Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning

DOI10.2307/2297792zbMATH Open0864.90010OpenAlexW2016851953MaRDI QIDQ5689652FDOQ5689652

Allan Timmermann

Publication date: 7 January 1997

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297792

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zbMATH Keywords

learningrational expectationsincomplete informationasymptotic convergencestock market

Mathematics Subject Classification ID

Cited In (37)

• Properties of equilibrium asset prices under alternative learning schemes
• Learning, regime switches, and equilibrium asset pricing dynamics
• Behavioral learning equilibria
• Internal rationality, imperfect market knowledge and asset prices
• Perpetual learning and stock return predictability
• Do fundamentals shape the price response? A critical assessment of linear impact models
• Investor expectations, earnings management, and asset prices
• Market efficiency, asset returns, and the size of the risk premium in global equity markets.
• Financial frictions, the housing market, and unemployment
• Monetary policy, learning and the speed of convergence
• LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL
• A stationary Kyle setup: microfounding propagator models
• Determinants of stock market volatility and risk premia
• Through the looking glass: indirect inference via simple equilibria
• A statistical procedure for testing financial contagion
• Learning and forecasts about option returns through the volatility risk premium
• Learning and excess volatility
• Market liquidity and excess volatility: theory and experiment
• Learning and Index Option Returns
• Informational differences and learning in an asset market with boundedly rational agents
• Asset pricing with flexible beliefs
• Fundamentalists, chartists and asset pricing anomalies
• A refined asymptotic framework for dividend yield in predictive regressions
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• The behavior of individual and aggregate stock prices
• Market efficiency and learning in an endogenously unstable environment
• Self-organization and the persistence of noise in financial markets
• Equilibrium stock return dynamics under alternative rules of learning about hidden states
• Why do dividend yields forecast stock returns?
• Snowballing private information
• Learning, convergence and economic constraints
• Stock market conditions and monetary policy in a DSGE model for the U.S.
• The peso problem hypothesis and stock market returns
• Exchange rates and fundamentals under adaptive learning
• Completion time structures of stock price movements
• Smart Money, Noise Trading and Stock Price Behaviour
• Adaptive learning, endogenous uncertainty, and asymmetric dynamics

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