Du subjectiv expectations explain asset pricing puzzles?
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Weil, Philippe, 1989.
"The equity premium puzzle and the risk-free rate puzzle,"
Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," NBER Working Papers 2829, National Bureau of Economic Research, Inc.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Working Papers hal-03399133, HAL.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," SciencePo Working papers Main hal-03399133, HAL.
- Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," SciencePo Working papers Main hal-03393298, HAL.
- Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Post-Print hal-03393298, HAL.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016.
"Stock Market Volatility and Learning,"
Journal of Finance, American Finance Association, vol. 71(1), pages 33-82, February.
- Marcet, Albert & Nicolini, Juan Pablo & Adam, Klaus, 2007. "Stock Market Volatility and Learning," CEPR Discussion Papers 6518, C.E.P.R. Discussion Papers.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2015. "Stock Market Volatility and Learning," Working Papers 720, Federal Reserve Bank of Minneapolis.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2011. "Stock Market Volatility and Learning," CEP Discussion Papers dp1077, Centre for Economic Performance, LSE.
- Albert Marcet & Klaus Adam & Juan Pablo Nicolini, 2008. "Stock Market Volatility and Learning," UFAE and IAE Working Papers 732.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2014. "Stock Market Volatility and Learning," Working Papers 336, Barcelona School of Economics.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2008. "Stock market volatility and learning," Working Paper Series 862, European Central Bank.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2011. "Stock market volatility and learning," LSE Research Online Documents on Economics 121739, London School of Economics and Political Science, LSE Library.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2012. "Stock Market Volatility and Learning," Working Papers 12-06, University of Mannheim, Department of Economics.
- John Y. Campbell & John H. Cochrane, 2000.
"Explaining the Poor Performance of Consumption‐based Asset Pricing Models,"
Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.
- John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
- Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
- Hansen, Lars Peter & Jagannathan, Ravi, 1991.
"Implications of Security Market Data for Models of Dynamic Economies,"
Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-262, April.
- Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics 29, Federal Reserve Bank of Minneapolis.
- Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of Security Market Data for Models of Dynamic Economies," NBER Technical Working Papers 0089, National Bureau of Economic Research, Inc.
- John Y. Campbell & John Cochrane, 1999.
"Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
- John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
- John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
- John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
- Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
- repec:bla:jfinan:v:59:y:2004:i:6:p:2959-3004 is not listed on IDEAS
- Rietz, Thomas A., 1988. "The equity risk premium a solution," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 117-131, July.
- Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000.
"Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc.
- Allan G. Timmermann, 1993. "How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(4), pages 1135-1145.
- Geweke, John, 2001. "A note on some limitations of CRRA utility," Economics Letters, Elsevier, vol. 71(3), pages 341-345, June.
- Mehra, Rajnish & Prescott, Edward C., 2003.
"The equity premium in retrospect,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938,
Elsevier.
- Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
- Campbell, John Y, 1993.
"Intertemporal Asset Pricing without Consumption Data,"
American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
- John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
- Campbell, John, 1993. "Intertemporal Asset Pricing Without Consumption Data," Scholarly Articles 3221491, Harvard University Department of Economics.
- Martin Lettau & Jessica A. Wachter, 2007.
"Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium,"
Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, February.
- Martin Lettau & Jessica Wachter, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," NBER Working Papers 11144, National Bureau of Economic Research, Inc.
- Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
- Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers.
- Constantinides, George M, 1990.
"Habit Formation: A Resolution of the Equity Premium Puzzle,"
Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-543, June.
- G. Constantinides, 1990. "Habit formation: a resolution of the equity premium puzzle," Levine's Working Paper Archive 1397, David K. Levine.
- Xavier Gabaix, 2012.
"Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 645-700.
- Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
- Robert J. Barro, 2006.
"Rare Disasters and Asset Markets in the Twentieth Century,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(3), pages 823-866.
- Barro, Robert, 2006. "Rare Disasters and Asset Markets in the Twentieth Century," Scholarly Articles 3208215, Harvard University Department of Economics.
- Robert J. Barro, 2024. "Rare Disasters and Asset Markets in the Twentieth Century," CEMA Working Papers 620, China Economics and Management Academy, Central University of Finance and Economics.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
- repec:hal:spmain:info:hdl:2441/8686 is not listed on IDEAS
- John Y. Campbell, 1986.
"Bond and Stock Returns in a Simple Exchange Model,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 785-803.
