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Rational Pessimism, Rational Exuberance, and Asset Pricing Models
16 references·9 citing·40 second hop
Rational Pessimism, Rational Exuberance, and Asset Pricing Models (2007)Rational Pessimism, Rational Exuberance, …Consumption, Dividends, and the Cross Section of Equity Returns (2005)Consumption, Dividends, and t…Market efficiency, asset returns, and the size of the risk premium in global equity markets (2002)Market efficiency, asset retu…Interpretable Asset Markets? (2002)Interpretable Asset Markets?Consumption-Based Asset Pricing (2002)Consumption-Based Asset Prici…Struggling to Understand the Stock Market (2001)Struggling to Understand the …Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Consumption, Aggregate Wealth and Expected Stock Returns (1999)Consumption, Aggregate Wealth…Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions (1998)Reprojecting Partially Observ…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Estimating nonlinear time-series models using simulated vector autoregressions (1993)Estimating nonlinear time-ser…The Equity Premium and the Risk Free Rate: Matching the Moments (1991)The Equity Premium and the Ri…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…The equity premium: A puzzle (1985)The equity premium: A puzzleStochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Upper Bounds on Return Predictability (2017)Upper Bounds on Return Predic…Bond Risk Premia in Consumption-based Models (2016)Bond Risk Premia in Consumpti…An Estimation of Economic Models with Recursive Preferences (2012)An Estimation of Economic Mod…Ambiguity and the Historical Equity Premium (2011)Ambiguity and the Historical …Ambiguity and the Historical Equity Premium (2011)Ambiguity and the Historical …Advances in Consumption-Based Asset Pricing: Empirical Tests (2011)Advances in Consumption-Based…The Wealth-Consumption Ratio (2008)The Wealth-Consumption RatioAn Analytical Framework for Assessing Asset Pricing Models and Predictability (2008)An Analytical Framework for A…Risk, Uncertainty, and Asset Prices (2005)Risk, Uncertainty, and Asset …Asset Prices in an Exchange Economy (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Common risk factors in the returns on stocks and bonds (1993)Consumption Risk and the Cross Section of Expected Returns (2005)Financial Markets and the Real Economy (2005)Market Expectations in the Cross‐Section of Present Values (2013)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)Time to Build and Aggregate Fluctuations (1982)Investment, Capacity Utilization and the Real Business Cycle (1986)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)On the Nature of Capital Adjustment Costs (2006)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)The Myth of Long-Horizon Predictability (2005)Instability of return prediction models (2006)F. Ausblick auf die literarischen Horizonte von Ri 1.17–21 am Übergang von Jos zu Ri (2016)An Intertemporal Capital Asset Pricing Model (1973)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Fairness and Retaliation: The Economics of Reciprocity (2000)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Debt, Deficits, and Finite Horizons (1985)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)Asymmetric Volatility and Risk in Equity Markets (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 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
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1993Estimating nonlinear time-series models using simulated vector autoregressions686 cited
  • 1999Consumption, Aggregate Wealth and Expected Stock Returns686 cited
  • 2005Consumption, Dividends, and the Cross Section of Equity Returns570 cited
  • 2002Interpretable Asset Markets?268 cited
  • 2002Consumption-Based Asset Pricing239 cited
  • 1991The Equity Premium and the Risk Free Rate: Matching the Moments223 cited
  • 1998Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions207 cited
  • 2001Struggling to Understand the Stock Market

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146 cited
  • 2002Market efficiency, asset returns, and the size of the risk premium in global equity markets102 cited
  • Cited by

    • 2012An Estimation of Economic Models with Recursive Preferences52 cited
    • 2008The Wealth-Consumption Ratio49 cited
    • 2017Upper Bounds on Return Predictability46 cited
    • 2005Risk, Uncertainty, and Asset Prices45 cited
    • 2011Ambiguity and the Historical Equity Premium41 cited
    • 2011Advances in Consumption-Based Asset Pricing: Empirical Tests39 cited
    • 2011Ambiguity and the Historical Equity Premium28 cited
    • 2016Bond Risk Premia in Consumption-based Models28 cited
    • 2008An Analytical Framework for Assessing Asset Pricing Models and Predictability27 cited