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Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt

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  • Jouini, Elyes
  • Napp, Clotilde

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  • 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.
    • Handle: RePEc:eee:dyncon:v:30:y:2006:i:7:p:1233-1260
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    References listed on IDEAS

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    1. Varian, Hal R, 1985. "Divergence of Opinion in Complete Markets: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 309-317, March.
    2. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
    3. Christian Gollier, 2003. "Collective Risk-Taking Decisions with Heterogeneous Beliefs," CESifo Working Paper Series 909, CESifo.
    4. Gollier, Christian, 2003. "Who Should we Believe? Collective Risk-Taking Decisions with Heterogeneous Beliefs," IDEI Working Papers 201, Institut d'Économie Industrielle (IDEI), Toulouse.
    5. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
    6. Andrew B. Abel, "undated". "Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium," Rodney L. White Center for Financial Research Working Papers 09-89, Wharton School Rodney L. White Center for Financial Research.
    7. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
    8. Giordani, Paolo & Söderlind, Paul, 2002. "Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SSE/EFI Working Paper Series in Economics and Finance 519, Stockholm School of Economics, revised 01 Oct 2003.
    9. Michael Gallmeyer, "undated". "Beliefs and Volatility," GSIA Working Papers 2000-E42, Carnegie Mellon University, Tepper School of Business.
    10. Detemple Jerome & Murthy Shashidhar, 1994. "Intertemporal Asset Pricing with Heterogeneous Beliefs," Journal of Economic Theory, Elsevier, vol. 62(2), pages 294-320, April.
    11. Elyès Jouini & Clotilde Napp, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1149-1174.
    12. Laurent Calvet & Jean-Michel Grandmont & Isabelle Lemaire, 2001. "Aggregation of Heterogenous Beliefs and Asset Pricing in Complete Financial Markets," Working Papers 2001-01, Center for Research in Economics and Statistics.
    13. Abel, Andrew B., 2002. "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1075-1092, July.
    14. Michael Gallmeyer & Burton Hollifield, "undated". "An Examination of Heterogeneous Beliefs with a Short Sale Constraint," GSIA Working Papers 2002-E2, Carnegie Mellon University, Tepper School of Business.
    15. Narayana R. Kocherlakota, 1996. "The Equity Premium: It's Still a Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(1), pages 42-71, March.
    16. Williams, Joseph T., 1977. "Capital asset prices with heterogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 5(2), pages 219-239, November.
    17. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
    18. John G. Cragg & Burton G. Malkiel, 1982. "Expectations and the Structure of Share Prices," NBER Books, National Bureau of Economic Research, Inc, number crag82-1, January.
    19. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    20. 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.
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