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Which Subjective Expectations Explain Asset Prices?
16 references·0 citing·47 second hop
Which Subjective Expectations Explain Asset Prices? (2024)Which Subjective Expectations Explain Ass…Five Facts about Beliefs and Portfolios (2019)Five Facts about Beliefs and …Learning from Inflation Experiences * (2015)Learning from Inflation Exper…Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts (2015)Information Rigidity and the …Behavioral Finance (2015)Behavioral FinanceX-CAPM: An extrapolative capital asset pricing model (2014)X-CAPM: An extrapolative capi…Expectations of Returns and Expected Returns (2014)Expectations of Returns and E…Handbook of the Economics of Finance (2013)Handbook of the Economics of …Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Do macro variables, asset markets, or surveys forecast inflation better? (2007)Do macro variables, asset mar…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Sticky Information versus Sti…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Noise Trader Risk in Financial Markets (1990)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Diagnostic Expectations and Credit Cycles (2017)Manager sentiment and stock returns (2018)Editor's Choice Digesting Anomalies: An Investment ApproachEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Availability: A heuristic for judging frequency and probability (1973)The failure of models that predict failure: Distance, incentives, and defaults (2014)The European Trust Crisis and the Rise of Populism (2017)The impact of COVID-19 on student experiences and expectations: Evidence from a survey (2020)Judgment under Uncertainty: Heuristics and Biases (1974)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)An equilibrium characterization of the term structure (1977)Discretion versus policy rules in practice (1993)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Efficient Market Hypothesis and Its Critics (2003)Staggered Prices in a Utility-Maximizing Framework (1996)The Science of Monetary Policy: A New Keynesian Perspective (1999)Macroeconomic Expectations of Households and Professional Forecasters (2003)Real Wage Rigidities and the New Keynesian Model (2007)Five Facts about Prices: A Reevaluation of Menu Cost Models * (2008)The Quarterly Journal of Economics (2024)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Optimal Sticky Prices under Rational Inattention (2009)Forecasting: theory and practice (2022)
this work references cited by second hop

References

  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 2002Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve2,302 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2014Expectations of Returns and Expected Returns1,187 cited
  • 2015Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts1,145 cited
  • 2015Learning from Inflation Experiences *1,121 cited
  • 1979Inflation, Rational Valuation and the Market944 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 2007Do macro variables, asset markets, or surveys forecast inflation better?801 cited

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2014
X-CAPM: An extrapolative capital asset pricing model
650 cited
  • 2019Five Facts about Beliefs and Portfolios541 cited
  • 2015Behavioral Finance497 cited
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