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Applied Economics Letters Volume 17, 2010 - Issue 10
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Original Articles

Knightian uncertainty: evidence of uncertainty premium in the capital market

James Ang Department of Finance, College of Business, Florida State University, Tallahassee, FL, 32306, USA
&
Carol M. Boyer Department of Finance, College of Management, Long Island University, Brookville, NY, 11548, USACorrespondence[email protected]
Pages 945-949 | Published online: 27 Apr 2009

References

  • Bewley , T. F. Market innovation and entrepreneurship: a Knightian view . Cowles Foundation Discussion Paper No. 905 . 1989 . Yale University, New Haven, CT
  • Camerer , C. and Lowenstein , G. 2004 . “ Introduction ” . In Advances in Behavioral Economics , Edited by: Camerer , C. , Lowenstein , G. and Rabin , M. Princeton, NJ, pp. 1–5 : Princeton University Press .
  • Camerer , C. and Weber , M. 1992 . Recent developments in modeling preferences: uncertainty and ambiguity . Journal of Risk and Uncertainty , 5 : 325 – 70 .
  • Ellsberg , D. 1961 . Risk, ambiguity and the savage axioms . Quarterly Journal of Economics , 75 : 643 – 69 .
  • Epstein , L. and Wang , T. 1994 . Intertemporal asset pricing under Knightian uncertainty . Econometrica , 62 : 283 – 322 .
  • Kelsey , D. and Milne , F. 1995 . The arbitrage pricing theorem with non-expected utility preferences . Journal of Economic Theory , 65 : 557 – 74 .
  • Knight , F. 1921 . Risk, Uncertainty and Profit , Boston, MA : Hart, Schaffner & Marx, Houghton Mifflin Company .
  • Summers , L. 2006 . Comments on Richard Zeckhauser's investing in the unknown and unknowable . Capitalism and Society , 1 : 1 – 3 . Article 6
  • Zeckhauser , R. 2006 . Investing in the unknown and unknowable . Capitalism and Society , 1 : 1 – 39 . Article 5

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