메뉴 건너뛰기




Volumn 23, Issue 4, 2010, Pages 1433-1466

Heterogeneous expectations and bond markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 77950252071     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhp091     Document Type: Article
Times cited : (181)

References (45)
  • 3
    • 0013065419 scopus 로고    scopus 로고
    • A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
    • Basak, S. 2000. A Model of Dynamic Equilibrium Asset Pricing with Heterogeneous Beliefs and Extraneous Risk. Journal of Economic Dynamics and Control 24:63-95.
    • (2000) Journal of Economic Dynamics and Control , vol.24 , pp. 63-95
    • Basak, S.1
  • 4
    • 67649525087 scopus 로고    scopus 로고
    • The effect of introducing a non-redundant derivative on the volatility of stock-market returns when agents differ in risk aversion
    • Bhamra, H., and R. Uppal. 2009. The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion. Review of Financial Studies 22:2303-2330
    • (2009) Review of Financial Studies , vol.22 , pp. 2303-2330
    • Bhamra, H.1    Uppal, R.2
  • 5
    • 33748768900 scopus 로고    scopus 로고
    • Model uncertainty and option markets with heterogeneous beliefs
    • Buraschi, A., and A. Jiltsov. 2006. Model Uncertainty and Option Markets with Heterogeneous Beliefs. Journal of Finance 61:2841-2897
    • (2006) Journal of Finance , vol.61 , pp. 2841-2897
    • Buraschi, A.1    Jiltsov, A.2
  • 6
    • 36649025502 scopus 로고    scopus 로고
    • Term structure of interest rates: Implications of habit persistence
    • Buraschi, A., and A. Jiltsov. 2007. Term Structure of Interest Rates: Implications of Habit Persistence. Journal of Finance 62:3009-3063
    • (2007) Journal of Finance , vol.62 , pp. 3009-3063
    • Buraschi, A.1    Jiltsov, A.2
  • 8
    • 84959821636 scopus 로고
    • Yield spreads and interest rate movements: A bird's eye view
    • Campbell, J., and R. Shiller. 1991. Yield Spreads and Interest Rate Movements: A Bird's Eye View. Review of Economic Studies 58:495-514.
    • (1991) Review of Economic Studies , vol.58 , pp. 495-514
    • Campbell, J.1    Shiller, R.2
  • 9
    • 0036997692 scopus 로고    scopus 로고
    • Catching up with the joneses: Heterogeneous preferences and the dynamics of asset prices
    • Chan, L., and L. Kogan. 2002. Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices. Journal of Political Economy 110:1255-1285
    • (2002) Journal of Political Economy , vol.110 , pp. 1255-1285
    • Chan, L.1    Kogan, L.2
  • 10
    • 84924617402 scopus 로고    scopus 로고
    • Reply to Dai, Singleton, and Yang
    • University of Chicago
    • Cochrane, J., and M. Piazzesi. 2004. Reply to Dai, Singleton, and Yang. Working Paper, University of Chicago.
    • (2004) Working Paper
    • Cochrane, J.1    Piazzesi, M.2
  • 12
    • 0002720622 scopus 로고
    • Optimal consumption and investment policies when asset prices follow a diffusion process
    • Cox, J., and C.-F. Huang. 1989. Optimal Consumption and Investment Policies When Asset Prices Follow a Diffusion Process. Journal of Economic Theory 49:33-83.
    • (1989) Journal of Economic Theory , vol.49 , pp. 33-83
    • Cox, J.1    Huang, C.-F.2
  • 13
    • 0036221014 scopus 로고    scopus 로고
    • Expectation puzzles, time-varying risk premia, and affinemodels of the term structure
    • Dai, Q., and K. Singleton. 2002. Expectation Puzzles, Time-Varying Risk Premia, and AffineModels of the Term Structure. Journal of Financial Economics 63:415-441
    • (2002) Journal of Financial Economics , vol.63 , pp. 415-441
    • Dai, Q.1    Singleton, K.2
  • 14
    • 0042788861 scopus 로고    scopus 로고
    • Term structure dynamics in theory and reality
    • Dai, Q., and K. Singleton. 2003. Term Structure Dynamics in Theory and Reality. Review of Financial Studies 16:631-678
    • (2003) Review of Financial Studies , vol.16 , pp. 631-678
    • Dai, Q.1    Singleton, K.2
  • 15
    • 79952984010 scopus 로고    scopus 로고
    • Predictability of bond risk premia and affine term structuremodels
    • Stanford University
    • Dai, Q., K. Singleton, andW. Yang. 2004. Predictability of Bond Risk Premia and Affine Term StructureModels. Working Paper, Stanford University.
