| dc.contributor | 金融系 | |
| dc.creator (作者) | 金帛春 | |
| dc.creator (作者) | Kim, Baek-Chun;Gallmeyer, Mike;Chen, Zhanhui | |
| dc.date (日期) | 2025-09 | |
| dc.date.accessioned | 9-Dec-2025 10:39:46 (UTC+8) | - |
| dc.date.available | 9-Dec-2025 10:39:46 (UTC+8) | - |
| dc.date.issued (上傳時間) | 9-Dec-2025 10:39:46 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/160532 | - |
| dc.description.abstract (摘要) | Uncertainty affects business cycles and asset prices. We estimate firm-level productivity and decompose total uncertainty risk measured as cross-sectional productivity dispersion into macro uncertainty (an aggregate component) and micro uncertainty (an idiosyncratic component). We find that macro uncertainty is multidimensional, strongly countercyclical, and priced among stocks, but micro uncertainty is acyclical and not priced. Moreover, we show that the expected investment growth factor proposed in Hou, Mo, Xue, and Zhang (2021) captures macro uncertainty risk which helps us understand the success of the q 5-model. | |
| dc.format.extent | 164 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Stanford Institute for Theoretical Economics (SITE), Stanford university | |
| dc.title (題名) | Decoding the pricing of uncertainty shock | |
| dc.type (資料類型) | conference | |
