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Citations for "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?"

by Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark

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  1. Thomas Dohmen & Armin Falk & David Huffman & Uwe Sunde & Jurgen Schupp & Gert Wagner, 2005. "Individual risk attitudes: New evidence from a large, representative, experimentally-validated survey," Framed Field Experiments 00140, The Field Experiments Website.
  2. Prasad V. Bidarkota and J. Huston McCulloch, 2001. "Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle," Computing in Economics and Finance 2001 70, Society for Computational Economics.
  3. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
  4. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers 2010-22, University of Paris West - Nanterre la Défense, EconomiX.
  5. Elyès Jouini & Clotilde Napp, 2004. "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print halshs-00176465, HAL.
  6. Massimo Guidolin, 2006. "High equity premia and crash fears - Rational foundations," Economic Theory, Springer, Springer, vol. 28(3), pages 693-708, 08.
  7. Collard, Fabrice & Feve, Patrick & Ghattassi, Imen, 2006. "Predictability and habit persistence," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(11), pages 2217-2260, November.
  8. Andrew B. Abel, 2001. "An Exploration of the Effects of Pessimism and Doubt on Asset Returns," NBER Working Papers 8132, National Bureau of Economic Research, Inc.
  9. Masanao Aoki & Hiroshi Yoshikawa, 2006. "Stock Prices and the Real Economy: Power Law versus Exponential Distributions," Journal of Economic Interaction and Coordination, Springer, vol. 1(1), pages 45-73, May.
  10. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(9), pages 1911-1928.
  11. Wasim, Ahmad & Bandi, Kamaiah, 2011. "Identifying regime shifts in Indian stock market: A Markov switching approach," MPRA Paper 37174, University Library of Munich, Germany, revised 08 Mar 2012.
  12. Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005. "Interpretable asset markets?," European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
  13. Kogan, Leonid & Ross, Stephen & Wang, Jiang & Westerfield, Mark, 2003. "The Price Impact and Survival of Irrational Traders," Working papers 4293-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  14. Hans Fehr & Manuel Kallweit & Fabian Kindermann, 2011. "Should Pensions be Progressive? Yes, at least in Germany!," CESifo Working Paper Series 3636, CESifo Group Munich.
  15. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
  16. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, vol. 27(2), pages 153-166, December.
  17. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1 - 48.
  18. 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.
  19. Miroslav Misina, 2005. "Risk Perceptions and Attitudes," Working Papers 05-17, Bank of Canada.
  20. Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2010-031, Boston University - Department of Economics.
  21. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  22. 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.
  23. Wessel Marquering, 2006. "Do consumption-based asset pricing models explain return predictability?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1019-1027.
  24. 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, vol. 49(1), pages 185-221, 02.
  25. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  26. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
  27. 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.
  28. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(10), pages 1925-1954, September.
  29. Kevin J. Lansing, 2005. "Lock-in of extrapolative expectations in an asset pricing model," Working Paper Series 2004-06, Federal Reserve Bank of San Francisco.
  30. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(1), pages 81-101, January.
  31. Hans Fehr & Fabian Kindermann, 2009. "Pension Funding and Individual Accounts in Economies with Life-cyclers and Myopes," CESifo Working Paper Series 2724, CESifo Group Munich.
  32. Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2008. "Stock market volatility and learning," Working Paper Series 0862, European Central Bank.
  33. 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.
  34. Carlos Capistrán & Allan Timmermann, 2009. "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 41(2-3), pages 365-396, 03.
  35. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
  36. Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
  37. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
  38. 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.
  39. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
  40. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(2), pages 417-453, November.
  41. 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).
  42. Aaron Tornell, 2000. "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers 7753, National Bureau of Economic Research, Inc.
  43. Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
  44. Eva Carceles-Poveda & Chryssi Giannitsarou, 2007. "Online Appendix to Asset Pricing with Adaptive Learning," Technical Appendices carceles08, Review of Economic Dynamics.
  45. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
  46. Koen Vermeylen, 2013. "The Consumption Discount Rate for the Distant Future (if we do not die out)," Tinbergen Institute Discussion Papers 13-201/VI, Tinbergen Institute.
  47. Christian Gollier, 2003. "Collective Risk-Taking Decisions with Heterogeneous Beliefs," CESifo Working Paper Series 909, CESifo Group Munich.