    • (2004) Working Paper
    • Dai, Q.1    Singleton, K.2    Yang, W.3
  • 16
    • 38149094191 scopus 로고    scopus 로고
    • Heterogeneous beliefs, speculation, and the equity premium
    • David, A. 2008. Heterogeneous Beliefs, Speculation, and the Equity Premium. Journal of Finance 63:41-83.
    • (2008) Journal of Finance , vol.63 , pp. 41-83
    • David, A.1
  • 17
    • 0001660676 scopus 로고
    • Intertemporal asset pricing with heterogeneous beliefs
    • Detemple, J., and S.Murthy. 1994. Intertemporal Asset Pricing with Heterogeneous Beliefs. Journal of Economic Theory 62:294-320.
    • (1994) Journal of Economic Theory , vol.62 , pp. 294-320
    • Detemple, J.1    Murthy, S.2
  • 18
    • 0030305091 scopus 로고    scopus 로고
    • A yield-factor model of interest rates
    • Duffie, D., and R. Kan. 1996. A Yield-Factor Model of Interest Rates. Mathematical Finance 4:379-406.
    • (1996) Mathematical Finance , vol.4 , pp. 379-406
    • Duffie, D.1    Kan, R.2
  • 19
    • 0000205143 scopus 로고
    • Two-person dynamic equilibrium in the capital market
    • Dumas, B. 1989. Two-Person Dynamic Equilibrium in the CapitalMarket. Review of Financial Studies 2:157-188
    • (1989) Review of Financial Studies , vol.2 , pp. 157-188
    • Dumas, B.1
  • 20
    • 62449196420 scopus 로고    scopus 로고
    • Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility
    • Dumas, B., A. Kurshev, and R. Uppal. 2009. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility. Journal of Finance 64:579-629.
    • (2009) Journal of Finance , vol.64 , pp. 579-629
    • Dumas, B.1    Kurshev, A.2    Uppal, R.3
  • 21
    • 0000064728 scopus 로고
    • The information in long-maturity forward rates
    • Fama, E., and R. Bliss. 1987. The Information in Long-Maturity Forward Rates. American Economic Review 77:680-692
    • (1987) American Economic Review , vol.77 , pp. 680-692
    • Fama, E.1    Bliss, R.2
  • 22
    • 44949164637 scopus 로고    scopus 로고
    • Variable rare disasters: An exactly solved framework for ten puzzles in macro-finance
    • New York University
    • Gabaix, X. 2008. Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance. Working Paper, New York University.
    • (2008) Working Paper
    • Gabaix, X.1
  • 23
    • 44849094590 scopus 로고    scopus 로고
    • An examination of heterogeneous beliefs with a short sale constraint
    • Gallmeyer, M., and B. Hollifield. 2008. An Examination of Heterogeneous Beliefs with a Short Sale Constraint. Review of Finance 12:323-364
    • (2008) Review of Finance , vol.12 , pp. 323-364
    • Gallmeyer, M.1    Hollifield, B.2
  • 24
    • 20444380401 scopus 로고    scopus 로고
    • The excess sensitivity of long-term interest rates: Evidence and implications for macroeconomic models
    • Gurkaynak, R., B. Sack, and E. Swanson. 2005. The Excess Sensitivity of Long-Term Interest Rates: Evidence and Implications for Macroeconomic Models. American Economic Review 95:425-436
    • (2005) American Economic Review , vol.95 , pp. 425-436
    • Gurkaynak, R.1    Sack, B.2    Swanson, E.3
  • 25
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • Harris, M., and A. Raviv. 1993. Differences of Opinion Make a Horse Race. Review of Financial Studies 6:473-506.
    • (1993) Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 26
    • 34548527409 scopus 로고    scopus 로고
    • Consensus consumer and intertemporal asset pricing with heterogeneous beliefs
    • Jouini, E., and C. Napp. 2007. Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs. Review of Economic Studies 74:1149-1174
    • (2007) Review of Economic Studies , vol.74 , pp. 1149-1174
    • Jouini, E.1    Napp, C.2
  • 27
    • 0023455980 scopus 로고
    • Optimal portfolio and consumption decisions for a "small Investor" on a finite horizon
    • Karatzas, I., J. Lehoczky, and S. Shreve. 1987. Optimal Portfolio and Consumption Decisions for a "Small Investor" on a Finite Horizon. SIAM Journal on Control and Optimization 25:1557-1586
    • (1987) SIAM Journal on Control and Optimization , vol.25 , pp. 1557-1586
    • Karatzas, I.1    Lehoczky, J.2    Shreve, S.3
  • 28
    • 33645068448 scopus 로고    scopus 로고
    • The price impact and survival of irrational traders
    • Kogan, L., S. Ross, J. Wang, and M. Westerfield. 2006. The Price Impact and Survival of Irrational Traders. Journal of Finance 61:195-229.
