create a website

Time-varying beta: a boundedly rational equilibrium approach. (2013). He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl.
In: Journal of Evolutionary Economics.
RePEc:spr:joevec:v:23:y:2013:i:3:p:609-639.

Full description at Econpapers || Download paper

Cited: 15

Citations received by this document

Cites: 81

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

  1. Learning from the Past: The Role of Personal Experiences in Artificial Stock Markets. (2024). Lenhard, Gregor.
    In: Working papers.
    RePEc:bsl:wpaper:2024/01.

    Full description at Econpapers || Download paper

  2. Behavioral heterogeneity in the CAPM with evolutionary dynamics. (2022). Hens, Thorsten ; Naebi, Fatemeh.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:32:y:2022:i:5:d:10.1007_s00191-022-00786-3.

    Full description at Econpapers || Download paper

  3. The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations. (2022). Chen, Shu-Heng ; Lin, Kun-Ben ; Huang, Jing-Bo.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:17:y:2022:i:2:d:10.1007_s11403-021-00337-2.

    Full description at Econpapers || Download paper

  4. Cross-section instability in financial markets: impatience, extrapolation, and switching. (2021). He, Xuezhong (Tony) ; Dieci, Roberto.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00348-5.

    Full description at Econpapers || Download paper

  5. From standard to evolutionary finance: a literature survey. (2019). Holtfort, Thomas.
    In: Management Review Quarterly.
    RePEc:spr:manrev:v:69:y:2019:i:2:d:10.1007_s11301-018-0151-9.

    Full description at Econpapers || Download paper

  6. Asset Pricing Under Ambiguity and Heterogeneity. (2015). Zhai, Qi Nan.
    In: PhD Thesis.
    RePEc:uts:finphd:16.

    Full description at Econpapers || Download paper

  7. Asset Pricing Under Ambiguity and Heterogeneity. (2015). Zhai, Qi Nan.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2015.

    Full description at Econpapers || Download paper

  8. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

    Full description at Econpapers || Download paper

  9. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2014.

    Full description at Econpapers || Download paper

  10. Speculative behavior and the dynamics of interacting stock markets. (2014). Westerhoff, Frank ; Schmitt, Noemi.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:45:y:2014:i:c:p:262-288.

    Full description at Econpapers || Download paper

  11. Speculative behavior and the dynamics of interacting stock markets. (2013). Westerhoff, Frank ; Schmitt, Noemi.
    In: BERG Working Paper Series.
    RePEc:zbw:bamber:90.

    Full description at Econpapers || Download paper

  12. Evolution and market behavior in economics and finance: introduction to the special issue. (2013). Dindo, Pietro ; Bottazzi, Giulio.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:23:y:2013:i:3:p:507-512.

    Full description at Econpapers || Download paper

  13. An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl.
    In: Annals of Finance.
    RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215.

    Full description at Econpapers || Download paper

  14. Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xuezhong (Tony).
    In: Research Paper Series.
    RePEc:uts:rpaper:316.

    Full description at Econpapers || Download paper

  15. An Evolutionary CAPM Under Heterogeneous Beliefs. (2012). Li, Kai ; He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:315.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abel A (2002) An exploration of the effects of pessimism and doubt on asset returns. J Econ Dyn Control 26:1075–1092.

  2. Adrian T, Franzoni F (2005) Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM. Working paper, Federal Reserve Bank of New York.

  3. Alfarano S, Lux T, Wagner F (2005) Estimation of agent-based models: the case of an asymmetric herding model. Comput Econ 26:19–49.

  4. Anderson P, Arrow K, Pines D (1988) The economiy as an evolving complex system II. Addison-Welsey.
    Paper not yet in RePEc: Add citation now
  5. Ang A, Chen J (2007) CAPM over the long run: 1926–2001. J Empir Finance 14:1–40.

  6. Anufriev M, Bottazzi G, Pancotto F (2006) Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders. J Econ Dyn Control 30(9–10):1787–1835.

