Subjective Expectations and Asset-Return Puzzles

By Martin Weitzman. 2007

387 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3b58f229968bcb0f45976e721023b4f1b105bebc

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Citations in the corpus

Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance (2008, background): “Disaster events get a weight that is ten times their risk-neutral weight (see Martin Weitzman (2007) for an even higher weight).”
Rare Macroeconomic Disasters (2012, background): “12Similarly, Weitzman (2007) shows that the equity premium can be infinite when the underlying shocks are lognormally distributed with an unknown variance.”
The Economic and Policy Consequences of Catastrophes (2013, neutral): “Rietz’s article received little attention until the recent work of Barro (2006, 2009) and Weitzman (2007).”
Macroeconomic Crises since 1870 (2008, positive): “We therefore neglect learning about disaster parameters, an issue stressed by Weitzman (2007). We focus on the model’s implications for the expected rate of return on equity, r, and the risk-free rate, r—and, hence, the equity premium.”
Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, neutral): “Finally, Weitzman (2007) shows how model uncertainty can be important in dynamic asset pricing already under standard expected utility (and so, without taking into account agents' speci…c reaction to model uncertainty) when " persistent " uncertainty may prevent full learning of the true data…”
The behavioural economics of climate change (2008, background): “Weitzman (2007b) then argues that if this account of the puzzle is correct, the implications for climate policy are far more dramatic than the Stern review suggests.”
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2008, neutral): “Harvey and Siddique (2000) and Dittmar (2002) examine the role of higher-order moments on the cross-section; unlike the present paper they take the market return as a given.”
Declining discount rates: Economic justifications and implications for long-run policy (2008, neutral): “After a short description of the available dataset, we choose the optimal model to describe the real interest rate of the countries under scrutiny, that is, France, India, Japan and South Africa.”
Should Governments Use a Declining Discount Rate in Project Analysis? (2014, background): “This argues for treating the mean ( g) and variance ( g) of consumption growth as uncertain, and, as shown in Weitzman (2004, 2007) and Gollier (2008), this subjective uncertainty about the trend and volatility in consumption growth will lead to a DDR.”
The Long-Run Discount Rate Controversy (2014, background): “Weitzman (2007b) considers a model where the trend of the economy is known, but its volatility is not.”
The Economics of Climate Change (2007, background): “In a sense, moving down the 1h 2 g 2 diagonal is taking on board the positions of two commentators on the Review—Weitzman (2007a, b) argued for greater emphasis on risk and uncertainty, and Dasgupta (2007) for more egalitarian values than those captured by h 5 .”
Limitations of integrated assessment models of climate change (2009, background): “In a series of pathbreaking papers, Weitzman (2007a, 2007b, 2008) has shown that climate catastrophes with low but unknown probabilities and very high damages dominate discounting considerations in formulating a rational policy.”
Ambiguity, Learning, and Asset Returns (2009, methodology): “increases to 1/μt (2) for j = 2 and decreases to 0 for j = 1. Note that φ varies with α and the expectation in the preceding expression does not have a limit. We can then use equations (29), (12)Applying Epstein and Schneider’s (2007b) recursive multiple-priors model with learning, Leippold et al.”
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2012, positive): “Finally, Weitzman (2007) provides a Bayesian view that the main risk is model uncertainty, as the true volatility of consumption may be much higher than the sample volatility.”
Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, background): “Relation to Weitzman (2007).”