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Citations for "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns"

by Markus K. Brunnermeier & Jonathan A. Parker & Christian Gollier

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  1. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171, arXiv.org.
  2. Fong, Wai Mun & Toh, Benjamin, 2014. "Investor sentiment and the MAX effect," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 190-201.
  3. René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.
  4. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
  5. Gollier, Christian & Hammitt, James & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
  6. Roland Bénabou, 2009. "Groupthink: Collective Delusions in Organizations and Markets," NBER Working Papers 14764, National Bureau of Economic Research, Inc.
  7. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
  8. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  9. Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Rational Attention Allocation Over the Business Cycle," NBER Working Papers 15450, National Bureau of Economic Research, Inc.
  10. Barth, Daniel, 2014. "The costs and beliefs impliedby direct stock ownership," Working Paper Series 1657, European Central Bank.
  11. Stephan Meyer & Sebastian Schroff & Christof Weinhardt, 2014. "(Un)skilled leveraged trading of retail investors," Financial Markets and Portfolio Management, Springer, vol. 28(2), pages 111-138, May.
  12. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
  13. Yuan, Yue, 2012. "Optimal beliefs in the long run: An overlapping generations perspective," Economics Letters, Elsevier, vol. 117(2), pages 525-527.
  14. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, vol. 221(2), pages 397-406.
  15. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
  16. Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc.
  17. Nicholas Barberis & Ming Huang, 2008. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, vol. 98(5), pages 2066-2100, December.
  18. Wei Xiong & Jialin Yu, 2011. "The Chinese Warrants Bubble," American Economic Review, American Economic Association, vol. 101(6), pages 2723-53, October.
  19. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
  20. Anastasios G. Karantounias with Lars Peter Hansen & Thomas J. Sargent, 2009. "Managing expectations and fiscal policy," Working Paper 2009-29, Federal Reserve Bank of Atlanta.
  21. Kuhnen, Camelia M., 2012. "Asymmetric learning from financial information," MPRA Paper 39412, University Library of Munich, Germany.
  22. Elyès Jouini & Paul Karehnke & Clotilde Napp, 2013. "On Portfolio Choice with Savoring and Disappointment," Post-Print halshs-00927267, HAL.
  23. Iwaki, Hideki & Osaki, Yusuke, 2010. "Some properties of subjective probabilities induced by optimal expectations," Finance Research Letters, Elsevier, vol. 7(2), pages 98-102, June.
  24. Aissia, Dorsaf Ben, 2014. "IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors," Review of Financial Economics, Elsevier, vol. 23(3), pages 148-154.
  25. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
  26. Chen, Si, 2012. "Optimistic versus Pessimistic--Optimal Judgemental Bias with Reference Point," MPRA Paper 50693, University Library of Munich, Germany.
  27. Callan Windsor & Gianni La Cava & James Hansen, 2014. "Home Price Beliefs in Australia," RBA Research Discussion Papers rdp2014-04, Reserve Bank of Australia.
  28. Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael & Yu, Yinghui, 2012. "Short-sale constraints: Reductions in costs of capital or overvaluation? Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 506-520.
  29. Patrick Roger & Marie-Hélène Broihanne & Maxime Merli, 2012. "In search of positive skewness: the case of individual investors," Working Papers of LaRGE Research Center 2012-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  30. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  31. Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
  32. Macera, Rosario, 2014. "Dynamic beliefs," Games and Economic Behavior, Elsevier, vol. 87(C), pages 1-18.
  33. Karantounias, Anastasios G., 2013. "Managing pessimistic expectations and fiscal policy," Theoretical Economics, Econometric Society, vol. 8(1), January.
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