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ArticleInvestor heterogeneity, asset pricing and volatility dynamics

David Weinbaum2009

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Articlegreen2009

Investor heterogeneity, asset pricing and volatility dynamics

55 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1973An Intertemporal Capital Asset Pricing Model 1994Threshold heteroskedastic models 1976The Valuation of Uncertain Income Streams and the Pricing of Options 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1996Asset Pricing with Heterogeneous Consumers 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

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2010Asset Prices with Heterogeneity in Preferences and Beliefs 2021Social media sentiment, model uncertainty, and volatility forecasting 2021Asset pricing with index investing 2016Correlations 2022Empirical Option Pricing Models 2024Investor sentiment and stock market returns: a story of night and day

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Year2009

Typearticle

Published2009-01-14

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations55

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2008.12.002

openalex_workW2072036066

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