We use the price-dividend ratio of the aggregate stock market provided on Amit Goyal’s webpage. 

Decisions under ambiguity depend on both the belief regarding possible scenarios and the attitude towards ambiguity. This paper exclusively focuses on beliefs, measured independent from attitudes. We use laboratory experiments ...

Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.

Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ...

In the experiments, the ambiguous environment is operationalized by an urn. Subjects participating in the experiments are told that the urn contains in total 100 balls, and that each ball is either a white ball or a black ...

It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)). We show that robust predictability also arises ...

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...

The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...

This paper provides a systematic analysis of individual attitudes towards ambiguity, based on laboratory experiments. The design of the analysis allows to capture individual behavior across various levels of ambiguity, ...