  7. Anufriev M, Dindo P (2010) Wealth-driven selection in a financial market with heterogeneous agents. J Econ Behav Organ 73:327–358.

  8. Arthur W, Holland J, LeBaron B, Palmer R, Tayler P (1997) Asset pricing under endogeneous expectations in an artificial stock market. Econ Notes 26(2):297–330.

  9. Böhm V, Chiarella C (2005) Mean variance preferences, expectations formation, and the dynamics of random asset prices. Math Financ 15:61–97.

  10. Böhm V, Wenzelburger J (2005) On the performance of efficient portfolios. J Econ Dyn Control 29:721–740.

  11. Basak S (2000) A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous beliefs. J Econ Dyn Control 24:63–95.

  12. Bernanke BS, Gertler M (1989) Agency costs, net worth, and business fluctuations. Am Econ Rev 79:14–31.

  13. Bernanke BS, Gertler M, Gilchrist S (1999) Handbook of macroeconomics. In: Taylor JB, Woodford M (eds) The financial accelerator in a quantitative business cycle framework. Elsevier, pp 1341–1393.

  14. Blume L, Easley D (1992) Evolution and market behavior. J Econ Theory 58:9–40.

  15. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econom 31:307–327.

  16. Bollerslev T (1990) Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Rev Econ Stat 72(3):498–505.

  17. Bollerslev T, Engle R, Wooldridge J (1988) A capital asset pricing model with time varying covariances. J Polit Econ 96:116–131.

  18. Bos T, Newbold P (1984) An empirical investigation of the possibility of systematic stochastic risk in the market model. Journal of Business 57:35–41.

  19. Bottazzi G, Dindo P (2010) Evolution and market behavior with endogeneous investment rules. LEM and CAFED Working Paper 2010/20, Scuola Superiore Sant’Anna, Pisa, Italy.

  20. Braun P, Nelson D, Sunier A (1990) Good news, bad news, volatility and betas. J Finance 50:1575–1603.
    Paper not yet in RePEc: Add citation now
  21. Brock W (1993) Pathways to randomness in the economy: emergent non-linearity and chaos in economics and finance. Estud Econ 8:3–55.

  22. Brock W, Hommes C (1997) A rational route to randomness. Econometrica 65:1059–1095.

  23. Brock W, Hommes C (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J Econ Dyn Control 22:1235–1274.

  24. Campbell J, Vuolteenaho T (2004) Bad beta, good beta. Am Econ Rev 94(5):1249–1275.

  25. Carlstrom CT, Fuerst TS (1998) Agency costs and business cycles. Econ Theory 12:583–597.

  26. Chiarella C, Dieci R, Gardini L (2005) The dynamic interaction of speculation and diversification. Appl Math Financ 12(1):17–52.

  27. Chiarella C, Dieci R, He X (2007) Heterogeneous expectations and speculative behaviour in a dynamic multi-asset framework. J Econ Behav Organ 62:402–427.

  28. Chiarella C, Dieci R, He X (2009) Heterogeneity, market mechanisms and asset price dynamics. In: Hens T, Schenk-Hoppe KR (eds) Handbook of financial markets: dynamics and evolution Elsevier, pp 277–344.

  29. Chiarella C, Dieci R, He X (2010) A framework for CAPM with heterogeneous beliefs. In: Bischi G-I, Chiarella C, Gardini L (eds) Nonlinear dynamics in economics, finance and social sciences: essays in honour of John Barkley Rosser Jr., Springer, pp 353–369.

  30. Chiarella C, Dieci R, He X (2011) Do heterogeneous beliefs diversify market risk?. Eur J Financ 17(3):241–258.

  31. Chiarella C, He X (2001) Asset price and wealth dynamics under Heterogeneous expectations. Quantitative Finance 1:509–526.

  32. Chiarella C, He X (2002) Heterogeneous beliefs, risk and learning in a simple asset pricing model. Comput Econ 19:95–132.

