Showing 1 - 7 of 7
We measure which past experiences determine investors' expectations about the market's future Sharpe Ratio. We first introduce a simple method to recover individuals' subjective Sharpe Ratios from a rich source of survey microdata. These subjective expectations are procyclical, extrapolative,...
Persistent link: https://www.econbiz.de/10014257361
Persistent link: https://www.econbiz.de/10002566731
In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market risk premia. If there is a source of heterogeneity in the belief structure of the economy then differences in beliefs can affect equilibrium asset prices, and the dynamics of...
Persistent link: https://www.econbiz.de/10013038117
We study an equilibrium asset pricing model with several Lucas (1978) trees subject to persistent distress events, where the agent has incomplete information about the state of an underlying common factor and learns from the events occurring to each tree. Contrary to similar asset pricing models...
Persistent link: https://www.econbiz.de/10013146624
Persistent link: https://www.econbiz.de/10003398507
The central ingredient of empirical asset pricing tests is the (expected) risk premium. However, heterogeneity in expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk premia based on the historical accuracy of...
Persistent link: https://www.econbiz.de/10012849450
Persistent link: https://www.econbiz.de/10013350117