Information Quality and Long‐Run Risk: Asset Pricing Implications

130 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Cross-Country Heterogeneity in Intertemporal Substitution (2015, methodology): “…the value of 0.2 (Chari et al., 2002; House & Shapiro, 2006; Piazzesi et al., 2007), or the value of 0.5 (Jin, 2012; Trabandt & Uhlig, 2011; Rudebusch & Swanson, 2012), or the value of 2 (Ai, 2010; Barro, 2009; Colacito & Croce, 2 2011), to name but a few recent examples of different calibrations.”
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital (2013, methodology): “See Ai (2009b).”
Risk Preferences and the Macroeconomic Announcement Premium (2018, methodology): “…contains a predictable component, xt, and an i.i.d. component modeled by increments of a Brownian motion: dCt Ct = xtdt+ σdBC,t. Similar to the model of Ai (2010), we assume that xt is a continuous-time AR(1) process (an Ornstein-Uhlenbeck process) unobservable to the agent in the economy.”
Fiscal Policies and Asset Prices (2012, unknown): “Through this combination of frictions, in equilibrium, the volatilities of our net equity payouts and equity excess returns are closer to those observed in the data (see, among others, Larrain and Yogo (2008)). Corporate financing, therefore, is a dimension that helps us to better characterize the d”