Excess Volatility: Beyond Discount Rates

Citations

Cited by:

1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
   • Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
   • Moench, Emanuel & Soofi Siavash, Soroosh, 2022. "What Moves Treasury Yields?," CEPR Discussion Papers 15978, Centre for Economic Policy Research.
2. Peter Haan & Chen Sun & Uwe Sunde & Georg Weizsäcker, 2022. "Non-Additivity of Subjective Expectations over Different Time Intervals," Discussion Papers of DIW Berlin 2027, DIW Berlin, German Institute for Economic Research.
   • Peter Haan & Chen Sun & Uwe Sunde & Georg Weizsäcker, 2022. "Non-Additivity of Subjective Expectations over Different Time Intervals," Berlin School of Economics Discussion Papers 0004, Berlin School of Economics.
   • Haan, Peter & Sun, Chen & Sunde, Uwe & Weizsäcker, Georg, 2022. "Non-Additivity of Subjective Expectations over Different Time Intervals," Rationality and Competition Discussion Paper Series 337, CRC TRR 190 Rationality and Competition.
3. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
   • Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, Centre for Economic Policy Research.
4. Irina Zviadadze, 2017. "Term Structure of Risk on Macrofinance Models," 2017 Meeting Papers 965, Society for Economic Dynamics.
5. Constantin Charles & Cary Frydman & Mete Kilic, 2024. "Insensitive Investors," Journal of Finance, American Finance Association, vol. 79(4), pages 2473-2503, August.
6. Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.
7. Liu, Yan & Wu, Jing Cynthia, 2021. "Reconstructing the yield curve," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
   • Yan Liu & Jing Cynthia Wu, 2020. "Reconstructing the Yield Curve," NBER Working Papers 27266, National Bureau of Economic Research, Inc.
8. Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
   • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
   • Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, Centre for Economic Policy Research.
   • David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
   • David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
9. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2022. "Overreaction and Diagnostic Expectations in Macroeconomics," Journal of Economic Perspectives, American Economic Association, vol. 36(3), pages 223-244, Summer.
   • Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2022. "Overreaction and Diagnostic Expectations in Macroeconomics," NBER Working Papers 30356, National Bureau of Economic Research, Inc.
10. Bordalo, Pedro & Gennaioli, Nicola & Kwon, Spencer Yongwook & Shleifer, Andrei, 2021. "Diagnostic bubbles," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1060-1077.
    • Pedro Bordalo & Nicola Gennaioli & Spencer Yongwook Kwon & Andrei Shleifer, 2018. "Diagnostic Bubbles," NBER Working Papers 25399, National Bureau of Economic Research, Inc.
11. Constantin Charles & Cary D. Frydman & Mete Kilic, 2022. "Insensitive Investors," CESifo Working Paper Series 10067, CESifo.
12. Charles, Constantin & Frydman, Cary & Kilic, Mete, 2024. "Insensitive investors," LSE Research Online Documents on Economics 120788, London School of Economics and Political Science, LSE Library.
13. Lux, Thomas, 2020. "Can heterogeneous agent models explain the alleged mispricing of the S&P 500?," Economics Working Papers 2020-03, Christian-Albrechts-University of Kiel, Department of Economics.
14. Richard K Crump & Nikolay Gospodinov, 2025. "Deconstructing the Yield Curve," The Review of Financial Studies, Society for Financial Studies, vol. 38(2), pages 381-421.
    • Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
15. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
16. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
17. van Binsbergen, Jules H., 2026. "Duration-based stock valuation: Reassessing stock market performance and volatility," Journal of Financial Economics, Elsevier, vol. 178(C).
18. Stefan Nagel, 2026. "Experiences, expectations, and asset prices," Journal of Business Economics, Springer, vol. 96(1), pages 11-34, January.
    • Stefan Nagel, 2026. "Experiences, Expectations, and Asset Prices," NBER Working Papers 34675, National Bureau of Economic Research, Inc.
19. Carboni, Giacomo & Ellison, Martin, 2022. "Preferred Habitat and Monetary Policy Through the Looking-Glass," CEPR Discussion Papers 17394, Centre for Economic Policy Research.
    • Carboni, Giacomo & Ellison, Martin, 2022. "Preferred habitat and monetary policy through the looking-glass," Working Paper Series 2697, European Central Bank.
20. Pedro Manuel Nogueira Reis & Carlos Pinho, 2021. "A Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(4), pages 420-442, October.
21. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    • Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
22. Golez, Benjamin & Koudijs, Peter, 2025. "Equity duration and predictability," Journal of Financial Economics, Elsevier, vol. 172(C).
23. Peter Carr & Liuren Wu, 2020. "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, vol. 75(4), pages 2271-2316, August.
24. Hui, Kai Wai & Oh, Jun & She, Guoman & Yeung, P. Eric, 2025. "Contract contingencies and uncertainty: Evidence from product market contracts," Journal of Accounting and Economics, Elsevier, vol. 79(2).
25. Danial Saef & Yuanrong Wang & Tomaso Aste, 2022. "Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing," Papers 2208.12614, arXiv.org, revised Sep 2022.
26. Kishor, N. Kundan, 2025. "Regime-Dependent Housing Valuations: Price-Rent Ratios, Volatility, and Structural Breaks in U.S. Markets," MPRA Paper 127472, University Library of Munich, Germany.
27. Bordalo, Pedro & Gennaioli, Nicola & La Porta, Rafael & Shleifer, Andrei, 2025. "Finance without exotic risk," Journal of Financial Economics, Elsevier, vol. 173(C).
    • Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2024. "Finance Without Exotic Risk," NBER Working Papers 33004, National Bureau of Economic Research, Inc.