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A representative agent asset pricing model with heterogeneous beliefs and recursive utility

Suzuki, Masataka - In: International review of economics & finance : IREF 45 (2016), pp. 298-315

Persistent link: https://www.econbiz.de/10011626381

Anchoring-adjusted capital asset pricing model

Siddiqi, Hammad - In: The journal of behavioral finance : a publication of … 19 (2018) 3, pp. 249-270

Persistent link: https://www.econbiz.de/10012009679

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Identification of beliefs in the presence of disaster risk and misspecification

Chaudhuri, Saraswata; Renault, Eric; Wahlstrom, Oscar - In: Essays in honor of Joon Y. Park : econometric …, (pp. 261-290). 2023

Persistent link: https://www.econbiz.de/10014315375

Heterogeneous beliefs and tests of present value models

Kasa, Kenneth; Walker, Todd B.; Whiteman, Charles H. - In: The review of economic studies 81 (2014) 3, pp. 1137-1163

Persistent link: https://www.econbiz.de/10010485954

The role of investor sentiment and market belief in forecasting v-shaped disposition effect : evidence from a Bayesian learning process with DSSW model

Bouteska, Ahmed; Hassan, M. Kabir; Gider, Zeynullah; … - In: The North American journal of economics and finance : a … 71 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014492087

A likelihood-based comparison of macro asset pricing models

Chen, Andrew Y.; Wasyk, Rebecca; Winkler, Fabian - 2017

Persistent link: https://www.econbiz.de/10011708494

Heterogeneous beliefs with preference interdependence and asset pricing

Hu, Duni; Wang, Hailong - In: International review of economics & finance : IREF 93 (2024) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10014535320

Stochastic Volatility and Asset Pricing Puzzles

McQuade, Timothy - 2018

This paper builds a real-options model of the firm with stochastic volatility to shed new light on the value premium … options, such securities hedge against volatility risk and command lower volatility risk premia than the equities of value or … financially healthy firms. Conversely, corporate debt will tend to command large volatility risk premia, allowing the model to …

Persistent link: https://www.econbiz.de/10012913719

A Note on the Interrelation of Volatility Puzzle, Equity Premium Puzzle, and Mean Reversion through State Dependent Preferences

Choi, SungSup - 2014

dependent preference structure where the state dependency is related to the business cycle. In this setting the volatility …

Persistent link: https://www.econbiz.de/10013061116