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X-CAPM: An extrapolative capital asset pricing model · Study

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ArticleX-CAPM: An extrapolative capital asset pricing model

Nicholas C. Barberis2014

Article2014

X-CAPM: An extrapolative capital asset pricing model

Nicholas C. Barberis · Robin Marc Greenwood · Lawrence J. Jin · Andrei Shleifer

650 citations·0/0 files stored·Journal of Financial Economics

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

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References

1990Noise Trader Risk in Financial Markets 1971Optimum consumption and portfolio rules in a continuous-time model 1985The equity premium: A puzzle 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles n.d.A model of investor sentiment /1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

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2017Diagnostic Expectations and Credit Cycles 2019Five Facts about Beliefs and Portfolios 2016What is the Expected Return on the Market?*2018Extrapolation and bubbles 2019Diagnostic Expectations and Stock Returns 2017Macro-Finance 2018

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Year2014

Typearticle

Published2014-09-02

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations650

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2014.08.007

openalex_workW2109767864

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