Internal rationality, imperfect market knowledge and asset prices

DOI10.1016/J.JET.2010.11.003zbMATH Open1246.91020OpenAlexW2158816285MaRDI QIDQ548263FDOQ548263

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

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zbMATH Keywords

learningconsumption based asset pricinginternal rationality

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Rational Asset Pricing Bubbles
• Self-Confirming Equilibrium
• Agreeing to disagree
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
• A note on some limitations of CRRA utility
• If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Expectations and the Stability Problem for Optimal Monetary Policies
• Learning, Structural Instability, and Present Value Calculations
• Title not available (Why is that?)
• Rational Expectations Equilibrium with Econometric Models
• Learning and Equilibrium Selection in a Monetary Overlapping Generations Model with Sticky Prices
• LEARNING TO FORECAST AND CYCLICAL BEHAVIOR OF OUTPUT AND INFLATION

Cited In (21)

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

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