The 6D Bias and the Equity-Premium Puzzle

By Xavier Gabaix, David Laibson. NBER macroeconomics annual, 2001

277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7696e13066bd1acb2c319bb71e9ac64a1756c933

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Citations in the corpus

Limited information capacity as a source of inertia (2004, background): “Exogenously speci9ed time-dependent rules, such as those of Calvo (1983) or Gabaix and Laibson (2001), once explicitly modelled may react very di8erently to policy changes, depending on their microfoundations.”
A Behavioral New Keynesian Model (2020, unknown): “That fact is captured, for example, by behavioral models of slow incorporation of news (Gabaix and Laibson (2002); Mankiw and Reis (2002)).”
Asset Price Dynamics with Slow-Moving Capital (2010, methodology): “Taking the simplifying approach of Lynch (1996), Gabaix and Laibson (2001), Bacchetta and van Wincoop (2010), and Chien, Cole, and Lustig (2010), I suppose that some set of investors fix their periods of inattention, rather than solving for endogenous periods of inattention.”
Consumption Strikes Back? Measuring Long‐Run Risk (2008, unknown): “These include models that feature habit persistence (e.g., Sundaresan 1989; Constantinides 1990; Heaton 1995) and models of staggered decision making (see, e.g., Lynch 1996; Gabaix and Laibson 2002).”
Does It Pay to Pay Attention (2018, unknown): “For example, the model of Gabaix and Laibson (2002) implies an inattention interval of approximately 12 months, the one by Abel, Eberly, and Panageas (2007) an inattention interval of 8 months. With values slightly greater than one month, the only model that predicts inattention intervals in line wi”
Consumption Risk and the Cross Section of Expected Returns (2005, background): “…to the literature on the stochastic properties of aggregate consumption following aggregate market returns (Kandel and Stambaugh 1990; Daniel and Marshall 1997; Ludvigson and Steindel 1999; Parker 2000, 2001; Dynan and Maki 2001; Gabaix and Laibson 2002; Piazzesi 2002; Bansal and Yaron 2004).”
Chapter 14 The equity premium in retrospect (2003, unknown): “29 Gabaix and Laibson (2001), Heaton (1995) and Lynch (1996).”
Timing and Self-Control (2012, result): “6 For example, the model is compatible with the “rational addiction” preference structure of Becker and Murphy [1988] and with short-run consumption commitments, as in the Gabaix and Laibson [2002] explanation of the equity premium puzzle.”
The Liquid Hand-to-Mouth: Evidence from Personal Finance Management Software (2018, background): “Moreover, Reis (2006) assumes that agents face costs when processing information and thus optimally decide to update their consumption plans sporadically, resulting in excessively smooth consumption that is shown to matter in the aggregate by Gabaix and Laibson (2002).”
A Sparsity-Based Model of Bounded Rationality (2014, unknown): “Another approach says that information is updated slowly (e.g., Gabaix and Laibson 2002; Mankiw and Reis 2002).”
Monetary Policy for Inattentive Economies (2005, unknown): “2 Implications for Base Drift We now consider optimal policy in a model that is identical to ours except that the Calvo sticky-price assumption replaces the Mankiw-Reis sticky-information assumption, so that the Phillips curve becomes equation (17) above.”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, methodology): “Similarly, Caballero (1995), Gabaix and Laibson (2001), and Chien, Cole, and Lustig (2010) analyze the equilibrium implications of intermittent investor attention for the moments and cross moments of aggregate consumption and market returns.”