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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. Christian Gollier & Edward Schlee, 2011. "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, vol. 9(5), pages 871-902, October.
  2. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. 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 41, Society for Computational Economics.
  4. Charles Ka-Yui Leung & Nan-Kuang Chen, 2005. "Intrinsic Cycles of Land Price: A Simple Model," Departmental Working Papers _166, Chinese University of Hong Kong, Department of Economics.
  5. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 98-04, Ohio State University, Department of Economics.
  6. Söderlind, Paul, 2009. "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
  7. Vadym Lepetyuk & Christian A. Stoltenberg, 2013. "Reconciling consumption inequality with income inequality," Working Papers 705, Federal Reserve Bank of Minneapolis.
  8. Alexander Zimper & Alexander Ludwig, 2009. "On attitude polarization under Bayesian learning with non-additive beliefs," Journal of Risk and Uncertainty, Springer, vol. 39(2), pages 181-212, October.
  9. Christian Gollier, 2003. "Collective Risk-Taking Decisions with Heterogeneous Beliefs," CESifo Working Paper Series 909, CESifo Group Munich.
  10. Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
  11. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 522, University of California, Davis, Department of Economics.
  12. Kevin J. Lansing, 2007. "Rational and Near-Rational Bubbles Without Drift," 2007 Meeting Papers 970, Society for Economic Dynamics.
  13. Massimo Guidolin, 2005. "High equity premia and crash fears. Rational foundations," Working Papers 2005-011, Federal Reserve Bank of St. Louis.
  14. Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
  15. Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
  16. Aaron Tornell, 2003. "Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas," UCLA Economics Online Papers 265, UCLA Department of Economics.
  17. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  18. Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," TSE Working Papers 09-068, Toulouse School of Economics (TSE).
  19. Elyès Jouini & Clotilde Napp, 2008. "Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model," Post-Print halshs-00176630, HAL.
  20. Suzuki, Shiba, 2014. "An exploration of the effect of doubt during disasters on equity premiums," Economics Letters, Elsevier, vol. 123(3), pages 270-273.
  21. Jouini, Elyès & Napp, Clotilde, 2008. "Are more risk averse agents more optimistic? Insights from a rational expectations model," Economics Letters, Elsevier, vol. 101(1), pages 73-76, October.
  22. Tim W. Cogley & Thomas J. Sargent, 2005. "Anticipated Utility and Rational Expectations as Approximations of Bayesian Decision Making," Working Papers 523, University of California, Davis, Department of Economics.
  23. Giordani, Paolo & Söderlind, Paul, 2002. "Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," Working Paper Series in Economics and Finance 519, Stockholm School of Economics, revised 15 Aug 2003.
  24. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks 67, Collegio Carlo Alberto.
  25. Larry Epstein & Martin Schneider, 2002. "Learning Under Ambiguity," RCER Working Papers 497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.
  26. Jouini, E. & Napp, C., 2008. "On Abel's concept of doubt and pessimism," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3682-3694, November.
  27. 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, vol. 55(3), pages 454-476, April.
  28. Larry Epstein & Martin Schneider, 2004. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 507, University of Rochester - Center for Economic Research (RCER).
  29. Ludwig, Alexander & Zimper, Alexander, 2007. "Attitude polarization," Sonderforschungsbereich 504 Publications 07-66, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  30. Hwai-Chung Ho & Chien-Chih Lin, 2012. "How do Heterogeneous Beliefs Influence Asset Volatility?," Pacific Economic Review, Wiley Blackwell, vol. 17(4), pages 601-616, October.
  31. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series 186, Quantitative Finance Research Centre, University of Technology, Sydney.
  32. 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, vol. 49(3), pages 1129-1145, August.
  33. Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
  34. Elyès Jouini & Clotilde Napp, 2012. "Behavioral biases and the representative agent," Theory and Decision, Springer, vol. 73(1), pages 97-123, July.
  35. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
  36. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  37. Gollier, Christian, 2007. "Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns," IDEI Working Papers 430, Institut d'Économie Industrielle (IDEI), Toulouse.
  38. Oreste Tristani, 2009. "Model Misspecification, the Equilibrium Natural Interest Rate, and the Equity Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1453-1479, October.
  39. Elyès Jouini & Clotilde Napp, 2009. "Cognitive biases and the representative agent," Working Papers halshs-00488570, HAL.
  40. Alexander Ludwig & Alexander Zimper, 2013. "Biased Bayesian learning with an application to the risk-free rate puzzle," Working Papers 201366, University of Pretoria, Department of Economics.
  41. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  42. Gourinchas, Pierre-Olivier & Tornell, Aaron, 2004. "Exchange rate puzzles and distorted beliefs," Journal of International Economics, Elsevier, vol. 64(2), pages 303-333, December.
  43. Gollier, Christian, 2005. "Optimal Illusions and Decisions under Risk," IDEI Working Papers 340, Institut d'Économie Industrielle (IDEI), Toulouse.
  44. Christian Gollier, 2007. "Whom should we believe? Aggregation of heterogeneous beliefs," Journal of Risk and Uncertainty, Springer, vol. 35(2), pages 107-127, October.
  45. Gollier, Christian, 2003. "Who Should we Believe? Collective Risk-Taking Decisions with Heterogeneous Beliefs," IDEI Working Papers 201, Institut d'Économie Industrielle (IDEI), Toulouse.
  46. Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
  47. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
  48. Sbuelz, A. & Trojani, F., 2002. "Equilibrium Asset Pricing with Time-Varying Pessimism," Discussion Paper 2002-102, Tilburg University, Center for Economic Research.
  49. Bill Dupor, 2002. "The Natural Rate of Q," American Economic Review, American Economic Association, vol. 92(2), pages 96-101, May.
  50. 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, vol. 61(4), pages 345-362, December.
  51. Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series 233, Quantitative Finance Research Centre, University of Technology, Sydney.
  52. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis.
  53. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  54. Christian Gollier, 2014. "Discounting and Growth," American Economic Review, American Economic Association, vol. 104(5), pages 534-37, May.
  55. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  56. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.
  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 108, Society for Computational Economics.
  58. 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, vol. 30(7), pages 1233-1260, July.
  59. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  60. Gollier, Christian, 2007. "Optimal expectations with complete markets," IDEI Working Papers 463, Institut d'Économie Industrielle (IDEI), Toulouse.
  61. 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, vol. 30(6), pages 1027-1043, June.