create a website

Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Ghaderi, Mohammad ; Kilic, Mete.
In: Journal of Monetary Economics.
RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 58

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Ai, Hengjie Information quality and long-run risk: asset pricing implications. 2010 J. Finance. 65 1333-1367

  2. Andrei, Daniel ; Hasler, Michael Investor attention and stock market volatility. 2015 Rev. Financ. Stud.. 28 33-72

  3. Andrei, Daniel ; Hasler, Michael ; Jeanneret, Alexandre Asset pricing with persistence risk. 2019 Rev. Financ. Stud.. 32 2809-2849

  4. Bansal, Ravi ; Kiku, Dana ; Yaron, Amir An empirical evaluation of the long-run risks model for asset prices. 2012 Crit. Finance Rev.. 1 183-221

  5. Bansal, Ravi ; Yaron, Amir Risks for the long-run: A potential resolution of asset pricing puzzles. 2004 J. Finance. 59 1481-1509

  6. Barro, Robert J. Rare disasters and asset markets in the twentieth century. 2006 Q. J. Econ.. 121 823-866

  7. Barro, Robert J. ; Ursúa, José F. Macroeconomic crises since 1870. 2008 Brook. Pap. Econ. Act.. no. 1 255-350

  8. Barro, Robert J. ; Ursúa, José F. Stock-market crashes and depressions. 2017 Res. Econ.. 71 384-398

  9. Bekaert, Geert ; Engstrom, Eric Asset return dynamics under habits and bad environment–good environment fundamentals. 2017 J. Polit. Econ.. 125 713-760

  10. Bekaert, Geert ; Engstrom, Eric ; Ermolov, Andrey The variance risk premium in equilibrium models. 2023 Rev. Finance. -

  11. Bekaert, Geert ; Engstrom, Eric C. ; Xu, Nancy R. The time variation in risk appetite and uncertainty. 2022 Manage. Sci.. 68 3975-4004

  12. Bekaert, Geert ; Hoerova, Marie The VIX, the variance premium and stock market volatility. 2014 J. Econometrics. 183 181-192

  13. Benzoni, Luca ; Collin-Dufresne, Pierre ; Goldstein, Robert S. Explaining asset pricing puzzles associated with the 1987 market crash. 2011 J. Financ. Econ.. 101 552-573

  14. Bollerslev, Tim ; Tauchen, George ; Zhou, Hao Expected stock returns and variance risk premia. 2009 Rev. Financ. Stud.. 22 4463-4492

  15. Brandt, Michael W. ; Kang, Qiang On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach. 2004 J. Financ. Econ.. 72 217-257

  16. Brandt, Michael W. ; Zeng, Qi ; Zhang, Lu Equilibrium stock return dynamics under alternative rules of learning about hidden states. 2004 J. Econom. Dynam. Control. 28 1925-1954

  17. Campbell, John Y. ; Hentschel, Ludger No news is good news: An asymmetric model of changing volatility in stock returns. 1992 J. Financ. Econ.. 31 281-318

  18. Carr, Peter ; Wu, Liuren Variance risk premiums. 2009 Rev. Financ. Stud.. 22 1311-1341

  19. Cheng, Ing-Haw The VIX premium. 2019 Rev. Financ. Stud.. 32 180-227
    Paper not yet in RePEc: Add citation now
  20. Cheng, Ing-Haw Volatility markets underreacted to the early stages of the COVID-19 pandemic. 2020 Rev. Asset Pricing Stud.. 10 635-668
    Paper not yet in RePEc: Add citation now
  21. Collin-Dufresne, Pierre ; Johannes, Michael ; Lochstoer, Lars A. Parameter learning in general equilibrium: The asset pricing implications. 2016 Amer. Econ. Rev.. 106 664-698

  22. David, Alexander ; Veronesi, Pietro Investors’ and central bank’s uncertainty embedded in index options. 2014 Rev. Financ. Stud.. 27 1661-1716
    Paper not yet in RePEc: Add citation now
  23. Dew-Becker, Ian ; Giglio, Stefano ; Le, Anh ; Rodriguez, Marius The price of variance risk. 2017 J. Financ. Econ.. 123 225-250
    Paper not yet in RePEc: Add citation now
  24. Drechsler, Itamar Uncertainty, time-varying fear, and asset prices. 2013 J. Finance. 68 1843-1889

