Extrapolative asset pricing

DOI10.1016/J.JET.2023.105651MaRDI QIDQ6166477zbMATH OpenFDO

Authors Kai Li, Jun Liu

Publication date 6 July 2023

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

zbMATH Keywords

momentumasset pricing puzzlessentimentfundamental extrapolationreturn extrapolation

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Modeling asset prices
• scientific article; zbMATH DE number 19465
• Empirical asset pricing. Models and methods
• Asset pricing. Modeling and estimation.
• Advanced asset pricing theory
• Estimating latent asset-pricing factors
• Agency-based asset pricing
• LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL
• Asset Pricing with Heterogeneous Investment Horizons

Cites work

• An equilibrium characterization of the term structure
• Asset Prices in an Exchange Economy
• Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
• Extrapolative asset pricing
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Macro-Finance*
• Measuring news sentiment
• Natural selection in financial markets: does it work?
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Survival in speculative markets
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited in

(2)

• LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL
• Extrapolative asset pricing

This page was built for publication: Extrapolative asset pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6166477)