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Model Uncertainty in the Cross Section

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Bibliographic Details
Other Authors: Shi, Ran [Author]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2021]
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
Item Description: Nach Informationen von SSRN wurde die urspr├╝ngliche Fassung des Dokuments September 12, 2021 erstellt
Physical Description: 1 Online-Ressource (46 p)
DOI: 10.2139/ssrn.3922077
Access: Open Access