Appendices to \The Market Price of Risk and the Equity Premium: A Legacy of the Great Depression?"

By Timothy Cogley, Thomas J. Sargent. 2007

143 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/19d0ed1cb8841192718362bc5a581bc86eaccf83

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Citations in the corpus

Self-Exciting Jumps, Learning, and Asset Pricing Implications (2015, background): “Cogley and Sargent (2008) provide an alternative explanation of the observed equity risk premium from”
The Financial Crisis and the Systemic Failure of Academic Economics (2009, background): “For example, in their analysis of the risk management implications of CDOs, Krahnen (2005) and Krahnen and Wilde (2006) mention the possibility of an increase of ‘systemic risk.’”
Value versus growth investing: Why do different investors have different styles? (2015, unknown): “Schwartz (1963) and Cogley and Sargent (2008) for the equity premium.”
THE FINANCIAL CRISIS AND THE SYSTEMIC FAILURE OF THE ECONOMICS PROFESSION (2009, unknown): “On the more theoretical side, a recent and prominent strand of literature essentially argues that consumers and investors are too risk averse because of their memory of the (improbable ) event of the Great Depression (e.g., Cogley and Sargent 2008 ).”
ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING (2008, unknown): “In Cogley and Sargent (2004), we explore further how learning drives a wedge between subjective and RE prices of risk in the context of a more realistic asset pricing model.”
Dominating estimators for minimum-variance portfolios (2010, methodology): “Using US data for the period 1872 to 2002, Cogley and Sargent (2008) get an estimate of the US Sharpe Ratio of 24%. Kan and Zhou (2007) use in their study 20% and 40%. (6)Kan and Zhou (2007) a priori forgo the between variance in their analytical expressions.”
Fragile beliefs and the price of uncertainty (2010, background): “This decomposition helps us understand how our paper relates to earlier asset pricing papers including, for example, Detemple (1986), Dothan and Feldman (1986), David (1997), Veronesi (2000), Brennan and Xia (2001), Ai (2006), David (2008), Croce, Lettau, and Ludvigson (2008), and David and Veronesi”
Learning about Consumption Dynamics (2014, methodology): “Accordingly, we adopt Kreps (1998) anticipated utility approach, which has been used in asset pricing settings in recent work by Cogley and Sargent (2008, 2009) and Piazzesi and Schneider (2010).”