@article{oai:ynu.repo.nii.ac.jp:00002054,
 author = {Ui, Takashi},
 issue = {2},
 journal = {Review of finance : journal of the European Finance Association},
 month = {},
 note = {application/pdf, This paper considers a stock market with ambiguity-averse informed investors under the CARA-normal setting, and studies the relationship between limited market participation and the equity premium which is decomposed into the risk premium and the ambiguity premium. In a rational expectations equilibrium, limited market participation arises if the largest deviation of investors’ ambiguity increases sufficiently or if the variance of the stock return decreases sufficiently. In each case, a change in the risk premium and a change in the ambiguity premium may have opposite signs. This paper identifies conditions under which a change with the plus sign dominates and thus the equity premium increases when fewer investors participate in the stock market.},
 pages = {245--275},
 title = {The Ambiguity Premium vs. the Risk Premium under Limited Market Participation},
 volume = {15},
 year = {2011}
}