Adam Smith Business School

Han Ozsoylev, Ozyegin University

"Pricing ambiguity in the cross-section of stocks"
Friday, 10 March. 2 pm
Wards Library, Main Building

Abstract

We empirically test the implications of the theory of ambiguity aversion for the cross-section of stock returns. Our main findings indicate that exposure to systematic ambiguity is priced in the cross-section of stocks and that this pricing becomes more pronounced during times of high uncertainty, such as the days preceding the FOMC meeting announcements. We also find that ambiguity pricing can largely account for the beta anomaly. Our findings complement the recent developments in the macro-finance literature where ambiguity aversion has been shown to successfully address aggregate pricing puzzles such as the dynamics of equity premium and excess volatility.

Bio

Dr Han Ozsoylev is a faculty member at Ozyegin University Business School. Prior to this, he held faculty appointments at Queen Mary University of London, Koc University and the University of Oxford. His research primarily focuses on asset pricing, uncertainty and asymmetric information in financial markets, and economic and financial networks. He has published in a range of academic journals, including the International Economic Review, the Journal of Economic Theory, and the Review of Financial Studies.

Han has been an official fellow of Linacre College and an academic member of the Oxford-Man Institute of Quantitative Finance. He has held visiting appointments at Johns Hopkins University, Sabanci University, and the University of California, Berkeley. He earned his PhD in economics at the University of Minnesota and B.Sc. in mathematics at Bilkent University.

 

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First published: 7 March 2023