Financial bubble theories emphasize the importance of behavioral mechanisms cen- tered around investor beliefs, which can be potentially gleaned from prevailing nar- ratives, that reflect investors’ psychological states and link them to economic events. By summarizing market narratives into...

We compare and contrast extensions of the classical rational model of commodity pricing due to Pindyck (1993), on the occasion of the 30-year anniversary of this seminal article. The extensions we consider admit time-varying discount rates, investors' heterogeneity or both. Heterogeneous...

In this paper, we extend Bossaerts' (2004) analysis of the implications of the efficient learning market hypothesis (ELM) for asset prices by reformulating it in a GMM setting. Our representation is more amenable to widespread application and allows the econometrician, in testing ELM, to make...