Add to ORKGThis paper presents a simple rational expectations model of intertemporal asset pricing. It shows that heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in fundamentals so that asset prices may strongly decline. Changes in aggregate relative risk aversion may also lead to resistance and support levels as used in technical analysis. For numerical illustration we propose an analytical asset price formula
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
This is a study using a unique body of expectations data collected over the decade of the 1960s. Aft...
This paper presents a simple rational expectations model of intertemporal asset pricing. It shows th...
This paper presents a simple rational expectations model of intertemporal asset pricing. It shows th...
We construct a model of asset market exuberance, collapse and recovery using subjective investor-bas...
The mean, covariability, and predictability of the return of different classes of financial assets c...
JEL No. G0,G00,G1,G10,G12 The paper estimates and examines the empirical plausibiltiy of asset prici...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
International audienceIs the elasticity of intertemporal substitution (EIS) more or less than one? T...
The paper estimates and examines the empirical plausibility of asset pricing models that attempt to ...
I develop a dynamic equilibrium model that incorporates incorrect beliefs about crash risk and use i...
We study a simple rational expectations (RE) model whose asset pricing implications address some of ...
also thank Jens Jackwerth for providing us data on empirical risk aversion functions
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
This is a study using a unique body of expectations data collected over the decade of the 1960s. Aft...
This paper presents a simple rational expectations model of intertemporal asset pricing. It shows th...
This paper presents a simple rational expectations model of intertemporal asset pricing. It shows th...
We construct a model of asset market exuberance, collapse and recovery using subjective investor-bas...
The mean, covariability, and predictability of the return of different classes of financial assets c...
JEL No. G0,G00,G1,G10,G12 The paper estimates and examines the empirical plausibiltiy of asset prici...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
International audienceIs the elasticity of intertemporal substitution (EIS) more or less than one? T...
The paper estimates and examines the empirical plausibility of asset pricing models that attempt to ...
I develop a dynamic equilibrium model that incorporates incorrect beliefs about crash risk and use i...
We study a simple rational expectations (RE) model whose asset pricing implications address some of ...
also thank Jens Jackwerth for providing us data on empirical risk aversion functions
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles ...
This is a study using a unique body of expectations data collected over the decade of the 1960s. Aft...