Uncertainty and Valuations: A Comment

Critical Finance Review, Forthcoming

4 Pages Posted: 18 Jan 2014  

Lubos Pastor

University of Chicago - Booth School of Business; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Pietro Veronesi

University of Chicago - Booth School of Business; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Date Written: January 14, 2014

Abstract

This is a solicited comment on the paper "Uncertainty and Valuations" by Cremers and Yan, August 2013, which is forthcoming in the Critical Finance Review. Cremers and Yan aim to provide "an additional litmus test for the uncertainty-convexity argument in Pastor and Veronesi (2003)." We challenge this view, as well as the authors' related thoughts on the technology "bubble" of the late 1990s. Nonetheless, we agree with Cremers and Yan that our profession needs to think harder about the measurement of parameter uncertainty.

Suggested Citation

Pastor, Lubos and Veronesi, Pietro, Uncertainty and Valuations: A Comment (January 14, 2014). Critical Finance Review, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2379655

Lubos Pastor (Contact Author)

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-834-4080 (Phone)
773-702-0458 (Fax)

HOME PAGE: http://www.ChicagoGSB.edu/fac/lubos.pastor/

Centre for Economic Policy Research (CEPR)

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Pietro Veronesi

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-6348 (Phone)
773-702-0458 (Fax)

Centre for Economic Policy Research (CEPR)

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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