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Citations for "The market price of risk and the equity premium: A legacy of the Great Depression?"

by Cogley, Timothy & Sargent, Thomas J.

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  1. Max Gillman & Michal Kejak & Michal Pakoš, 2015. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, vol. 19(3), pages 1053-1104.
  2. Gabriel P. Mathy, 2014. "Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression," Working Papers 2014-02, American University, Department of Economics.
  3. Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2011. "Stock Market Volatility and Learning," CEP Discussion Papers dp1077, Centre for Economic Performance, LSE.
  4. Giuliano, Paola & Spilimbergo, Antonio, 2009. "Growing Up in a Recession: Beliefs and the Macroeconomy," IZA Discussion Papers 4365, Institute for the Study of Labor (IZA).
  5. Klaus Adam & Albert Marcet, 2011. "Booms and Busts in Asset Prices," CEP Discussion Papers dp1059, Centre for Economic Performance, LSE.
  6. Ñíguez, Trino-Manuel & Paya, Ivan & Peel, David & Perote, Javier, 2012. "On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty," Economics Letters, Elsevier, vol. 115(2), pages 244-248.
  7. Nakov, Anton & Nuño, Galo, 2011. "Learning from experience in the stock market," Working Paper Series 1396, European Central Bank.
  8. Caprioli, Francesco, 2015. "Optimal fiscal policy under learning," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 101-124.
  9. Klaus Adam & Albert Marcet & Johannes Beutel, 2015. "Stock Price Booms and Expected Capital Gains," Working Papers 757, Barcelona Graduate School of Economics.
  10. Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
  11. Osili, Una Okonkwo & Paulson, Anna, 2014. "Crises and confidence: Systemic banking crises and depositor behavior," Journal of Financial Economics, Elsevier, vol. 111(3), pages 646-660.
  12. Missaka Warusawitharana, 2008. "Research and development, profits and firm value: a structural estimation," Finance and Economics Discussion Series 2008-52, Board of Governors of the Federal Reserve System (U.S.).
  13. Cogley, Timothy, 2009. "Is the market price of risk infinite?," Economics Letters, Elsevier, vol. 102(1), pages 13-16, January.
  14. Francesco Caprioli & Pietro Rizza & Pietro Tommasino, 2012. "Optimal fiscal policy when agents fear government default," Temi di discussione (Economic working papers) 859, Bank of Italy, Economic Research and International Relations Area.
  15. D. COLANDER & al., 2010. "The Financial Crisis and the Systemic Failure of Academic Economics," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 6.
  16. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
  17. Suda, J., 2013. "Belief shocks and the macroeconomy," Working papers 434, Banque de France.
  18. Adam, Klaus & Marcet, Albert, 2011. "Internal rationality, imperfect market knowledge and asset prices," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1224-1252, May.
  19. Pataracchia, B., 2011. "Ambiguity and Volatility : Asset Pricing Implications," Discussion Paper 2011-042, Tilburg University, Center for Economic Research.
  20. Frahm, Gabriel & Memmel, Christoph, 2010. "Dominating estimators for minimum-variance portfolios," Journal of Econometrics, Elsevier, vol. 159(2), pages 289-302, December.
  21. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  22. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper 2011/18, Norges Bank.
  23. Luis Catão & Rui Mano, 2015. "Default Premium," IMF Working Papers 15/167, International Monetary Fund.
  24. Enrique Mendoza & Emine Boz, 2010. "Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis," 2010 Meeting Papers 316, Society for Economic Dynamics.
  25. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
  26. T M Niguez & I Paya & D Peel & J Perote, 2011. "On the stability of the CRRA utility under high degrees of uncertainty," Working Papers 615773, Lancaster University Management School, Economics Department.
  27. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
  28. Jess Benhabib & Chetan Dave, 2011. "Learning, Large Deviations and Rare Events," NBER Working Papers 16816, National Bureau of Economic Research, Inc.
  29. repec:lan:wpaper:2360 is not listed on IDEAS
  30. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  31. Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print peer-00741629, HAL.
  32. repec:lan:wpaper:2585 is not listed on IDEAS
  33. Cronqvist, Henrik & Siegel, Stephan & Yu, Frank, 2015. "Value versus growth investing: Why do different investors have different styles?," Journal of Financial Economics, Elsevier, vol. 117(2), pages 333-349.
  34. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
  35. Robert J. Barro & Jose F. Ursua, 2008. "Macroeconomic Crises since 1870," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 39(1 (Spring), pages 255-350.
  36. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  37. Wickern, Tobias, 2011. "Confidence in prior knowledge: Calibration and impact on portfolio performance," Discussion Papers in Econometrics and Statistics 7/11, University of Cologne, Institute of Econometrics and Statistics.
  38. Pablo F Beker & Emilio Espino, 2007. "The Dynamics of Efficient Asset Trading with Heterogeneous Beliefs," Levine's Bibliography 122247000000001715, UCLA Department of Economics.
  39. Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
  40. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
  41. Bidder, Rhys & Dew-Becker, Ian, 2014. "Long-run risk is the worst-case scenario: ambiguity aversion and non-parametric estimation of the endowment process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
  42. Raghu Suryanarayanan, 2006. "A Model of Anticipated Regret and Endogenous Beliefs," CSEF Working Papers 161, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Dec 2008.
  43. Sudipto Bhattacharya & Charles Goodhart & Dimitrios Tsomocos & Alexandros Vardoulakis, 2011. "Minsky’s Financial Instability Hypothesis and the Leverage Cycle," FMG Special Papers sp202, Financial Markets Group.
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