The Market Price of Risk and the Equity Premium

By Timothy Cogley, Thomas J. Sargent. 2005

154 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e4eadba333b1eeb533996b1304c9c9ec64aea685

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Thomas Lux
2. D. Colander
3. Pierre Collin-Dufresne
4. Lars A. Lochstoer
5. Christoph Memmel
6. Michael Johannes
7. Gabriel Frahm
8. Hans Föllmer

In Finance

1. Thomas Lux
2. Pierre Collin-Dufresne
3. Lars A. Lochstoer
4. Christoph Memmel
5. Michael Johannes
6. Gabriel Frahm
7. Hans Föllmer
8. Michael D. Goldberg

Citations in the corpus

• Learning about Consumption Dynamics (2014, unknown): “Accordingly, we adopt Kreps (1998) anticipated utility approach, which has been used in asset pricing settings in recent work by Cogley and Sargent (2008, 2009) and Piazzesi and Schneider (2010).”
• Stock Market Volatility and Learning (2008, unknown): “3In Cogley and Sargent (2008) agents’ initial belief about mean dividend growth is driven by pessimism.”
• Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, background): “The main asset pricing results in Johannes, Lochstoer, and Mou (forthcoming) ignore the pricing of these risks as they utilize AU pricing following Cogley and Sargent (2008).”
• Dominating estimators for minimum-variance portfolios (2010, methodology): “Using US data for the period 1872 to 2002, Cogley and Sargent (2008) get an estimate of the US Sharpe Ratio of 24%.”
• The Financial Crisis and the Systemic Failure of Academic Economics (2009, background): “On the more theoretical side, a recent and prominent strand of literature essentially argues that consumers and investors are too risk averse because of their memory of the (improbable) event of the Great Depression (e.g., Cogley and Sargent, 2008).”
• ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING (2008, unknown): “In Cogley and Sargent (2004), we explore further how learning drives a wedge between subjective and RE prices of risk in the context of a more realistic asset pricing model.”
• Stock Price Booms and Expected Capital Gains (2017, unknown): “The literature on robust control and asset prices, e.g. Cogley and Sargent (2008), considers settings where investors are uncertain about the process for fundamentals.”