Extrapolative asset pricing

DOI10.1016/J.JET.2023.105651zbMATH Open1520.91412MaRDI QIDQ6166477FDOQ6166477

Authors: Kai Li, Jun Liu 

Publication date: 6 July 2023

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

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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)

Cites Work

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

Cited In (2)

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

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