Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns

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Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns

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Brunnermeier, Markus
Gollier, Christian
Parker, Jonathan

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Paper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 429.

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Date of creation: Feb 2007
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Publication status: Published in American Economic Review, vol. 97, n°2, mai 2007, p. 159-165.
Handle: RePEc:ide:wpaper:6649

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Article
- Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," American Economic Review, American Economic Association, vol. 97(2), pages 159-165, May. [Downloadable!]
Paper
- Brunnermeier, Markus K & Gollier, Christian & Parker, Jonathan A, 2007. "Optimal Beliefs, Asset Prices and the Preference for Skewed Returns," CEPR Discussion Papers 6181, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," NBER Working Papers 12940, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

Find related papers by JEL classification:
D1 - Microeconomics - - Household Behavior
D8 - Microeconomics - - Information, Knowledge, and Uncertainty
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-04-21 (All new papers)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Attanasio, Orazio & Davis, Steven J, 1996. "Relative Wage Movements and the Distribution of Consumption," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1227-62, December. [Downloadable!] (restricted)
Other versions:
- Orazio Attanasio & Steven J. Davis, 1994. "Relative Wage Movements and the Distribution of Consumption," NBER Working Papers 4771, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Markus K. Brunnermeier & Jonathan A. Parker, 2005. "Optimal Expectations," American Economic Review, American Economic Association, vol. 95(4), pages 1092-1118, September. [Downloadable!]
Other versions:
- Markus K. Brunnermeier & Jonathan A. Parker, 2004. "Optimal Expectations," NBER Working Papers 10707, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Markus K. Brunnermeier & Jonathan A. Parker, 2002. "Optimal Expectations," Working Papers 146, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics.. [Downloadable!]
- Jonathan Parker & Markus K Brunnermeier, 2002. "Optimal Expectations," FMG Discussion Papers dp434, Financial Markets Group. [Downloadable!] (restricted)
- Jonathan A. Parker & Markus K. Brunnermeier, 2004. "Optimal Expectations," Econometric Society 2004 North American Winter Meetings 426, Econometric Society. [Downloadable!]
- Brunnermeier, Markus K & Parker, Jonathan A, 2004. "Optimal Expectation," CEPR Discussion Papers 4656, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Andrew Caplin & John Leahy, 2000. "The Social Discount Rate," NBER Working Papers 7983, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Andrew Caplin & John Leahy, 2001. "The social discount rate," Discussion Paper / Institute for Empirical Macroeconomics 137, Federal Reserve Bank of Minneapolis. [Downloadable!]
- Andrew Caplin & John Leahy, 2004. "The Social Discount Rate," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1257-1268, December.
Christian Gollier, 2005. "Optimal Illusions and Decisions under Risk," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Other versions:
- Gollier, Christian, 2005. "Optimal Illusions and Decisions under Risk," IDEI Working Papers 340, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Nicholas Barberis & Ming Huang, 2007. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," NBER Working Papers 12936, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008 National Bureau of Economic Research, Inc. [Downloadable!]

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