Internal rationality, imperfect market knowledge and asset prices

DOI10.1016/J.JET.2010.11.003MaRDI QIDQ548263zbMATH OpenOpenAlexFDO

Authors Klaus Adam, Albert Marcet

Publication date 28 June 2011

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.233.4615

zbMATH Keywords

consumption based asset pricinginternal rationalitylearning

Mathematics Subject Classification ID

Rationality and learning in game theory (91A26) Decision theory (91B06) Financial applications of other theories (91G80)

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Cites work

• A note on some limitations of CRRA utility
• Agreeing to disagree
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• Expectations and the Stability Problem for Optimal Monetary Policies
• scientific article; zbMATH DE number 1188943 (Why is no real title available?)
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• If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
• Learning and Equilibrium Selection in a Monetary Overlapping Generations Model with Sticky Prices
• LEARNING TO FORECAST AND CYCLICAL BEHAVIOR OF OUTPUT AND INFLATION
• Learning, Structural Instability, and Present Value Calculations
• Rational Asset Pricing Bubbles
• Rational Expectations Equilibrium with Econometric Models
• Self-Confirming Equilibrium
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

Cited in

(24)

• Learning from experience in the stock market
• Booms, busts and behavioural heterogeneity in stock prices
• Imperfect knowledge, liquidity and bubbles
• Learning and the dynamics of consumer unsecured debt and bankruptcies
• Optimal fiscal policy under learning
• Asset price anomalies under bounded rationality
• Trend growth and learning about monetary policy rules
• Heterogeneous beliefs, monetary policy, and stock price volatility
• The RPEs of RBCs and other DSGEs
• Asset holdings, information aggregation in secondary markets and credit cycles
• Asset trading under non-classical ambiguity and heterogeneous beliefs
• Stock prices and the risk-free rate: an internal rationality approach
• Adaptive expectations and commodity risk premiums
• A rational inattention unemployment trap
• The learning premium
• Heterogeneity and learning with complete markets
• Behavioral learning equilibria
• Decentralizability of efficient allocations with heterogeneous forecasts
• Introduction to incompleteness and uncertainty in economics
• Fiscal stimulus with imperfect expectations: spending vs. tax policy
• A Dynare toolbox for social learning expectations
• Heterogeneous experience and constant-gain learning
• Expectation traps and Neo-Fisherian policy
• Properties of equilibrium asset prices under alternative learning schemes

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