条件下，这一结果是稳健的。原创性/价值本研究有助于实证地记录一个主要新兴市场的歧义和歧义厌恶，并有机会观察歧义态度的国际差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Behavioral Finance BUSINESS, FINANCE-

CiteScore

4.70

自引率

5.00%

发文量

期刊介绍： Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.