Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle

Journal of Economic Dynamics and Control

Volumn 30, Issue 6, 2006, Pages 1027-1043

  Giordani, Paolo ^a   Söderlind, Paul ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

Aggregation of beliefs; Equity premium; Livingston survey; Riskfree rate; Survey of professional forecasters

Indexed keywords

EID: 33646255911     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2005.05.001     Document Type: Article

References (17)

1. Abel A.B. Asset prices under heterogenous beliefs: implications for the equity premium. Memorandum (1989), Wharton School, University of Pennsylvania
2. Abel A.B. An exploration of the effects of pessimism and doubt on asset returns. Journal of Economic Dynamics and Control 26 (2002) 1075-1092
3. Anderson, E., Hansen, L.P., Sargent, T.J., 2003. Robustness, Detection, and the Price of Risk. Stanford University Working Paper.
4. Barberis N., Huang M., and Santos T. Prospect theory and asset prices. Quarterly Journal of Economics 116 (2001) 1-53
5. Benartzi S., and Thaler R.H. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 100 (1995) 73-92
6. Chan L.K.C., Karceski J., and Lakonishok J. The level and persistence of growth rates. Journal of Finance 58 (2003) 643-684
7. Christoffersen P.F. Evaluating interval forecasts. International Economic Journal 39 (1998) 841-862
8. Detemple J., and Murthy S. Intertemporal asset pricing with heterogeneous beliefs. Journal of Economic Theory 62 (1994) 294-320
9. Federal Reserve Bank of Philadelphia, 2000. Survey of Professional Forecasters: Documentation for Median Forecast Data. http://www.phil.frb.org/econ/spf/spfmeddoc.html
10. Giordani P., and Söderlind P. Inflation forecast uncertainty. European Economic Review 47 (2003) 1037-1059
11. Hirshleifer D. Investor psychology and asset pricing. Journal of Finance 56 (2001) 1533-1597
12. Lucas R.E. Asset prices in an exchange economy. Econometrica 46 (1978) 1429-1445
13. Rabin M. Psychology and economics. Journal of Economic Literature 36 (1998) 11-46
14. Rubinstein M. An aggregation theorem for securities markets. Journal of Financial Economics 1 (1974) 225-244
15. Thaler R.H. From homo economicus to homo sapiens. Journal of Economic Perspectives 14 (2000) 133-141
16. ∞ Forecasting and Asset Pricing Anomalies. NBER Working Paper No. 7753.
17. Varian H.R. Divergence of opinion in complete markets: a note. Journal of Finance 40 (1985) 309-317