  33. Chiarella C, He X (2003) Dynamics of beliefs and learning under a l -processes – the heterogeneous case. J Econ Dyn Control 27:503–531.

  34. Chiarella C, He X, Hommes C (2006) A dynamic analysis of moving average rules. J Econ Dyn Control 30:1729–1753.

  35. Chiarella C, He X, Zheng M (2011) An analysis of the effect of noise in a heterogeneous agent financial market model. J Econ Dyn Control 35:148–162.

  36. Chordia T, Shivakumar L (2002) Momentum, business cycle, and time-varying expected returns. J Finance 57:985–1019.

  37. Collins D, Ledolter J, Rayburn J (1987) Some further evidence on the stochastic properties of systematic risk. Journal of Business 60(3):425–448.

  38. Day R, Huang W (1990) Bulls, bears and market sheep. J Econ Behav Organ 14:299–329.

  39. Detemple J, Murthy S (1994) Intertemporal asset pricing with heterogeneous beliefs. J Econ Theory 62:294–320.
    Paper not yet in RePEc: Add citation now
  40. Dybvig P, Ross S (1985) Differential information and performance measurement using a security market line. J Finance 40:383–400.

  41. Engle R (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation. Econometrica 50:987–1008.

  42. Fabozzi F, Francis J (1978) Beta as a random coefficient. J Financ Quant Anal 13(1):101–106.

  43. Fama E, French K (1993) Common risk factors in the returns on stocks and bonds. J Financ Econ 33:3–56.

  44. Fama E, French K (2006) The value premium and the CAPM. J Finance 61(5):2163–2185.

  45. Ferson W, Harvey C (1991) The variation of economic risk premiums. J Polit Econ 99:385–415.

  46. Ferson W, Harvey C (1999) Conditioning variables and the cross-section of stock returns. J Finance 54(4):1325–1360.

  47. Ferson WE, Kandel S, Stambaugh RF (1999) Tests of asset pricing with time varying expected risk premiums and market betas. J Finance 42:201–220.
    Paper not yet in RePEc: Add citation now
  48. Ferson WE, Siegel AF (1998) Stochastic discount factor bounds with conditioning information. Working paper, University ofWashington.
    Paper not yet in RePEc: Add citation now
  49. Gaunersdorfer A, Hommes C (2007) A nonlinear structural model for volatility clustering. In: Teyssiere G, Kirman A (eds) Long memory in economics. Springer, Berlin/Heidelberge, pp 265–288.

  50. Ghysels E (1998) On stable factor structures in the pricing of risk: Do time varying betas help or hurt. J Finance 53:549–574.

  51. Grundy BD, Martin JS (2001) Understanding the nature of the risks and source of the rewards to momentum investing. Rev Financ Stud 14:29–78.

  52. Hamilton J (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57(2):357–384.

  53. Hamilton J (1990) Analysis of time series subject to changes in regime. J Econom 45:39–70.

  54. Hansen L, Richard S (1987) The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica 55:587–613.

  55. Harvey C (2001) The specification of conditional expectations. J Empir Finance 8:573–638.

  56. He X, Li Y (2007) Power law behaviour, heterogeneity, and trend chasing. J Econ Dyn Control 31:3396–3426.

  57. Heckman J (2001) Micro data, heterogeneity, and evaluation of public policy: Nobel lecture. J Polit Econ 109:673–748.

  58. Hennessy CA, Whited TM (2007) How costly is external financing? evidence from a structural estimation. J Finance 52:1705–1745.

  59. Hens T, Schenk-Hoppe KR (2009) Handbook of financial markets: dynamics and evolution. Handbooks in Finance, Elsevier.

  60. Hommes C (2006) Heterogeneous agent models in economics and finance. In: Tesfatsion L, Judd KL (eds) Agent-based computational economics. Handbook of Computational Economics, vol 2. North-Holland, pp 1109–1186.