  25. Drechsler, Itamar ; Yaron, Amir What’s vol got to do with it. 2011 Rev. Financ. Stud.. 24 1-45
    Paper not yet in RePEc: Add citation now
  26. Epstein, Larry ; Zin, Stan Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework. 1989 Econometrica. 57 937-969

  27. Feunou, Bruno ; Jahan-Parvar, Mohammad R. ; Okou, Cédric Downside variance risk premium. 2018 J. Financ. Econom.. 16 341-383

  28. French, Kenneth R. ; Schwert, G. William ; Stambaugh, Robert F. Expected stock returns and volatility. 1987 J. Financ. Econ.. 19 3-29

  29. Gabaix, Xavier An exactly solved framework for ten puzzles in macro-finance. 2012 Q. J. Econ.. 127 645-700

  30. Ghaderi, Mohammad ; Kilic, Mete ; Seo, Sang Byung Learning, slowly unfolding disasters, and asset prices. 2022 J. Financ. Econ.. 143 527-549

  31. Ghysels, Eric ; Guérin, Pierre ; Marcellino, Massimiliano Regime switches in the risk–return trade-off. 2014 J. Empir. Financ.. 28 118-138
    Paper not yet in RePEc: Add citation now
  32. Ghysels, Eric ; Santa-Clara, Pedro ; Valkanov, Rossen There is a risk-return trade-off after all. 2005 J. Financ. Econ.. 76 509-548

  33. Giglio, Stefano ; Maggiori, Matteo ; Stroebel, Johannes ; Utkus, Stephen Five facts about beliefs and portfolios. 2021 Amer. Econ. Rev.. 111 1481-1522

  34. Gillman, Max ; Kejak, Michal ; Pakoš, Michal Learning about rare disasters: implications for consumption and asset prices. 2014 Rev. Finance. 19 1053-1104

  35. Glosten, L.R. ; Jagannathan, R. ; Runkle, D. On the relation between the expected value and the volatility of the nominal excess return on stocks. 1993 J. Finance. 48 1779-1801

  36. Gourio, François Disaster risk and business cycles. 2012 Amer. Econ. Rev.. 102 2734-2766

  37. Guo, Hui ; Whitelaw, Robert F. Uncovering the risk-return relation in the stock market. 2006 J. Finance. 61 1433-1463

  38. Johannes, Michael ; Lochstoer, Lars A. ; Mou, Yiqun Learning about consumption dynamics. 2016 J. Finance. 71 551-600

  39. Ju, Nengjiu ; Miao, Jianjun Ambiguity, learning, and asset returns. 2012 Econometrica. 80 559-591

  40. Kilic, Mete ; Shaliastovich, Ivan Good and bad variance premia and expected returns. 2019 Manage. Sci.. 65 2522-2544

  41. Lettau, Martin ; Ludvigson, Sydney C. ; Wachter, Jessica A. The declining equity premium: What role does macroeconomic risk play?. 2008 Rev. Financ. Stud.. 21 1653-1687

  42. Lochstoer, Lars A. ; Muir, Tyler Volatility expectations and returns. 2022 J. Finance. 77 1055-1096

  43. Ludvigson, Sydney C. ; Ng, Serena The empirical risk-return relation: A factor analysis approach. 2007 J. Financ. Econ.. 83 171-222

  44. Lundblad, Christian The risk return tradeoff in the long run: 1836-2003. 2007 J. Financ. Econ.. 85 123-150

  45. Miao, Jianjun ; Wei, Bin ; Zhou, Hao Ambiguity aversion and the variance premium. 2019 Q. J. Finance. 9 -

  46. Moreira, Alan ; Muir, Tyler Volatility-managed portfolios. 2017 J. Finance. 72 1611-1644

  47. Pastor, Lubos ; Sinha, Meenakshi ; Swaminathan, Bhaskaran Estimating the intertemporal risk-return tradeoff using the implied cost of capital. 2008 J. Finance. 63 2859-2897

