Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns

By Maiikus K. Brunnermeier, Christian Gollier, Jonathan A. Parker. 2007

169 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/70183e98dd453802d6858912a325d0189ebdb3c4

Citations in the corpus

• Carry Trades and Currency Crashes (2008, unknown): “Our …ndings share several features of the “liquidity spirals”arising in the model of Brunnermeier and Pedersen (2008). They show theoretically that securities that speculators invest in have a positive average return and a negative skewness.”
• Stock Options as Lotteries (2014, unknown): “, Brunnermeier and Parker (2005), Barberis and Huang (2007), and Mitton, and Vorkink (2006)).”
• Portfolio selection with higher moments (2010, unknown): “…(2005), Ang et al. (2006), Bakshi and Madan (2006), Barro (2006), Williams and Ioannidis (2006), Barberis and Huang (2007), Briec et al. (2007), Brunnermeier et al. (2007), Chiang and Li (2007), Guidolin and Timmermann (2007), Mitton and Vorkink (2007), Martellini and Ziemann (2007), Chabi-Yo…”
• Groupthink: Collective Delusions in Organizations and Markets (2013, unknown): “In the field, Choi and Lou (2010) find evidence of self-serving, asymmetric updating by mutual fund managers.”
• Gambling Preference and the New Year Effect of Assets with Lottery Features (2012, unknown): “Brunnermeier, Gollier, and Parker (2007) model the preference for skewness as an outcome of investors being overly optimistic about the probability of good states.”
• Skewed distributions in finance and actuarial science: a review (2015, unknown): “Nonetheless, the theoretical role of skewness continues to attract the attention of researchers, as the paper by Brunnermeier, Gollier, and Parker (2007) shows.”
• Does Realized Skewness Predict the Cross-Section of Equity Returns? (2015, unknown): “However, when sorting by realized skewness, the long-short value-weighted portfolio 1The optimal expectations framework of Brunnermeier, Gollier, and Parker (2007) also predicts a relationship between skewness and returns, but the sign can be positive or negative dependent on whether investors…”
• Expected Idiosyncratic Skewness (2010, unknown): “Brunnermeier, Gollier, and Parker (2007) show that optimal expectations reduce the average returns of skewed assets in general equilibrium.”
• Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2011, unknown): “It is individual investors, rather than institutions, that are most likely to be subject to the phenomena modeled in Barberis and Huang (2008) and Brunnermeier, Gollier, and Parker (2007), and individual investors also exhibit underdiversification .”