Equilibrium stock return dynamics under alternative rules of learning about hidden states
- 1 September 2004
- journal article
- Published by Elsevier in Journal of Economic Dynamics and Control
- Vol. 28 (10) , 1925-1954
- https://doi.org/10.1016/j.jedc.2003.09.003
Abstract
No abstract availableKeywords
This publication has 60 references indexed in Scilit:
- Risks for the Long Run: A Potential Resolution of Asset Pricing PuzzlesThe Journal of Finance, 2004
- An exploration of the effects of pessimism and doubt on asset returnsJournal of Economic Dynamics and Control, 2002
- On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR ApproachPublished by National Bureau of Economic Research ,2002
- Competing Theories of Financial AnomaliesThe Review of Financial Studies, 2002
- On the Evolution of Overconfidence and EntrepreneursJournal of Economics & Management Strategy, 2001
- Stock price volatility and equity premiumJournal of Monetary Economics, 2001
- 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.1Journal of Financial Economics, 1998
- Fractionally integrated generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1996
- Exact Solutions for Expected Rates of Return under Markov Regime Switching: Implications for the Equity Premium PuzzleJournal of Money, Credit and Banking, 1994
- A Near-Rational Model of the Business Cycle, with Wage and Price InertiaThe Quarterly Journal of Economics, 1985