  48. Pastor, Lubos ; Veronesi, Pietro Learning in financial markets. 2009 Annu. Rev. Financial Econ.. 1 361-381

  49. Pastor, Lubos ; Veronesi, Pietro Technological revolutions and stock prices. 2009 Am. Econ. Rev.. 99 1451-1483

  50. Rietz, Thomas A. The equity risk premium: A solution. 1988 J. Monetary Econ.. 22 117-131

  51. Segal, Gill ; Shaliastovich, Ivan ; Yaron, Amir Good and bad uncertainty: Macroeconomic and financial market implications. 2015 J. Financ. Econ.. 117 369-397

  52. Timmermann, Allan Excess volatility and predictability of stock prices in autoregressive dividend models with learning. 1996 Rev. Econom. Stud.. 63 523-557

  53. Veronesi, Pietro How does information quality affect stock returns?. 2000 J. Finance. 55 807-837

  54. Veronesi, Pietro Stock market overreactions to bad news in good times: a rational expectations equilibrium model. 1999 Rev. Financ. Stud.. 12 975-1007

  55. Veronesi, Pietro The Peso problem hypothesis and stock market returns. 2004 J. Econom. Dynam. Control. 28 707-725

  56. Wachter, Jessica A. Can time-varying risk of rare disasters explain aggregate stock market volatility?. 2013 J. Finance. 68 987-1035

  57. Weil, Philippe The equity premium puzzle and the risk-free rate puzzle. 1989 J. Monetary Econ.. 24 402-421

  58. Yang, Aoxiang Understanding negative risk-return trade-offs. 2022 :
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Ghaderi, Mohammad ; Kilic, Mete.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

    Full description at Econpapers || Download paper

  2. Learning about the consumption risk exposure of firms. (2024). Li, Kai ; Kim, Yongjin ; Kuehn, Lars-Alexander.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:152:y:2024:i:c:s0304405x2300199x.

    Full description at Econpapers || Download paper

  3. The rate of discount on public investments with future bias in an altruistic overlapping generations model. (2023). Tamai, Toshiki.
    In: European Journal of Political Economy.
    RePEc:eee:poleco:v:79:y:2023:i:c:s0176268023000605.

    Full description at Econpapers || Download paper

  4. Learning and the capital age premium. (2023). Li, Kai ; Tsou, Chi-Yang ; Xu, Chenjie.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:136:y:2023:i:c:p:76-90.

    Full description at Econpapers || Download paper

  5. On the voluntary disclosure of redundant information. (2023). Kaniel, Ron ; Banerjee, Snehal ; Kremer, Ilan ; Breon-Drish, Bradyn.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:214:y:2023:i:c:s0022053123001394.

    Full description at Econpapers || Download paper

  6. Asset pricing under smooth ambiguity in continuous time. (2022). Miao, Jianjun ; Hansen, Lars.
    In: Economic Theory.
    RePEc:spr:joecth:v:74:y:2022:i:2:d:10.1007_s00199-022-01441-5.

    Full description at Econpapers || Download paper

  7. Financial Uncertainty with Ambiguity and Learning. (2022). Zhang, Yuzhao ; Liu, Hening.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:3:p:2120-2140.

    Full description at Econpapers || Download paper

  8. Economic growth, equilibrium welfare, and public goods provision with intergenerational altruism. (2022). Tamai, Toshiki.
    In: European Journal of Political Economy.
    RePEc:eee:poleco:v:71:y:2022:i:c:s0176268021000628.

    Full description at Econpapers || Download paper

  9. Learning, slowly unfolding disasters, and asset prices. (2022). Seo, Sang Byung ; Ghaderi, Mohammad ; Kilic, Mete.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:143:y:2022:i:1:p:527-549.

    Full description at Econpapers || Download paper

  10. The cross section of the monetary policy announcement premium. (2022). Pan, Xuhui Nick ; Han, Leyla Jianyu ; Xu, Lai ; Ai, Hengjie.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:143:y:2022:i:1:p:247-276.

    Full description at Econpapers || Download paper

  11. R&D information quality and stock returns. (2022). Huang, Tao ; Zhu, Ning ; Li, Junye ; Wu, Fei.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:57:y:2022:i:c:s1386418120300689.

    Full description at Econpapers || Download paper

  12. Banks’ liquidity provision and panic runs with recursive preferences. (2022). Panetti, Ettore.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005912.

    Full description at Econpapers || Download paper

  13. Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption. (2021). Wang, Xuexin ; Velasco, Carlos.
    In: Working Papers.
    RePEc:wyi:wpaper:002595.

