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Model Uncertainty in the Cross Section
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| Other Authors: | Shi, Ran [Author] |
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| Type of Resource: | E-Book |
| Language: | English |
| published: |
[S.l.]
SSRN
[2021]
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| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Summary: | We develop a transparent Bayesian approach to quantify uncertainty about linear stochastic discount factor models. We show that, for a Bayesian decision-maker, the model probability decreases with historical maximum in-sample Sharpe ratios and increases with model dimensions. We apply our approach to quantify the time series of model uncertainty in North American, European, and Asian Pacific stock markets. Model uncertainty is countercyclical across these major stock markets. It predicts flows across equity and fixed-income funds. In survey data, investors tend to be more pessimistic about stock markets during periods of higher model uncertainty |
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| Item Description: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 12, 2021 erstellt |
| Physical Description: | 1 Online-Ressource (46 p) |
| DOI: | 10.2139/ssrn.3922077 |
| Access: | Open Access |