Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

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Subfields: Finance

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Self-Exciting Jumps, Learning, and Asset Pricing Implications (2015, background): “Benzoni, Collin-Dufresne, and Goldstein (2011) argue that updating of beliefs about jump parameters may cause a permanent shift in option prices.”
Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, background): “5 These include Brandt, Zeng, and Zhang (2004); Croce, Lettau, and Ludvigson (2014); Lettau, Ludvigson, and Wachter (2008); Ai (2010); Boguth and Kuehn (2013); Bansal and Shaliastovich (2010, 2011); and Benzoni, Collin-Dufresne, and Goldstein (2011).”
Sources of Entropy in Representative Agent Models (2011, background): “…examples of jumps in the macro-finance literature include Barro (2006), Barro, Nakamura, Steinsson, and Ursua (2009), Bekaert and Engstrom (2010), Benzoni, Collin-Dufresne, and Goldstein (2011), Branger, Rodrigues, and Schlag (2011), Drechsler and Yaron (2011), Eraker and Shaliastovich (2008),…”
Investor Attention and Stock Market Volatility (2015, methodology): “As in Benzoni et al. (2011), we assume from now on that the coefficient of risk aversion is α = 10, the elasticity of intertemporal substitution is 1 ψ = 2, and the subjective discount factor is ρ = 0.03.”