    Full description at Econpapers || Download paper

  14. Disagreements with noisy signals and asset pricing. (2020). Wang, Hailong ; Cheng, Fengchao ; Hu, Duni ; Ma, Chaoqun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305424.

    Full description at Econpapers || Download paper

  15. Heterogeneous Households under Uncertainty. (2019). Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25448.

    Full description at Econpapers || Download paper

  16. Asset pricing with an imprecise information set. (2019). Wang, Yan ; Lee, Gemma ; Jacoby, Gady ; Paseka, Alexander.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:53:y:2019:i:c:p:82-93.

    Full description at Econpapers || Download paper

  17. Belief heterogeneity in the option markets and the cross-section of stock returns. (2019). Zhao, Yanhui ; Borochin, Paul.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:107:y:2019:i:c:9.

    Full description at Econpapers || Download paper

  18. Heterogeneous Households under Uncertainty. (2019). Veronesi, Pietro.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13466.

    Full description at Econpapers || Download paper

  19. General Aspects of Risk and Uncertainty in Making Financial – Economic Decisions. (2017). Avram, Doina ; Diaconu, Aurelian.
    In: Romanian Statistical Review Supplement.
    RePEc:rsr:supplm:v:65:y:2017:i:6:p:40-50.

    Full description at Econpapers || Download paper

  20. What Information Drives Asset Prices?. (2017). Constantinides, George ; Ghosh, Anisha.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23689.

    Full description at Econpapers || Download paper

  21. Significant aspects regarding the analysis of bankruptcy risk. (2016). Popovici, Mugurel ; Anghel, Madalina ; Anghelache, Constantin ; Manole, Alexandru.
    In: Romanian Statistical Review Supplement.
    RePEc:rsr:supplm:v:64:y:2016:i:9:p:81-87.

    Full description at Econpapers || Download paper

  22. Macro Announcement Premium and Risk Preferences. (2016). Bansal, Ravi ; Ai, Hengjie.
    In: 2016 Meeting Papers.
    RePEc:red:sed016:715.

    Full description at Econpapers || Download paper

  23. Risk Preferences and The Macro Announcement Premium. (2016). Bansal, Ravi ; Ai, Hengjie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22527.

    Full description at Econpapers || Download paper

  24. Elasticity of Intertemporal Substitution: An Investigation in Iran. (2016). Einian, Majid ; Nili, Masoud.
    In: Journal of Money and Economy.
    RePEc:mbr:jmonec:v:11:y:2016:i:2:p:207-223.

    Full description at Econpapers || Download paper

  25. A representative agent asset pricing model with heterogeneous beliefs and recursive utility. (2016). Suzuki, Masataka.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:45:y:2016:i:c:p:298-315.

    Full description at Econpapers || Download paper

  26. Parameter Learning in General Equilibrium: The Asset Pricing Implications. (2016). Collin-Dufresne, Pierre ; Johannes, Michael ; Lochstoer, Lars A.
    In: American Economic Review.
    RePEc:aea:aecrev:v:106:y:2016:i:3:p:664-98.

    Full description at Econpapers || Download paper

  27. Financial Intermediation and Capital Reallocation. (2015). Yang, Fang ; Li, Kai ; Ai, Hengjie.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:429.

    Full description at Econpapers || Download paper

  28. Heterogeneity and limited stock market Participation. (2015). Aase, Knut.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2014_005.

    Full description at Econpapers || Download paper

  29. Recursive utility using the stochastic maximum principle. (2015). Aase, Knut.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2014_003.

    Full description at Econpapers || Download paper

  30. Government insurance, information, and asset prices. (2015). Lopomo Beteto Wegner, Danilo ; Lopomo Beteto Wegner, Danilo, .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:37:y:2015:i:c:p:165-183.

    Full description at Econpapers || Download paper

  31. Asset pricing in production economies with extrapolative expectations. (2015). Hirshleifer, David ; Li, Jun ; Yu, Jianfeng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:76:y:2015:i:c:p:87-106.

    Full description at Econpapers || Download paper

  32. Cross-country heterogeneity in intertemporal substitution. (2015). Rusnák, Marek ; Irsova, Zuzana ; Horvath, Roman ; Havranek, Tomas.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:96:y:2015:i:1:p:100-118.

