Distribution uncertainty and expected stock returns
- Distribution uncertainty and expected stock returns
- Distribution uncertainty; Expected stock returns; Differences of return distribution; ASSET ALLOCATION; CROSS-SECTION; AMBIGUITY; RISK; PREFERENCES
- Issue Date
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- FINANCE RESEARCH LETTERS, v. 25, Page. 55-61
- We investigate the significance of differences of the return distribution (distribution uncertainty)
in the cross-sectional pricing of stocks. Our parsimonious proxies for distribution uncertainty
measure the difference of distributions between an individual stock return and the market return.
We find that stocks with higher distribution uncertainty exhibit higher returns, and the difference
between the returns on the portfolios with the highest and lowest distribution uncertainty is
significantly positive. We investigate the robustness of our empirical results and find that the
impact of distribution uncertainty persists after accounting for firm characteristics.
- 1544-6123; 1544-6131
- Appears in Collections:
- COLLEGE OF BUSINESS AND ECONOMICS[E](경상대학) > BUSINESS ADMINISTRATION(경영학부) > Articles
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