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Heterogeneous Beliefs, Speculation, and the Equity Premium
16 references·16 citing·37 second hopsampled
Heterogeneous Beliefs, Speculation, and the Equity Premium (2008)Heterogeneous Beliefs, Speculation, and t…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Bubbles and Crashes (2003)Bubbles and CrashesRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Numerical Methods in Economics (1998)Numerical Methods in EconomicsAsset Pricing with Heterogeneous Consumers (1996)Asset Pricing with Heterogene…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Continuous-Time Finance. (1991)Continuous-Time Finance.Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The equity risk premium a solution (1988)The equity risk premium a sol…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…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Partisan residential sorting on climate change risk (2022)Partisan residential sorting …Overnight returns, daytime reversals, and future stock returns (2021)Overnight returns, daytime re…Belief Dispersion in the Stock Market (2018)Belief Dispersion in the Stoc…Why Does Return Predictability Concentrate in Bad Times? (2017)Why Does Return Predictabilit…Disagreement and asset prices (2014)Disagreement and asset pricesA Welfare Criterion For Models With Distorted Beliefs* (2014)A Welfare Criterion For Model…Economic Uncertainty, Disagreement, and Credit Markets (2013)Economic Uncertainty, Disagre…Bubbles, Crises, and Heterogeneous Beliefs (2013)Bubbles, Crises, and Heteroge…Asset Prices with Heterogeneity in Preferences and Beliefs (2013)Asset Prices with Heterogenei…Rare Disasters and Risk Sharing with Heterogeneous Beliefs (2010)Rare Disasters and Risk Shari…Fragile beliefs and the price of uncertainty (2010)Fragile beliefs and the price…Asset Prices with Heterogeneity in Preferences and Beliefs (2010)Asset Prices with Heterogenei…Differences of Opinion of Public Information and Speculative Trading in Stocks and Options (2008)Differences of Opinion of Pub…An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy (2008)An Examination of Heterogeneo…Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2007)Inflation Uncertainty, Asset …Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2007)Equilibrium Portfolio Strateg…The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. 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)Common risk factors in the returns on stocks and bonds (1993)Time to Build and Aggregate Fluctuations (1982)The Cross-Section of Expected Stock Returns (1992)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Testing for a Unit Root in Time Series Regression (1988)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 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
  • 1998Numerical Methods in Economics2,587 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1988The equity risk premium a solution1,397 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 2003Bubbles and Crashes1,246 cited
  • 1996Asset Pricing with Heterogeneous Consumers

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  • 2022Partisan residential sorting on climate change risk114 cited
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