    Full description at Econpapers || Download paper

  33. MEASURING INTERTEMPORAL SUBSTITUTION: THE IMPORTANCE OF METHOD CHOICES AND SELECTIVE REPORTING. (2015). Havranek, Tomas.
    In: Journal of the European Economic Association.
    RePEc:bla:jeurec:v:13:y:2015:i:6:p:1180-1204.

    Full description at Econpapers || Download paper

  34. An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies. (2014). Cosimano, Thomas ; Chen, YU ; Kelly, Peter ; Himonas, Alex .
    In: Computational Economics.
    RePEc:kap:compec:v:44:y:2014:i:4:p:397-443.

    Full description at Econpapers || Download paper

  35. Asset pricing and the role of macroeconomic volatility. (2014). Giannikos, Christos ; d'Addona, Stefano ; Daddona, Stefano.
    In: Annals of Finance.
    RePEc:kap:annfin:v:10:y:2014:i:2:p:197-215.

    Full description at Econpapers || Download paper

  36. Recursive utility and jump-diffusions. (2014). Aase, Knut.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2014_009.

    Full description at Econpapers || Download paper

  37. Evaluating multi-criteria ratings of financial investment options. (2014). Wang, Shin-Yun ; Yu, Po-Lung ; Chen, Andrew N. K., .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:31:y:2014:i:c:p:46-58.

    Full description at Econpapers || Download paper

  38. Cross-Country Heterogeneity in Intertemporal Substitution. (2014). Rusnák, Marek ; Irsova, Zuzana ; Horvath, Roman ; Havranek, Tomas ; Rusnak, Marek.
    In: Working Papers.
    RePEc:cnb:wpaper:2014/06.

    Full description at Econpapers || Download paper

  39. How Much Would You Pay to Resolve Long-Run Risk?. (2014). Strzalecki, Tomasz ; Epstein, Larry ; Farhi, Emmanuel.
    In: American Economic Review.
    RePEc:aea:aecrev:v:104:y:2014:i:9:p:2680-97.

    Full description at Econpapers || Download paper

  40. Cross-Country Heterogeneity in Intertemporal Substitution. (2013). Rusnák, Marek ; Irsova, Zuzana ; Horvath, Roman ; Havranek, Tomas.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2013-1056.

    Full description at Econpapers || Download paper

  41. Long-Run Risk and Hidden Growth Persistence. (2013). Pakoš, Michal ; Pakos, Michal.
    In: MPRA Paper.
    RePEc:pra:mprapa:47217.

    Full description at Econpapers || Download paper

  42. Publication Bias in Measuring Intertemporal Substitution. (2013). Havranek, Tomas.
    In: Working Papers IES.
    RePEc:fau:wpaper:wp2013_15.

    Full description at Econpapers || Download paper

  43. Long-run risk and hidden growth persistence. (2013). Pakoš, Michal ; Pakos, Michal.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:9:p:1911-1928.

    Full description at Econpapers || Download paper

  44. ASSET PRICING AND THE ROLE OF MACROECONOMIC VOLATILITY. (2011). Giannikos, Christos ; D'Addona, Stefano.
    In: Working Papers.
    RePEc:rcr:wpaper:07_11.

    Full description at Econpapers || Download paper

  45. Information and the Equity Premium. (2011). Schlee, Edward ; Gollier, Christian.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:604.

    Full description at Econpapers || Download paper

  46. Information aggregation around macroeconomic announcements: Revisions matter. (2011). Gilbert, Thomas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:114-131.

    Full description at Econpapers || Download paper

  47. Dynamic portfolio choice under ambiguity and regime switching mean returns. (2011). Liu, Hening.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:4:p:623-640.

    Full description at Econpapers || Download paper

  48. Confidence Risk and Asset Prices. (2009). Bansal, Ravi ; Shaliastovich, Ivan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14815.

    Full description at Econpapers || Download paper

  49. Learning and Asset-Price Jumps. (2009). Bansal, Ravi ; Shaliastovich, Ivan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14814.

    Full description at Econpapers || Download paper

  50. Learning in Financial Markets. (2009). Pastor, Lubos ; Pstor, ubo ; Veronesi, Pietro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14646.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-20 20:35:09 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.