  61. Horst U, Wenzelburger J (2008) On non-ergodic asset prices. Econ Theory 34(2):207–234.

  62. Huang C-F, Litzenberger R (1988) Foundations for financial economics. Elsevier, North-Holland.
    Paper not yet in RePEc: Add citation now
  63. Jagannathan R, Wang Z (1996) The conditional CAPM and cross-section of expected returns. J Finance 51:3–53.

  64. Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: implications for stock market efficiency. J Finance 48:65–91.

  65. Jegadeesh N, Titman S (2001) Profitability of momentum strategies: an evaluation of alternative explanations. J Finance 56:699–720.

  66. Kirman A (1992) Whom or what does the representative agent represent?. J Econ Perspect 6:117–136.
    Paper not yet in RePEc: Add citation now
  67. Kothari S, Shanken J, Sloan R (1995) Another look at the cross-section of expected stock returns. J Finance 50(1):185–224.

  68. LeBaron B (2006) Agent-based computational finance. In: Tesfatsion L, Judd KL (eds) Agent-based computational economics. Handbook of computational economics, vol 2. North-Holland, pp 1187–1233.

  69. Lewellen J, Nagel S (2006) The conditional CAPM does not explain asset-pricing anomalies. J Financ Econ 82(3):289–314.

  70. Lintner J (1969) The aggregation of investor’s diverse judgements and preferences in purely competitive security markets. J Financ Quant Anal 4:347–400.

  71. Lux T (2004) Financial power laws: empirical evidence, models and mechanisms. In: Cioffi C (ed) Power laws in the social sciences: discovering complexity and non-equilibrium in the social universe. Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  72. Rubinstein M (1974) An aggregation theorem for securities markets. J Financ Econ 1:225–244.

  73. Rubinstein M (1975) Security market efficiency in an arrow-debreu economy. Am Econ Rev 65:812–824.
    Paper not yet in RePEc: Add citation now
  74. Schwert G (1989) Why does stock market volatility change over time?. J Finance 44:1115–1154.

  75. Tesfatsion L, Judd K (2006) Agent-based computational economics, vol 2. Handbook of Computational Economics, Elsevier.

  76. Wang KQ (2003) Asset pricing with conditional information: a new test. J Finance 58(1):161–196.
    Paper not yet in RePEc: Add citation now
  77. Wenzelburger J (2004) Learning to predict rationally when beliefs are heterogeneous. J Econ Dyn Control 28:2075–2104.

  78. Westerhoff F (2004) Multiasset market dynamics. Macroecon Dyn 8:591–616.

  79. Westerhoff F, Dieci R (2006) The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach. J Econ Dyn Control 30:293–322.

  80. Williams J (1977) Capital asset prices with heterogeneous beliefs. J Financ Econ 5:219–239.

  81. Zapatero F (1998) Effects of financial innovations on market volatility when beliefs are heterogeneous. J Econ Dyn Control 22:597–626.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations. (2015). Prado, Mauricio ; Alonso, Irasema.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:51:y:2015:i:c:p:78-92.

    Full description at Econpapers || Download paper

  2. Belief shocks and the macroeconomy.. (2013). Suda, Jacek.
    In: Working papers.
    RePEc:bfr:banfra:434.

    Full description at Econpapers || Download paper

  3. How do Heterogeneous Beliefs Influence Asset Volatility?. (2012). Ho, Hwai-Chung ; Lin, Chien-Chih.
    In: Pacific Economic Review.
    RePEc:bla:pacecr:v:17:y:2012:i:4:p:601-616.

    Full description at Econpapers || Download paper

  4. Time-Varying Beta: A Boundedly Rational Equilibrium Approach. (2010). He, Xuezhong (Tony) ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:275.

    Full description at Econpapers || Download paper

  5. Do subjective expectations explain asset pricing puzzles?. (2010). Skoulakis, Georgios ; Bakshi, Gurdip.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:3:p:462-477.

    Full description at Econpapers || Download paper

  6. Ambiguity, Learning, and Asset Returns. (2010). Miao, Jianjun ; ju, nengjiu.
    In: CEMA Working Papers.
    RePEc:cuf:wpaper:438.

