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Citations for "An exploration of the effects of pessimism and doubt on asset returns"

by Andrew B. Abel

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  1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 254, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Söderlind, Paul, 2009. "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(4), pages 721-729, December.
  3. Giordani, Paolo & Söderlind, Paul, 2003. "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SIFR Research Report Series, Institute for Financial Research 19, Institute for Financial Research.
  4. Charles Ka-Yui Leung & Nan-Kuang Chen, 2005. "Intrinsic Cycles of Land Price: A Simple Model," Departmental Working Papers, Chinese University of Hong Kong, Department of Economics _166, Chinese University of Hong Kong, Department of Economics.
  5. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers, Society for Economic Dynamics 1234, Society for Economic Dynamics.
  6. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, Elsevier, vol. 98(3), pages 462-477, December.
  7. Christian A. Stoltenberg & Vadym Lepetyuk, 2012. "Reconciling consumption inequality with income inequality," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2012-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  8. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(1), pages 161-217, January.
  9. Gollier, Christian & Schlee, Edward, 2003. "Information and the Equity Premium," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 251, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2011.
  10. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers, Federal Reserve Bank of St. Louis 2005-005, Federal Reserve Bank of St. Louis.
  11. Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 527, University of Rochester - Center for Economic Research (RCER).
  12. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers, York University, Department of Economics 2003_4, York University, Department of Economics, revised Jan 2005.
  13. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer, Springer, vol. 28(3), pages 693-708, 08.
  14. KevinJ. Lansing, 2010. "Rational and Near-Rational Bubbles Without Drift," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 120(549), pages 1149-1174, December.
  15. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, Springer, vol. 27(2), pages 153-166, December.
  16. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers, Ohio State University, Department of Economics 98-04, Ohio State University, Department of Economics.
  17. Sbuelz, A. & Trojani, F., 2002. "Equilibrium Asset Pricing with Time-Varying Pessimism," Discussion Paper, Tilburg University, Center for Economic Research 2002-102, Tilburg University, Center for Economic Research.
  18. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks, Collegio Carlo Alberto 67, Collegio Carlo Alberto.
  19. Suzuki, Shiba, 2014. "An exploration of the effect of doubt during disasters on equity premiums," Economics Letters, Elsevier, Elsevier, vol. 123(3), pages 270-273.
  20. Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," TSE Working Papers, Toulouse School of Economics (TSE) 09-068, Toulouse School of Economics (TSE).
  21. Alexander Ludwig & Alexander Zimper, 2013. "Biased Bayesian learning with an application to the risk-free rate puzzle," Working Papers, University of Pretoria, Department of Economics 201366, University of Pretoria, Department of Economics.
  22. Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 233, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Jouini, E. & Napp, C., 2008. "On Abel's concept of doubt and pessimism," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(11), pages 3682-3694, November.
  24. Gollier, Christian, 2003. "Who Should we Believe? Collective Risk-Taking Decisions with Heterogeneous Beliefs," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 201, Institut d'Économie Industrielle (IDEI), Toulouse.
  25. Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001, Society for Computational Economics 41, Society for Computational Economics.
  26. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 186, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. Timothy Cogley & Thomas J. Sargent, 2008. "Anticipated Utility And Rational Expectations As Approximations Of Bayesian Decision Making," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 49(1), pages 185-221, 02.
  28. Larry Epstein & Martin Schneider, 2005. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 519, University of Rochester - Center for Economic Research (RCER).
  29. Christian Gollier, 2005. "Optimal Illusions and Decisions under Risk," CESifo Working Paper Series, CESifo Group Munich 1382, CESifo Group Munich.
  30. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
  31. Gollier, Christian, 2008. "Understanding saving and portfolio choices with predictable changes in assets returns," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 44(5-6), pages 445-458, April.
  32. Tristani, Oreste, 2007. "Model misspecification, the equilibrium natural interest rate and the equity premium," Working Paper Series, European Central Bank 0808, European Central Bank.
  33. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, Elsevier, vol. 25(3), pages 373-405, June.
  34. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, Springer, vol. 23(3), pages 609-639, July.
  35. Aaron Tornell, 2003. "Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas," UCLA Economics Online Papers, UCLA Department of Economics 265, UCLA Department of Economics.
  36. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series, Federal Reserve Bank of San Francisco 2008-08, Federal Reserve Bank of San Francisco.
  37. Jouini, Elyès & Napp, Clotilde, 2008. "Are more risk averse agents more optimistic? Insights from a rational expectations model," Economics Letters, Elsevier, Elsevier, vol. 101(1), pages 73-76, October.
  38. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5407, C.E.P.R. Discussion Papers.
  39. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche, CIRPEE 0907, CIRPEE.
  40. Alexander Zimper & Alexander Ludwig, 2008. "On attitude polarization under Bayesian learning with non-additive beliefs," Working Papers, Economic Research Southern Africa 104, Economic Research Southern Africa.
  41. Selima Mansour & Elyès Jouini & Clotilde Napp, 2006. "Is There a “Pessimisticâ€\x9D Bias in Individual Beliefs? Evidence from a Simple Survey," Theory and Decision, Springer, Springer, vol. 61(4), pages 345-362, December.
  42. Gourinchas, Pierre-Olivier & Tornell, Aaron, 2004. "Exchange rate puzzles and distorted beliefs," Journal of International Economics, Elsevier, Elsevier, vol. 64(2), pages 303-333, December.
  43. Christian Gollier, 2014. "Discounting and Growth," American Economic Review, American Economic Association, American Economic Association, vol. 104(5), pages 534-37, May.
  44. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers, University of California, Davis, Department of Economics 522, University of California, Davis, Department of Economics.
  45. Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(3), pages 1129-1145, August.
  46. Hwai-Chung Ho & Chien-Chih Lin, 2012. "How do Heterogeneous Beliefs Influence Asset Volatility?," Pacific Economic Review, Wiley Blackwell, Wiley Blackwell, vol. 17(4), pages 601-616, October.
  47. Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 438, China Economics and Management Academy, Central University of Finance and Economics.
  48. Elyès Jouini & Clotilde Napp, 2009. "Cognitive biases and the representative agent," Working Papers, HAL halshs-00488570, HAL.
  49. Giordani, Paolo & Soderlind, Paul, 2006. "Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(6), pages 1027-1043, June.
  50. Alexander Zimper & Alexander Ludwig, 2007. "Attitude polarization," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy 07155, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  51. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  52. Bill Dupor, 2002. "The Natural Rate of Q," American Economic Review, American Economic Association, American Economic Association, vol. 92(2), pages 96-101, May.
  53. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(3), pages 454-476, April.
  54. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(7), pages 1233-1260, July.
  55. Elyès Jouini & Clotilde Napp, 2012. "Behavioral biases and the representative agent," Theory and Decision, Springer, Springer, vol. 73(1), pages 97-123, July.
  56. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(1), pages 139-209, January.
  57. Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006, Society for Computational Economics 108, Society for Computational Economics.
  58. Christian Gollier, 2003. "Collective Risk-Taking Decisions with Heterogeneous Beliefs," CESifo Working Paper Series, CESifo Group Munich 909, CESifo Group Munich.
  59. Elyès Jouini & Clotilde Napp, 2008. "Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model," Post-Print, HAL halshs-00176630, HAL.
  60. Christian Gollier, 2007. "Whom should we believe? Aggregation of heterogeneous beliefs," Journal of Risk and Uncertainty, Springer, Springer, vol. 35(2), pages 107-127, October.
  61. Gollier, Christian, 2007. "Optimal expectations with complete markets," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 463, Institut d'Économie Industrielle (IDEI), Toulouse.