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Citations for "Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility"

by David, Alexander

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  1. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.
  2. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  3. Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
  4. Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," FRU Working Papers 2008/01, University of Copenhagen. Department of Economics. Finance Research Unit.
  5. Eisdorfer, Assaf, 2010. "Risk-shifting and investment asymmetry," Finance Research Letters, Elsevier, vol. 7(4), pages 232-237, December.
  6. Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
  7. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  8. Joao Liborio, 2005. "Dynamic bond portfolio choice in a model with Gaussian diffusion regimes," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 259-270.
  9. Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
  10. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
  11. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  12. Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.
  13. Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011. "Risk-Price Dynamics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 3-65, Winter.
    • Lars Peter Hansen & Jaroslav BoroviÄ ka & Mark Hendricks & José A. Scheinkman, 2010. "Risk Price Dynamics," Working Papers 2010-004, Becker Friedman Institute for Research In Economics.
    • Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009. "Risk Price Dynamics," Working Papers 1393, Princeton University, Department of Economics, Econometric Research Program..
    • Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
  14. Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
  15. Günter Franke & Erik Lüders, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Paper 04-05, Center of Finance and Econometrics, University of Konstanz.
  16. Antonio Mele, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
  17. Christophe Chamley, 2005. "Complementarities in Information Acquisition with Short-Term Trades," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-156, Boston University - Department of Economics.
  18. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
  19. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
  20. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29, June.
  21. 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.
  22. Christophe Chamley, 2005. "Complementarities in Information Acquisition with Short-Term Trades," Boston University - Department of Economics - Working Papers Series WP2005-027, Boston University - Department of Economics.
  23. Locarno, Alberto & Massa, Massimo, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
  24. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
  25. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," MPRA Paper 49008, University Library of Munich, Germany.
  26. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-41, May.
  27. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
  28. Bidarkota, Prasad V. & Dupoyet, Brice V. & McCulloch, J. Huston, 2009. "Asset pricing with incomplete information and fat tails," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1314-1331, June.
  29. Günter Franke & Erik Lüders, 2005. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model," CoFE Discussion Paper 05-05, Center of Finance and Econometrics, University of Konstanz.
  30. Qin, Zhenjiang, 2013. "Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4675-4694.
  31. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  32. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  33. Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
  34. Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Les Cahiers de Recherche 1048, HEC Paris.
  35. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
  36. Banerjee, Snehal & Green, Brett, 2015. "Signal or noise? Uncertainty and learning about whether other traders are informed," Journal of Financial Economics, Elsevier, vol. 117(2), pages 398-423.
  37. Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
  38. repec:pri:metric:wp033_2012_hansen_borovicka_hendricks_scheinkman_risk%20price%20dynamics. is not listed on IDEAS
  39. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  40. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
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