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

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

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  1. 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.
  2. 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.
  3. 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.
  4. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
  5. Benabou, Roland, 2013. "Groupthink: Collective Delusions in Organizations and Markets," IZA Discussion Papers 7322, Institute for the Study of Labor (IZA).
  6. Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc.
  7. 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.
  8. 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.
  9. Wei Xiong & Jialin Yu, 2009. "The Chinese Warrants Bubble," NBER Working Papers 15481, National Bureau of Economic Research, Inc.
  10. Gollier, Christian & Hammitt, James & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
  11. Anastasios G. Karantounias with Lars Peter Hansen & Thomas J. Sargent, 2009. "Managing expectations and fiscal policy," FRB Atlanta Working Paper No. 2009-29, Federal Reserve Bank of Atlanta.
  12. John Griffin, 2015. "Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a Long-Lived Asset," Fordham Economics Discussion Paper Series dp2015-01, Fordham University, Department of Economics.
  13. Karantounias, Anastasios G., 2013. "Managing pessimistic expectations and fiscal policy," Theoretical Economics, Econometric Society, vol. 8(1), January.
  14. Fong, Wai Mun & Toh, Benjamin, 2014. "Investor sentiment and the MAX effect," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 190-201.
  15. Chen, Si, 2012. "Optimistic versus Pessimistic--Optimal Judgemental Bias with Reference Point," MPRA Paper 50693, University Library of Munich, Germany.
  16. Doran, James & Jiang, Danling & Peterson, David, 2008. "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper 15463, University Library of Munich, Germany, revised 10 Mar 2009.
  17. Callan Windsor & Gianni La Cava & James Hansen, 2014. "Home Price Beliefs in Australia," RBA Research Discussion Papers rdp2014-04, Reserve Bank of Australia.
  18. 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.
  19. Jouini, Elyès & Karehnke, Paul & Napp, Clotilde, 2013. "On Portfolio Choice with Savoring and Disappointment," Economics Papers from University Paris Dauphine 123456789/11420, Paris Dauphine University.
  20. 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.
  21. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  22. Kuhnen, Camelia M., 2012. "Asymmetric learning from financial information," MPRA Paper 39412, University Library of Munich, Germany.
  23. 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.
  24. Barth, Daniel, 2014. "The costs and beliefs impliedby direct stock ownership," Working Paper Series 1657, European Central Bank.
  25. 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.
  26. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
  27. 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.
  28. Macera, Rosario, 2014. "Dynamic beliefs," Games and Economic Behavior, Elsevier, vol. 87(C), pages 1-18.
  29. 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.
  30. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171, arXiv.org.
  31. Yuan, Yue, 2012. "Optimal beliefs in the long run: An overlapping generations perspective," Economics Letters, Elsevier, vol. 117(2), pages 525-527.
  32. 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.
  33. 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.
  34. 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.
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