Heterogeneous Beliefs, Speculation, and the Equity Premium

By Alexander David. 2008

218 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/95ae937b121a8a35ead3c0bcca4409a169488574

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Citations in the corpus

ESG Rating Disagreement and Stock Returns (2019, background): “2002; Yu 2011; Lakonishok, Shleifer, and Vishny 1994; La Porta 1996; Skinner and Sloan 2002), others find it to be positive (Anderson et al. 2005; David 2008; Banerjee and Kremer 2010).”
Learning in Financial Markets (2009, background): “Finally, David (2008a) uses learning about unobservable regime shifts in the fundamentals to explain why the observed credit spreads are higher than spreads produced by Merton-like models calibrated to the observed default frequencies.”
Investor Attention and Stock Market Volatility (2015, methodology): “To manage this problem, we follow David (2008) and use the analyst 1-quarter ahead forecasts on real US GDP growth rate as a proxy for the filtered fundamental f̂ .”
Fragile beliefs and the price of uncertainty (2010, methodology): “By applying Bayesian learning, typically as embodied in recursive filtering methods, they construct a less informative state vector that consists of sufficient statistics for the distribution of hidden states conditioned on signal histories, as well as a recursive law of motion for it that is then…”
An Examination of Heterogeneous Beliefs With a Short-Sale Constraint in a Dynamic Economy (2008, unknown): “Recent work by David (2006) argues that it is possible to fit the equity premium puzzle and the equilibrium short rate when 1 γ > 1 for all investors in a setting with heterogeneous beliefs similar to our own.”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “…(2009), Berrada (2006), Borovička (2012), Buraschi and Jiltsov (2006), Buraschi, Trojani, and Vedolin (2009, 2010), Cecchetti, Lam, and Mark (2000), David (2008), David and Veronesi (2002), Duffie, Garleânu, and Pedersen (2002), Dumas, Kurshev, and Uppal (2009), Gallmeyer (2000), Gallmeyer and…”
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2009, unknown): “It is the approach we adopt here, as it has been in the recent, related work of David (2008).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “In particular, while the state equation for wealth under standard (S)EU is the usual (49), under HS-type preferences this process must be adjusted by adding a specific diffusion term which is endogenously chosen to minimize the sum of the expected intertemporal utility and of an entropy penalty.”
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, unknown): “David (2006) shows that another way to obtain a high Sharpe ratio is to model speculation among agents that leads to high per capita consumption volatility with a CRRA of only 0.5. solvency ratios Zi = Ci/(C · π∗) k (see Footnote 12) and asset volatility, which arise from investors’ learning in our…”
Disagreement and asset prices. (2014, unknown): “David (2008) shows that less risk-averse agents speculate more, but demand higher risk premia.”
Rare Disasters and Risk Sharing with Heterogeneous Beliefs (2011, background): “Recent developments include Kogan et al. (2006), Buraschi and Jiltsov (2006), Yan (2008), David (2008), Dumas, Kurshev, and Uppal (2009), Xiong and Yan (2009), and Dieckmann and Gallmeyer (2009) among others.”