  48. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers, Society for Economic Dynamics 1234, Society for Economic Dynamics.
  49. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  50. Hans Fehr & Christian Habermann & Fabian Kindermann, 2008. "Social Security with Rational and Hyperbolic Consumers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(4), pages 884-903, October.
  51. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
  52. Christian Gollier, 2007. "Whom should we believe? Aggregation of heterogeneous beliefs," Journal of Risk and Uncertainty, Springer, vol. 35(2), pages 107-127, October.
  53. Robin Greenwood & Andrei Shleifer, 2013. "Expectations of Returns and Expected Returns," NBER Working Papers 18686, National Bureau of Economic Research, Inc.
  54. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics.
  55. Bo Sun, 2011. "Limited market participation and asset prices in the presence of earnings management," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1019, Board of Governors of the Federal Reserve System (U.S.).
  56. Mark C. Freeman & Ben Groom, 2013. "How certain are we about the certainty-equivalent long term social discount rate?," Grantham Research Institute on Climate Change and the Environment Working Papers, Grantham Research Institute on Climate Change and the Environment 138, Grantham Research Institute on Climate Change and the Environment.
  57. Grant, S. & Quiggin, J., 2001. "The Risk Premium for Equity: Explanations and Implications," Discussion Paper, Tilburg University, Center for Economic Research 2001-89, Tilburg University, Center for Economic Research.
  58. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers, Department of Economics, Central European University 2014_2, Department of Economics, Central European University.
  59. Vadym Lepetyuk & Christian A. Stoltenberg, 2013. "Reconciling Consumption Inequality with Income Inequality," Tinbergen Institute Discussion Papers 13-124/VI, Tinbergen Institute.
  60. Richard S. J. Tol & Kenneth J. Arrow & Maureen L. Cropper & Christian Gollier & Ben Groom & Geoffrey M. Heal & Richard G. Newell & William D. Nordhaus & Robert S. Pindyck & William A. Pizer & Paul R. , 2013. "How Should Benefits and Costs Be Discounted in an Intergenerational Context?," Working Paper Series 5613, Department of Economics, University of Sussex.
  61. Prasad Bidarkota & Brice Dupoyet, 2006. "Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy," Working Papers 0603, Florida International University, Department of Economics.
  62. Hans Fehr & Johannes Uhde, 2013. "On the optimal design of pension systems," Empirica, Springer, Springer, vol. 40(3), pages 457-482, August.
  63. Raman Uppal & Harjoat Bhamra, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," 2013 Meeting Papers, Society for Economic Dynamics 1344, Society for Economic Dynamics.
  64. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
  65. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," Les Cahiers de Recherche 947, HEC Paris.
  66. Pataracchia, B., 2013. "Ambiguity aversion and heterogeneity in financial markets: An empirical and theoretical perspective," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5905989, Tilburg University.
  67. Gollier, Christian, 2008. "Discounting with Fat-Tailed Economic Growth," IDEI Working Papers 523, Institut d'Économie Industrielle (IDEI), Toulouse.
  68. Daniel L. Tortorice, 2014. "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers, Brandeis University, Department of Economics and International Businesss School 70, Brandeis University, Department of Economics and International Businesss School.
  69. Christian Gollier, 2011. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," Review of Economic Studies, Oxford University Press, vol. 78(4), pages 1329-1344.
  70. Gourinchas, Pierre-Olivier & Tornell, Aaron, 2004. "Exchange rate puzzles and distorted beliefs," Journal of International Economics, Elsevier, vol. 64(2), pages 303-333, December.
  71. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 42(3), pages 599-609.
  72. Hans Fehr & Christian Habermann, 2010. "Private retirement savings and mandatory annuitization," International Tax and Public Finance, Springer, vol. 17(6), pages 640-661, December.
  73. Luo, Yulei & Young, Eric, 2013. "Long-run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention," MPRA Paper 52904, University Library of Munich, Germany.
  74. Elyès Jouini & Clotilde Napp, 2008. "On Abel's Concept of Doubt and Pessimism," Post-Print halshs-00176611, HAL.
  75. Krusell, Per & Kuruscu, Burhanettin & Smith, Anthony Jr., 2002. "Time orientation and asset prices," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(1), pages 107-135, January.
