Learning, Asset-Pricing Tests, and Market Efficiency

By J. Lewellen, Jay Shanken. 2002

343 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/db406635b08a76e716362beaeba8c9154beb60db

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Citations in the corpus

The Long-Lasting Momentum in Weekly Returns (2008, background): “Lewellen and Shanken (2002), and Brav and Heaton (2002), and Veronesi (1999) show how rational learning can induce momentum and reversal in returns.”
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM (2009, methodology): “In particular, Lewellen and Shanken (2002) show that 9For example, the bootstrapped standard deviation of the CPE statistic for the unconditional CAPM in Panel A of Table 4 is 0.034, while for the learning model in Panel B of Table 7, it is 0.038.”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, neutral): “0     #  = 1 2  6=  = 1 2 (132)”
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2007, background): “Lewellen and Shanken (2002) show that introducing learning into a traditional model can help in understanding value premia.”
Learning By Trading (2010, neutral): “Lewellen and Shanken (2002)).”
Learning in Financial Markets (2009, background): “This learning-induced predictability is observable only in hindsight, as explained by Lewellen and Shanken (2002).”
Style Effects in the Cross-Section of Stock Returns (2004, neutral): “This allows us to separate from the learning models proposed by Brennan and Xia (2001), Veronesi (1999), and Lewellen and Shanken (2002).”
CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009, positive): “25 (1999), Jagannathan, McGrattan, and Scherbina (2000), Lewellen and Shanken (2002)) have viewed realized return as a poor and biased proxy for investor expectation, and have proposed that direct measure of expected return should be used for asset price tests.”
Good Times or Bad Times? Investors' Uncertainty and Stock Returns (2009, neutral): “15 Perez-Quiros and Timmermann (2000) provide a detailed discussion of each regressor and how the role of each predictor varies over the business cycle.”
Self-Exciting Jumps, Learning, and Asset Pricing Implications (2015, background): “Among others, Timmerman (1993, 1996) and Lewellen and Shanken (2002) show that learning may generate excess volatility and predictability in stock returns.”