    Full description at Econpapers || Download paper

  7. A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:254.

    Full description at Econpapers || Download paper

  8. Ambiguity, Learning, and Asset Returns. (2009). Miao, Jianjun ; ju, nengjiu.
    In: MPRA Paper.
    RePEc:pra:mprapa:14737.

    Full description at Econpapers || Download paper

  9. On attitude polarization under Bayesian learning with non-additive beliefs. (2009). Zimper, Alexander ; Ludwig, Alexander.
    In: Journal of Risk and Uncertainty.
    RePEc:kap:jrisku:v:39:y:2009:i:2:p:181-212.

    Full description at Econpapers || Download paper

  10. Cognitive biases and the representative agent. (2009). NAPP, Clotilde ; Jouini, Elyès.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00488570.

    Full description at Econpapers || Download paper

  11. The impact of individual and institutional investor sentiment on the market price of risk. (2009). Verma, Rahul ; Soydemir, Gokce.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:3:p:1129-1145.

    Full description at Econpapers || Download paper

  12. The C-CAPM without ex post data. (2009). Söderlind, Paul.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:31:y:2009:i:4:p:721-729.

    Full description at Econpapers || Download paper

  13. Heterogeneity, Bounded Rationality and Market Dysfunctionality. (2008). Shi, Lei ; He, Xuezhong (Tony).
    In: Research Paper Series.
    RePEc:uts:rpaper:233.

    Full description at Econpapers || Download paper

  14. Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model. (2008). NAPP, Clotilde ; Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00176630.

    Full description at Econpapers || Download paper

  15. On Abels Concept of Doubt and Pessimism. (2008). NAPP, Clotilde ; Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00176611.

    Full description at Econpapers || Download paper

  16. Speculative growth and overreaction to technology shocks. (2008). Lansing, Kevin.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2008-08.

    Full description at Econpapers || Download paper

  17. The market price of risk and the equity premium: A legacy of the Great Depression?. (2008). Sargent, Thomas ; Cogley, Timothy.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:3:p:454-476.

    Full description at Econpapers || Download paper

  18. Are more risk averse agents more optimistic? Insights from a rational expectations model. (2008). NAPP, Clotilde ; Jouini, Elyès.
    In: Economics Letters.
    RePEc:eee:ecolet:v:101:y:2008:i:1:p:73-76.

    Full description at Econpapers || Download paper

  19. Attitude polarization. (2007). Zimper, Alexander ; Ludwig, Alexander.
    In: MEA discussion paper series.
    RePEc:mea:meawpa:07155.

    Full description at Econpapers || Download paper

  20. Robust Equilibrium Yield Curves. (2007). Vincent, Nicolas ; Kleshchelski, Isaac .
    In: Cahiers de recherche.
    RePEc:iea:carech:0802.

    Full description at Econpapers || Download paper

  21. Rational and near-rational bubbles without drift. (2007). Lansing, Kevin.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2007-10.

    Full description at Econpapers || Download paper

  22. Properties of equilibrium asset prices under alternative learning schemes. (2007). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:1:p:161-217.

    Full description at Econpapers || Download paper

  23. Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis. (2006). He, Xuezhong (Tony) ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:186.

    Full description at Econpapers || Download paper

  24. C-CAPM without Ex Post Data. (2006). Söderlind, Paul.
    In: University of St. Gallen Department of Economics working paper series 2006.
    RePEc:usg:dp2006:2006-22.

    Full description at Econpapers || Download paper

  25. Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis. (2006). He, Xuezhong (Tony).
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:108.

    Full description at Econpapers || Download paper

  26. Equity Premia with Benchmark Levels of Consumption: Closed-Form Results. (2006). Abel, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12290.

    Full description at Econpapers || Download paper

  27. Is There a €œPessimistic€\x9D Bias in Individual Beliefs? Evidence from a Simple Survey. (2006). NAPP, Clotilde ; Jouini, Elyès ; Mansour, Selima.
    In: Theory and Decision.
    RePEc:kap:theord:v:61:y:2006:i:4:p:345-362.