    • (2006) Journal of Finance , vol.61 , pp. 195-229
    • Kogan, L.1    Ross, S.2    Wang, J.3    Westerfield, M.4
  • 29
    • 0347566820 scopus 로고
    • On the structure and diversity of rational beliefs
    • Kurz, M. 1994. On the Structure and Diversity of Rational Beliefs. Economic Theory 4:877-900.
    • (1994) Economic Theory , vol.4 , pp. 877-900
    • Kurz, M.1
  • 30
    • 33947172640 scopus 로고    scopus 로고
    • Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
    • Li, T. 2007. Heterogeneous Beliefs, Asset Prices, and Volatility in a Pure Exchange Economy. Journal of Economic Dynamics and Control 31:1697-1727
    • (2007) Journal of Economic Dynamics and Control , vol.31 , pp. 1697-1727
    • Li, T.1
  • 32
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas, R. 1978. Asset Prices in an Exchange Economy. Econometrica 46:1429-1445
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.1
  • 34
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time model
    • Merton, R. 1971. Optimum Consumption and Portfolio Rules in a Continuous-Time Model. Journal of Economic Theory 3:373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 35
    • 0037761333 scopus 로고    scopus 로고
    • Speculative investor behavior and learning
    • Morris, S. 1996. Speculative Investor Behavior and Learning. Quarterly Journal of Economics 111:1111-1133 (Pubitemid 126314234)
    • (1996) Quarterly Journal of Economics , vol.111 , Issue.4 , pp. 1111-1133
    • Morris, S.1
  • 39
    • 85017459501 scopus 로고
    • The volatility of long-term interest rates and expectations models of the term structure
    • Shiller, R. 1979. The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure. Journal of Political Economy 87:1190-1219
    • (1979) Journal of Political Economy , vol.87 , pp. 1190-1219
    • Shiller, R.1
  • 40
    • 33744735926 scopus 로고    scopus 로고
    • Have increases in federal reserve transparency improved private sector interest rate forecasts?
    • Swanson, E. 2006. Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts? Journal of Money, Credit and Banking 38:791-819.
    • (2006) Journal of Money, Credit and Banking , vol.38 , pp. 791-819
    • Swanson, E.1
  • 41
    • 34547715973 scopus 로고    scopus 로고
    • A preferred-habitat model of the term structure of interest rates
    • London School of Economics
    • Vayanos, D., and J.-L. Vila. 2007. A Preferred-Habitat Model of the Term Structure of Interest Rates. Working Paper, London School of Economics.
    • (2007) Working Paper
    • Vayanos, D.1    Vila, J.-L.2
  • 42
    • 30744438123 scopus 로고    scopus 로고
    • A consumption-based model of the term structure of interest rates
    • Wachter, J. 2006. A Consumption-Based Model of the Term Structure of Interest Rates. Journal of Financial Economics 79:365-399
    • (2006) Journal of Financial Economics , vol.79 , pp. 365-399
    • Wachter, J.1
  • 43
    • 0030137587 scopus 로고    scopus 로고
    • The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors
    • Wang, J. 1996. The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors. Journal of Financial Economics 41:75-110.
    • (1996) Journal of Financial Economics , vol.41 , pp. 75-110
    • Wang, J.1
  • 44
    • 61849133436 scopus 로고    scopus 로고
    • Natural selection in financial markets: Does it work?
    • Yan, H. 2008. Natural Selection in Financial Markets: Does It Work? Management Science 54:1935-1950
    • (2008) Management Science , vol.54 , pp. 1935-1950
    • Yan, H.1
  • 45
    • 0032044523 scopus 로고    scopus 로고
    • Effects of financial innovation on marketvolatility when beliefs areheterogeneous
    • Zapatero, F. 1998. Effects of Financial Innovation on MarketVolatility When Beliefs AreHeterogeneous. Journal of Economic Dynamics and Control 22:597-626.
    • (1998) Journal of Economic Dynamics and Control , vol.22 , pp. 597-626
    • Zapatero, F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.