  76. Jouini, Elyès & Napp, Clotilde, 2008. "On Abel's Concepts of Doubt and Pessimism," Economics Papers from University Paris Dauphine 123456789/198, Paris Dauphine University.
  77. Klaus Adam & Albert Marcet, 2011. "Booms and Busts in Asset Prices," CEP Discussion Papers dp1059, Centre for Economic Performance, LSE.
  78. Prasad V. Bidarkota & Brice V. Dupoyet & J. Huston McCulloch, 2005. "Asset Pricing with Incomplete Information under Stable Shocks," Working Papers 0514, Florida International University, Department of Economics.
  79. Hans Fehr & Christian Habermann, 2008. "Risk Sharing and Efficiency Implications of Progressive Pension Arrangements," Scandinavian Journal of Economics, Wiley Blackwell, vol. 110(2), pages 419-443, 06.
  80. Aaron Tornell, 2003. "Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas," UCLA Economics Online Papers 265, UCLA Department of Economics.
  81. Grant, Simon & Quiggin, John, 2003. "The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy," Working Papers 2003-14, Rice University, Department of Economics.
  82. Carceles-Poveda, Eva & Giannitsarou, Chryssi, 2007. "Asset Pricing with Adaptive Learning," CEPR Discussion Papers 6223, C.E.P.R. Discussion Papers.
  83. Tristani, Oreste, 2007. "Model misspecification, the equilibrium natural interest rate and the equity premium," Working Paper Series 0808, European Central Bank.
  84. Li, Jinlu, 2010. "Some solutions to the equity premium and volatility puzzles," MPRA Paper 26833, University Library of Munich, Germany, revised 01 Aug 2010.
  85. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
  86. Rockoff, Hugh & White, Eugene N., 2012. "Monetary Regimes and Policy on a Global Scale: The Oeuvre of Michael D. Bordo," MPRA Paper 49672, University Library of Munich, Germany, revised May 2013.
  87. Kevin J. Lansing, 2007. "Rational and near-rational bubbles without drift," Working Paper Series 2007-10, Federal Reserve Bank of San Francisco.
  88. 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.
  89. Gollier, Christian, 2003. "Who Should we Believe? Collective Risk-Taking Decisions with Heterogeneous Beliefs," IDEI Working Papers 201, Institut d'Économie Industrielle (IDEI), Toulouse.
  90. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Society for Computational Economics, vol. 44(1), pages 101-126, June.
  91. Fehr, Hans & Kallweit, Manuel & Kindermann, Fabian, 2013. "Should pensions be progressive?," European Economic Review, Elsevier, vol. 63(C), pages 94-116.
  92. 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.
  93. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "Do heterogeneous beliefs diversify market risk?," The European Journal of Finance, Taylor & Francis Journals, vol. 17(3), pages 241-258.
  94. Misina, Miroslav, 2006. "Equity premium with distorted beliefs: A puzzle," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(8), pages 1431-1440, August.
  95. Hans Fehr & Fabian Kindermann, 2012. "Optimal Taxation with Current and Future Cohorts," CESifo Working Paper Series 3973, CESifo Group Munich.
  96. Alexander Ludwig and Alexander Zimper, 2013. "Biased Bayesian Learning with an Application to the Risk-Free Rate Puzzle," Working Papers 390, Economic Research Southern Africa.
  97. Smoluk, H. J. & Neveu, Raymond P., 2002. "Consumption and asset prices: An analysis across income groups," Review of Financial Economics, Elsevier, Elsevier, vol. 11(1), pages 47-62.
  98. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  99. Pascal François & Alon Raviv, 2014. "Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy," Cahiers de recherche 1401, CIRPEE.
  100. 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.
  101. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics.
  102. Natalia Gershun, 2004. "Macrodynamic and Financial Effects of a Large-Scale Technology Change," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(1), pages 67-81, April.
  103. 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.
  104. Fehr, Hans & Uhde, Johannes, 2012. "Optimal Pension Design in General Equlibrium," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62024, Verein für Socialpolitik / German Economic Association.
  105. Jouini, Elyès & Napp, Clotilde, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Economics Papers from University Paris Dauphine 123456789/78, Paris Dauphine University.
  106. 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.