How do Heterogeneous Beliefs Influence Asset Volatility?
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Volume (Year): 17 (2012)
Issue (Month): 4 (October)
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References listed on IDEAS
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- Andrew B. Abel, 2001.
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01-1, Federal Reserve Bank of Philadelphia.
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- 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.
- 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.
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- Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
- Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
- Ziegler, Alexandre, 2002. "State-price densities under heterogeneous beliefs, the smile effect, and implied risk aversion," European Economic Review, Elsevier, vol. 46(8), pages 1539-1557, September.
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