Economic uncertainty: Mispricing and ambiguity premium
研究发现宏观经济不确定性通过两个渠道影响金融市场：在错误定价指数下，不确定性加剧分歧导致年化错误定价alpha达9.96%；而在非错误定价部分，存在3.84%的模糊性溢价，该溢价在COVID-19冲击期间可预测。
Abstract We uncover two channels of effect in the financial market when investors face macroeconomic uncertainty. Conditional on a common mispricing index, we find that economic uncertainty exposure (EUE) induces disagreement, which amplifies mispricing. The highest EUE quintile produces an annualised mispricing alpha of 9.96%, more than double the unconditional mispricing effect. An ambiguity premium of 3.84% alpha is documented in the “non‐mispricing” quintile. The EUE‐induced mispricing effect is different from the existing limits of arbitrage explanations. The ambiguity premium is predictably observed during the unfolding of shocks of COVID‐19 to the market.