Ambiguity and risk factors in bank stocks
研究了模糊性（Knightian不确定性）对银行股票的影响，发现投资者对银行股票回报的漂移和相关性结构缺乏信心会影响银行资本成本，并揭示了模糊性通过市场流动性和资本短缺增加系统性危机概率的传导渠道。
Abstract The determinants of banks' cost of equity are not well understood. We depart from prior work assuming rational expectations and instead explore the impact of Knightian uncertainty or ambiguity on bank stocks. We test a large set of asset pricing models and find that investors' lack of confidence in both the drift and correlation structure driving bank stock returns affects banks' cost of capital. We also investigate the economic relation among ambiguity, market liquidity, and banks' capital shortfall, which reveals the transmission channels through which ambiguity may increase the probability of a systemic crisis. Our findings have implications for macroprudential policy.