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Asset prices in a time-series model with disparately informed, competitive traders
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Asset prices in a time-series model with disparately informed, competitive traders (1987)Asset prices in a time-series model with …The Money Supply Announcements Puzzle: Review and Interpretation (1983)The Money Supply Announcement…Forecasting the Forecasts of Others (1983)Forecasting the Forecasts of …Rational expectations equilibrium with conditioning on past prices: A mean-variance example (1982)Rational expectations equilib…On the Possibility of Speculation under Rational Expectations (1982)On the Possibility of Specula…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Expectations Models of the Term Structure and Implied Variance Bounds (1980)Expectations Models of the Te…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations (1977)Conditions for Unique Solutio…Capital asset prices with heterogeneous beliefs (1977)Capital asset prices with het…Prediction and Regulation. 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The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Divergence of Opinion in Complete Markets: A Note (1985)Model Uncertainty, Limited Market Participation, and Asset Prices (2005)The heterogeneous expectations hypothesis: Some evidence from the lab (2010)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Time to Build and Aggregate Fluctuations (1982)Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information (1989)Fiscal Foresight and Information Flows (2013)Sentiments (2013)Optimal Properties of Exponentially Weighted Forecasts (1960)Chapter 7 Learning dynamics (1999)Behavioral learning equilibria (2013)MONEY, INCOME, AND CAUSALITY (1972)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)A Random Walk Down Wall Street (1973)Agreeing to Disagree (1976)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Asset Bubbles and Overlapping Generations (1985)Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1991)Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)Kriging Nonstationary Data (1986)Threshold models in time series analysis — 30 years on (2011)Sentiments and Aggregate Demand Fluctuations (2015)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1982On the Possibility of Speculation under Rational Expectations959 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1983Forecasting the Forecasts of Others463 cited
  • 1977Capital asset prices with heterogeneous beliefs302 cited
  • 1965Prediction and Regulation.268 cited
  • 1977Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations222 cited
  • 1983The Money Supply Announcements Puzzle: Review and Interpretation212 cited
  • 1982Rational expectations equilibrium with conditioning on past prices: A mean-variance example188 cited
  • 1980Expectations Models of the Term Structure and Implied Variance Bounds128 cited

Cited by

  • 1991Equilibrium with signal extraction from endogenous variables141 cited
  • 2008Higher Order Expectations in Asset Pricing90 cited
  • 2000Forecasting the Forecasts of Others in the Frequency Domain87 cited
  • 2003Beauty Contests, Bubbles and Iterated Expectations in Asset Markets ∗85 cited
  • 2016Incomplete Information in Macroeconomics

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72 cited
  • 2012Forecasting the forecasts of others: Implications for asset pricing67 cited
  • 2013Heterogeneous Beliefs and Tests of Present Value Models40 cited
  • 1987Speculation and the volatility of foreign currency exchange rates38 cited
  • 2003Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?38 cited
  • 2008Endogenous Information, Menu Costs and Inflation Persistence36 cited
  • 2006Beauty contests under private information and diverse beliefs: How different?32 cited
  • 1986Size, persistence and interrelation of nominal and real shocks27 cited
  • 1992Market efficiency and inefficiency in rational expectations equilibria27 cited
  • 2016Forward Guidance without Common Knowledge14 cited