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The Tail that Wags the Economy: Beliefs and Persistent Stagnation
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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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Human Inference: Strategies and Shortcomings of Social Judgment. 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References

  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1981Debt with Potential Repudiation: Theoretical and Empirical Analysis2,611 cited
  • 2011Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?*2,479 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 1986Investment, Capacity Utilization and the Real Business Cycle2,127 cited
  • 2001Learning and Expectations in Macroeconomics2,079 cited
  • 2010Financial Intermediation and Credit Policy in Business Cycle Analysis1,986 cited
  • 2014A Macroeconomic Model with a Financial Sector1,976 cited
  • 2006Can News About the Future Drive the Business Cycle?955 cited
  • 1999The Conquest of American Inflation757 cited
  • 2012Disaster Risk and Business Cycles737 cited
  • 2012A Quarterly, Utilization-Adjusted Series on Total Factor Productivity551 cited
  • 2004An exploration into Pigou's theory of cycles455 cited
  • 1991The Losses Realized in Bank Failures

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