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Ambiguity and the Historical Equity Premium
16 references·1 citing·33 second hop
Ambiguity and the Historical Equity Premium (2011)Ambiguity and the Historical Equity Premi…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)On Adjusting the Hodrick-Pres…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Numerical Methods in Economics (1998)Numerical Methods in EconomicsUnderstanding Risk and Return (1993)Understanding Risk and ReturnRecent developments in modeling preferences: Uncertainty and ambiguity (1992)Recent developments in modeli…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The equity premium: A puzzle (1985)The equity premium: A puzzleTemporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Living With Ambiguity: Pricing Mortality‐Linked Securities With Smooth Ambiguity Preferences (2012)Living With Ambiguity: Pricin…Utility Theory for Decision Making (1971)Chapter 18 A survey of behavioral finance (2003)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)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)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)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Asset Prices in an Exchange Economy (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 2002On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations1,986 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1993Understanding Risk and Return1,797 cited

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1992
Recent developments in modeling preferences: Uncertainty and ambiguity
1,795 cited

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  • 2012Living With Ambiguity: Pricing Mortality‐Linked Securities With Smooth Ambiguity Preferences24 cited