An exploration of the effects of pessimism and doubt on asset returns

Journal of Economic Dynamics and Control

Volumn 26, Issue 7-8, 2002, Pages 1075-1092

  Abel, Andrew B ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Doubt; Equity premium; Pessimism; Riskfree rate

Indexed keywords

EID: 0036198935     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00040-9     Document Type: Article

References (11)

1. Robustness, detection and the price of risk
2. Mean reversion in equilibrium asset prices
3. Asset pricing with distorted beliefs: Are equity returns too good to be true?
4. Asset returns and intertemporal preferences
5. Robust permanent income and pricing
6. Asset prices in an exchange economy
7. Robust portfolio rules and asset pricing
8. The equity premium: A puzzle
9. The equity risk premium: A solution?
10. The equity risk premium: A solution
11. The equity premium puzzle and the riskfree rate puzzle