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Confidence Risk and Asset Prices
16 references·16 citing·47 second hopsampled
Confidence Risk and Asset Prices (2010)Confidence Risk and Asset PricesA Survey of Behavioral Finance (2015)A Survey of Behavioral FinanceVariable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Order effects in belief updating: The belief-adjustment model (1992)Order effects in belief updat…The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Equity Premium Puzzle and…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The equity risk premium a solution (1988)The equity risk premium a sol…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…On the psychology of prediction. (1973)On the psychology of predicti…Can green assets hedge against economic policy uncertainty? Evidence from China with portfolio implications (2023)Can green assets hedge agains…The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market (2021)The importance of extreme sho…Global Risk Aversion and International Return Comovements (2017)Global Risk Aversion and Inte…Differences of Opinion and International Equity Markets (2016)Differences of Opinion and In…Asset Pricing When ‘This Time Is Different’ (2016)Asset Pricing When ‘This Time…Understanding Uncertainty Shocks and the Role of Black Swans (2015)Understanding Uncertainty Sho…Rare disaster risk and the expected equity risk premium (2015)Rare disaster risk and the ex…Learning, confidence, and option prices (2015)Learning, confidence, and opt…Learning about Consumption Dynamics (2015)Learning about Consumption Dy…Macroeconomic Volatilities and Long-Run Risks of Asset Prices (2014)Macroeconomic Volatilities an…Tail Risk and Asset Prices (2013)Tail Risk and Asset PricesForward and Spot Exchange Rates in a Multi-Currency World (2013)Forward and Spot Exchange Rat…Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory (2012)Skewness in Expected Macro Fu…Parameter Learning in General Equilibrium: The Asset Pricing Implications (2012)Parameter Learning in General…Learning and Asset-price Jumps (2011)Learning and Asset-price JumpsDifferences of Opinion and International Equity Markets (2011)Differences of Opinion and In…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Belief, Attitude, Intention and Behavior: An Introduction to Theory and Research (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Behavioral Decision Research: A Constructive Processing Perspective (1992)Support theory: A nonextensional representation of subjective probability. (1994)Learning to Be Overconfident (2001)Belief in the law of small numbers. (1971)Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Telling more than we can know: Verbal reports on mental processes. (1977)The equity premium: A puzzle (1985)The Consumption of Stockholders and Non-Stockholders (1990)Short- Term Interest Rates as Predictors of Inflation (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)
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References

  • 1973On the psychology of prediction.6,201 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 1992Order effects in belief updating: The belief-adjustment model1,591 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2015A Survey of Behavioral Finance1,220 cited
  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle922 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models

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868 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • Cited by

    • 2015Learning about Consumption Dynamics136 cited
    • 2012Parameter Learning in General Equilibrium: The Asset Pricing Implications86 cited
    • 2012Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory84 cited
    • 2016Asset Pricing When ‘This Time Is Different’82 cited
    • 2011Learning and Asset-price Jumps79 cited
    • 2013Tail Risk and Asset Prices79 cited
    • 2021The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market70 cited
    • 2016Differences of Opinion and International Equity Markets63 cited
    • 2014Macroeconomic Volatilities and Long-Run Risks of Asset Prices63 cited
    • 2015Learning, confidence, and option prices62 cited
    • 2015Understanding Uncertainty Shocks and the Role of Black Swans58 cited
    • 2013Forward and Spot Exchange Rates in a Multi-Currency World54 cited
    • 2023Can green assets hedge against economic policy uncertainty? Evidence from China with portfolio implications38 cited
    • 2017Global Risk Aversion and International Return Comovements35 cited
    • 2011Differences of Opinion and International Equity Markets31 cited
    • 2015Rare disaster risk and the expected equity risk premium24 cited