    Full description at Econpapers || Download paper

  28. Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle. (2006). Guidolin, Massimo.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:58:y:2006:i:2:p:85-118.

    Full description at Econpapers || Download paper

  29. Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt. (2006). NAPP, Clotilde ; Jouini, Elyès.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:7:p:1233-1260.

    Full description at Econpapers || Download paper

  30. Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle. (2006). Söderlind, Paul ; Giordani, Paolo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:6:p:1027-1043.

    Full description at Econpapers || Download paper

  31. High-Order Consumption Moments and Asset Pricing. (2005). Semenov, Andrei.
    In: Working Papers.
    RePEc:yca:wpaper:2003_4.

    Full description at Econpapers || Download paper

  32. Ambiguity, Information Quality and Asset Pricing. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:519.

    Full description at Econpapers || Download paper

  33. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

    Full description at Econpapers || Download paper

  34. High equity premia and crash fears. Rational foundations. (2005). Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-011.

    Full description at Econpapers || Download paper

  35. Properties of equilibrium asset prices under alternative learning schemes. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-009.

    Full description at Econpapers || Download paper

  36. Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle. (2005). Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-005.

    Full description at Econpapers || Download paper

  37. Intrinsic Cycles of Land Price: A Simple Model. (2005). Leung, Charles ; Chen, Nan-Kuang.
    In: Discussion Papers.
    RePEc:chk:cuhkdc:00005.

    Full description at Econpapers || Download paper

  38. Anticipated Utility and Rational Expectations as Approximations of Bayesian Decision Making. (2005). Cogley, Tim W. ; SARGENT, Thomas J..
    In: Working Papers.
    RePEc:cda:wpaper:05-23.

    Full description at Econpapers || Download paper

  39. The Market Price of Risk and the Equity Premium. (2005). Cogley, Tim W. ; SARGENT, Thomas J..
    In: Working Papers.
    RePEc:cda:wpaper:05-22.

    Full description at Econpapers || Download paper

  40. Conditional comonotonicity. (2004). NAPP, Clotilde ; Jouini, Elyès.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:27:y:2004:i:2:p:153-166.

    Full description at Econpapers || Download paper

  41. Ambiguity, Information Quality and Asset Pricing. (2004). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:507.

    Full description at Econpapers || Download paper

  42. Behavioral finance and asset prices: Where do we stand?. (2004). Stracca, Livio.
    In: Journal of Economic Psychology.
    RePEc:eee:joepsy:v:25:y:2004:i:3:p:373-405.

    Full description at Econpapers || Download paper

  43. Exchange rate puzzles and distorted beliefs. (2004). Tornell, Aaron ; Gourinchas, Pierre-Olivier.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:64:y:2004:i:2:p:303-333.

    Full description at Econpapers || Download paper

  44. Equilibrium stock return dynamics under alternative rules of learning about hidden states. (2004). Zhang, Lu.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:10:p:1925-1954.

    Full description at Econpapers || Download paper

  45. Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel. (2003). Söderlind, Paul ; Giordani, Paolo.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0019.

    Full description at Econpapers || Download paper

  46. Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel. (2003). Söderlind, Paul ; Giordani, Paolo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0519.

    Full description at Econpapers || Download paper

  47. Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel. (2003). Söderlind, Paul ; Giordani, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4068.

    Full description at Econpapers || Download paper

  48. Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas. (2003). Tornell, Aaron.
    In: UCLA Economics Online Papers.
    RePEc:cla:uclaol:265.

    Full description at Econpapers || Download paper

  49. Collective Risk-Taking Decisions with Heterogeneous Beliefs. (2003). Gollier, Christian.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_909.

    Full description at Econpapers || Download paper

  50. Ambiguity, Learning, and Asset Returns. (2001). Miao, Jianjun ; ju, nengjiu.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-014.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-26 03:39:09 || 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.