Study On The Impact Of Ambiguity On Asset Returns

The study of uncertainty in financial market is of great significance to realize the function of transferring uncertainty and dispersing uncertainty in financial market.The uncertainty of return(risk)and the uncertainty(ambiguity)of the probability distribution of return in time period T are both uncertainties.As a kind of uncertainty,ambiguity is also known as Knight uncertainty.The research on ambiguity mainly focuses on the theoretical level,believing that the probability distribution of returns is a pricing factor that cannot be ignored in asset pricing.When the change of probability distribution is taken into account,the premium theorem of high risk and high return is stable,but empirical research is rare.This paper mainly conducts an empirical study on the ambiguity of China's capital market.Daily data of the exchange traded fund(50ETF of SSE)from February 2005 to December 2018 are selected as research samples to test the impact of ambiguity on the returns of China's capital market.First,the high-frequency data of the five-minute transaction price of SSE 50 ETF was measured by Izhakian(2017)to measure the monthly ambiguity index of China's capital market.Then,a nonlinear relational asset pricing model with ambiguous excess return rate is constructed.Empirical research finds that :(1)ambiguity is an influence factor of return risk beta.When ambiguity is included in the asset pricing model,the beta coefficient of return risk is always positive,that is,when the risk beta is high,the market return is also high.(2)when the probability of excess expected rate of return is high,investors show ambiguous aversion;when the probability of excess expected rate of return is high,investors show ambiguous preference;(3)as the probability of positive expected excess return increases,ambiguity aversion increases;As the probability of negative expectation excess return increases,ambiguous preference increases.The research conclusion provides A meaningful reference for the pricing efficiency and policy making of China's capital market,that is,to reduce the blindness of investors in investment decisions by improving the information disclosure of the capital market,and to reduce the ambiguity of China's capital market by diverting small and medium-sized investors to the more mature A-share market.