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Higher Order Expectations in Asset Pricing

Citations

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Cited by:

  1. Min Fan, 2006. "Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia," Annals of Finance, Springer, vol. 2(3), pages 259-285, July.
  2. Ming Yi, 2017. "Dynamic beauty contests: Learning from the winners to win?," Journal of Economics, Springer, vol. 122(1), pages 67-92, September.
  3. Olivier Coibion & Yuriy Gorodnichenko & Saten Kumar & Jane Ryngaert, 2021. "Do You Know that I Know that You Know…? Higher-Order Beliefs in Survey Data," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(3), pages 1387-1446.
  4. Kurz, Mordecai, 2008. "Beauty contests under private information and diverse beliefs: How different?," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 762-784, July.
  5. Cedric Tille & Eric van Wincoop, 2009. "Disconnect and Information Content of International Capital Flows: Evidence and Theory," Working Papers 102009, Hong Kong Institute for Monetary Research.
  6. Guido Lorenzoni, 2009. "A Theory of Demand Shocks," American Economic Review, American Economic Association, vol. 99(5), pages 2050-2084, December.
  7. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
  8. John Williamson, 2009. "Exchange Rate Economics," Open Economies Review, Springer, vol. 20(1), pages 123-146, February.
  9. Martin D. D. Evans, 2019. "Front-Running and Collusion in Forex Trading," Working Papers gueconwpa~19-19-02, Georgetown University, Department of Economics.
  10. Ilomaki Jukka & Laurila Hannu, 2017. "Endogenous Real Risk-Free Rate, the Central Bank, and Stock Market," Working Papers 1713, Tampere University, Faculty of Management and Business, Economics.
  11. Olivier Coibion & Yuriy Gorodnichenko & Saten Kumar & Jane Ryngaert, 2018. "Do You Know That I Know That You Know...? Higher-Order Beliefs in Survey Data," NBER Working Papers 24987, National Bureau of Economic Research, Inc.
  12. Albuquerque, Rui & Miao, Jianjun, 2014. "Advance information and asset prices," Journal of Economic Theory, Elsevier, vol. 149(C), pages 236-275.
  13. Ricardo T. Fernholz, 2015. "Exchange Rate Manipulation And Constructive Ambiguity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1323-1348, November.
  14. Jukka Ilomäki, 2017. "Animal spirits, beauty contests and expected returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 474-486, July.
  15. Zhao Han & Xiaohan Ma & Ruoyun Mao, 2023. "The Role of Dispersed Information in Inflation and Inflation Expectations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 48, pages 72-106, April.
  16. Martin D. D. Evans, 2017. "Order Flows and the Exchange Rate Disconnect Puzzle," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 15, pages 599-643, World Scientific Publishing Co. Pte. Ltd..
  17. Jakub Steiner & Colin Stewart, 2012. "Price Distortions in High-Frequency Markets," Discussion Papers 1549, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  18. Xavier Vives & Giovanni Cespa, 2011. "Higher Order Expectations, Illiquidity, and Short Term Trading," 2011 Meeting Papers 929, Society for Economic Dynamics.
  19. Giovanni Cespa & Xavier Vives, 2012. "Dynamic Trading and Asset Prices: Keynes vs. Hayek," Review of Economic Studies, Oxford University Press, vol. 79(2), pages 539-580.
  20. Steiner, Jakub & Stewart, Colin, 2015. "Price distortions under coarse reasoning with frequent trade," Journal of Economic Theory, Elsevier, vol. 159(PA), pages 574-595.
  21. Tarek A. Hassan & Thomas M. Mertens, 2017. "The Social Cost of Near-Rational Investment," American Economic Review, American Economic Association, vol. 107(4), pages 1059-1103, April.
  22. Pascal Kieren & Christian König-Kersting & Robert Schmidt & Stefan Trautmann & Franziska Heinicke, 2023. "First-Order and Higher-Order Inflation Expectations: Evidence about Households and Firms," Working Papers 2023-10, Faculty of Economics and Statistics, Universität Innsbruck.
  23. Cujean, Julien & Andrei, Daniel & Wilson, Mungo, 2018. "The Lost Capital Asset Pricing Model," CEPR Discussion Papers 12607, C.E.P.R. Discussion Papers.
  24. Tarek A. Hassan & Thomas M. Mertens, 2014. "Information Aggregation in a DSGE Model," NBER Working Papers 20193, National Bureau of Economic Research, Inc.
  25. Martijn Cremers & Ankur Pareek & Zacharias Sautner, 2021. "Short‐Term Institutions, Analyst Recommendations, and Mispricing: The Role of Higher Order Beliefs," Journal of Accounting Research, Wiley Blackwell, vol. 59(3), pages 911-958, June.
  26. Jukka Ilomäki & Hannu Laurila, 2018. "The Noise Trader Effect In A Walrasian Financial Market," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 405-419, December.
  27. Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila, 2021. "Leaning against the Bubble: Central Bank Intervention in Walrasian Asset Markets," Risks, MDPI, vol. 9(12), pages 1-12, December.
  28. Tinn, Katrin, 2005. "Optimal research in financial markets with heterogeneous private information: a rational expectations model," Working Paper Series 493, European Central Bank.
  29. Enrique Martínez García, 2007. "A monetary model of the exchange rate with informational frictions," Globalization Institute Working Papers 02, Federal Reserve Bank of Dallas.
  30. Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.
  31. Ruiz-Buforn, Alba & Camacho-Cuena, Eva & Morone, Andrea & Alfarano, Simone, 2021. "Overweighting of public information in financial markets: A lesson from the lab," Journal of Banking & Finance, Elsevier, vol. 133(C).
  32. Tarek A. Hassan & Thomas M. Mertens, 2015. "Information Aggregation in a Dynamic Stochastic General Equilibrium Model," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 159-207.
  33. Jukka Ilomäki, 2018. "Animal Spirits and Risk in Financial Markets," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(9), pages 52-59, May.
  34. Vives, Xavier & Cespa, Giovanni, 2011. "Expectations, Liquidity, and Short-term Trading," CEPR Discussion Papers 8303, C.E.P.R. Discussion Papers.
  35. Pierre Monnin, "undated". "Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices," IEW - Working Papers 202, Institute for Empirical Research in Economics - University of Zurich.
  36. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
  37. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2013. "What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 109-129.
  38. Francesca Pancotto & Filippo Maria Pericoli & Marco Pistagnesi, 2013. "Inefficiency in Survey Exchange Rates Forecasts," Working Papers 1/13, Sapienza University of Rome, DISS.
  39. Liang, Hanchao & Yang, Chunpeng & Cai, Chuangqun, 2017. "Beauty contest, bounded rationality, and sentiment pricing dynamics," Economic Modelling, Elsevier, vol. 60(C), pages 71-80.
  40. Timothy Shields & Baohua Xin, 2012. "Higher-order Beliefs in Simple Trading Models," Working Papers 12-18, Chapman University, Economic Science Institute.
  41. Yang, Chunpeng & Cai, Chuangqun, 2014. "Higher order expectations in sentiment asset pricing model," Economic Modelling, Elsevier, vol. 39(C), pages 95-100.
  42. Philippe Bacchetta & Eric van Wincoop, 2011. "Modeling Exchange Rates with Incomplete Information," Cahiers de Recherches Economiques du Département d'économie 11.03, Université de Lausanne, Faculté des HEC, Département d’économie.
  43. Guido Lorenzoni, 2007. "News Shocks and Optimal Monetary Policy," NBER Working Papers 12898, National Bureau of Economic Research, Inc.
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