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Economic Theory
Volumn 28, Issue 3, 2006, Pages 693-708
High equity premia and crash fears - Rational foundations
Author keywords

Equity premium; Rational learning; Structural breaks.
Indexed keywords

EID: 23244446443     PISSN: 09382259     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00199-005-0639-0     Document Type: Article
Times cited : (6)
References (15)
  • 2
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    • Stock price volatility and equity premium
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    • Brennan, M.1    Xia, Y.2
  • 3
    • 0000013018 scopus 로고    scopus 로고
    • Asset pricing with distorted beliefs: Are equity returns too good to be true?
    • Cecchetti, S., Lam, P., Mark, N.: Asset pricing with distorted beliefs: are equity returns too good to be true? American Economic Review 90, 787-805 (2000)
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    • Cecchetti, S.1    Lam, P.2    Mark, N.3
  • 4
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    • Chu, C.1    Stinchcombe, M.2    White, H.3
  • 5
    • 23244467049 scopus 로고    scopus 로고
    • Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle
    • Guidolin, M.: Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle. Federal Reserve Bank of St. Louis, Working Paper 2005-005 (2005)
    • (2005) Federal Reserve Bank of St. Louis, Working Paper , vol.2005 , Issue.5
    • Guidolin, M.1
  • 6
    • 0037332717 scopus 로고    scopus 로고
    • Option prices under Bayesian learning: Implied volatility dynamics and predictive densities
    • Guidolin, M., Timmermann, A.: Option prices under Bayesian learning: implied volatility dynamics and predictive densities. Journal of Economic Dynamics and Control 27, 717-769 (2003)
    • (2003) Journal of Economic Dynamics and Control , vol.27 , pp. 717-769
    • Guidolin, M.1    Timmermann, A.2
  • 8
    • 40849105983 scopus 로고
    • Stochastic consumption, risk aversion, and the temporal behavior of asset returns
    • Hansen, L.P., Singleton, K.: Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy 91, 249-265 (1983)
    • (1983) Journal of Political Economy , vol.91 , pp. 249-265
    • Hansen, L.P.1    Singleton, K.2
  • 9
    • 0347566820 scopus 로고
    • On the structure and diversity of rational beliefs
    • Kurz, M.: On the structure and diversity of rational beliefs. Economic Theory 4, 877-900 (1994)
    • (1994) Economic Theory , vol.4 , pp. 877-900
    • Kurz, M.1
  • 10
    • 0035531584 scopus 로고    scopus 로고
    • Endogenous uncertainty and market volatility
    • Kurz, M., Motolese, M.: Endogenous uncertainty and market volatility. Economic Theory 17, 497-544 (2001)
    • (2001) Economic Theory , vol.17 , pp. 497-544
    • Kurz, M.1    Motolese, M.2
  • 11
    • 0001378029 scopus 로고
    • Asset pricing with undiversifiable risk and short sales constraints: Deepening the equity premium puzzle
    • Lucas, D.: Asset pricing with undiversifiable risk and short sales constraints: deepening the equity premium puzzle. Journal of Monetary Economics 34, 325-342 (1994)
    • (1994) Journal of Monetary Economics , vol.34 , pp. 325-342
    • Lucas, D.1
  • 13
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    • The equity risk premium: Solution
    • Rietz, T.: The equity risk premium: solution. Journal of Monetary Economics 22, 117-132 (1988)
    • (1988) Journal of Monetary Economics , vol.22 , pp. 117-132
    • Rietz, T.1
  • 15
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    • Structural breaks, incomplete information and stock prices
    • Timmermann, A.: Structural breaks, incomplete information and stock prices. Journal of Business and Economic Statistics 19, 299-314 (2001)
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 299-314
    • Timmermann, A.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.