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High order smooth ambiguity preferences and asset prices

Thimme, Julian; Völkert, Clemens - In: Review of financial economics : RFE 27 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011498307

Cross-sectional asset pricing with heterogeneous preferences and beliefs

Hansen, Simon Lysbjerg - In: Journal of economic dynamics & control 58 (2015), pp. 125-151

Persistent link: https://www.econbiz.de/10011574648

Heterogeneous beliefs with herding behaviors and asset pricing in two goods world

Wang, Hailong; Hu, Duni - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-36

Persistent link: https://www.econbiz.de/10012822218

Skewness risk premium : theory and empirical evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2014

Persistent link: https://www.econbiz.de/10010502927

From the horse's mouth : economic conditions and investor expectations of risk and return

Amromin, Gene; Sharpe, Steven A. - In: Management science : journal of the Institute for … 60 (2014) 4, pp. 845-866

Persistent link: https://www.econbiz.de/10010347837

Disagreement, information quality and asset prices

Xiouros, Costas; Zapatero, Fernando - In: Journal of financial economics 153 (2024), pp. 1-30

Persistent link: https://www.econbiz.de/10015072054

The influence of heterogeneous preferences on asset prices in an incomplete market model

Niehaus, Frank - 2001

risk averse agents buy the bond and sell the share and the option, whereas the less risk averse agents buy the option and …

Persistent link: https://www.econbiz.de/10011526229

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

Persistent link: https://www.econbiz.de/10011780610

Asset Pricing with Heterogeneous Agents and Long-Run Risk

Pohl, Walt - 2020

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … explanatory power of long-run risk asset-pricing models …

Persistent link: https://www.econbiz.de/10012853501

Volatility and the pricing kernel

Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022

Persistent link: https://www.econbiz.de/10012816005