- John Y. Campbell, 1984. "Bond and Stock Returns in a Simple Exchange Model," NBER Working Papers 1509, National Bureau of Economic Research, Inc.
- Campbell, John, 1986. "Bond and Stock Returns in a Simple Exchange Model," Scholarly Articles 3122544, Harvard University Department of Economics.
- Abel, Andrew B., 2002.
"An exploration of the effects of pessimism and doubt on asset returns,"
Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1075-1092, July.
- Andrew B. Abel, 2001. "An exploration of the effects of pessimism and doubt on asset returns," Working Papers 01-1, Federal Reserve Bank of Philadelphia.
- Andrew B. Abel, 2001. "An Exploration of the Effects of Pessimism and Doubt on Asset Returns," NBER Working Papers 8132, National Bureau of Economic Research, Inc.
- Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Shephard, Neil, 1994. "Local scale models : State space alternative to integrated GARCH processes," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 181-202.
- Efthymios G. Tsionas, 2005. "Likelihood Evidence on the Asset Returns Puzzle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 917-946.
- repec:bla:jfinan:v:59:y:2004:i:4:p:1481-1509 is not listed on IDEAS
- Jonathan Lewellen & Jay Shanken, 2002. "Learning, Asset‐Pricing Tests, and Market Efficiency," Journal of Finance, American Finance Association, vol. 57(3), pages 1113-1145, June.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
- Robert B. Barsky & J. Bradford De Long, 1993.
"Why Does the Stock Market Fluctuate?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(2), pages 291-311.
- Robert B. Barsky & J. Bradford De Long, 1992. "Why Does the Stock Market Fluctuate?," NBER Working Papers 3995, National Bureau of Economic Research, Inc.
- Narayana R. Kocherlakota, 1996.
"The Equity Premium: It's Still a Puzzle,"
Journal of Economic Literature, American Economic Association, vol. 34(1), pages 42-71, March.
- Kocherlakota, N., 1995. "The Equity Premium: It's Still a Puzzle," Working Papers 95-05, University of Iowa, Department of Economics.
- Narayana R. Kocherlakota, 1995. "The equity premium: it's still a puzzle," Discussion Paper / Institute for Empirical Macroeconomics 102, Federal Reserve Bank of Minneapolis.
- LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
- Allan Timmermann, 1996. "Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 63(4), pages 523-557.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- Guidolin, Massimo, 2006.
"Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle,"
Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
- Massimo Guidolin, 2005. "Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle," Working Papers 2005-005, Federal Reserve Bank of St. Louis.
- Campbell, John Y., 2003.
"Consumption-based asset pricing,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887,
Elsevier.
- John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- 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.
- Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
- Ludvigson, Sydney C., 2013.
"Advances in Consumption-Based Asset Pricing: Empirical Tests,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906,
Elsevier.
- Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
- Aase, Knut K., 2014.
"Recursive utility and jump-diffusions,"
Discussion Papers
2014/9, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K., 2015. "Recursive utility and jump-diffusions," Discussion Papers 2015/6, Norwegian School of Economics, Department of Business and Management Science.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
- Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
- Luca De Gennaro Aquino & Xuedong He & Moris Simon Strub & Yuting Yang, 2024. "Reference-dependent asset pricing with a stochastic consumption-dividend ratio," Papers 2401.12856, arXiv.org.
- Rhys Bidder & Ian Dew-Becker, 2016.
"Long-Run Risk Is the Worst-Case Scenario,"
American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
- Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers 22416, National Bureau of Economic Research, Inc.
- Knut K. Aase, 2016.
"Recursive utility using the stochastic maximum principle,"
Quantitative Economics, Econometric Society, vol. 7(3), pages 859-887, November.
- Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
- Rui Albuquerque & Martin Eichenbaum & Victor Xi Luo & Sergio Rebelo, 2016.
"Valuation Risk and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 71(6), pages 2861-2904, December.
- Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012. "Valuation Risk and Asset Pricing," NBER Working Papers 18617, National Bureau of Economic Research, Inc.
- John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
- 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.
- Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
- Beeler, Jason & Campbell, John Y., 2012.
"The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment,"
Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
- Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
- Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
- Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002.
"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,"
Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated". "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working Papers 23-99, Wharton School Rodney L. White Center for Financial Research.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 7406, National Bureau of Economic Research, Inc.
- Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:red:sed009:1234. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christian Zimmermann (email available below). General contact details of provider: https://edirc.repec.org/data/sedddea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.