The peso problem hypothesis and stock market returns

DOI10.1016/S0165-1889(03)00041-1MaRDI QIDQ951490zbMATH OpenFDO

Authors Pietro Veronesi

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

uncertaintylearningpeso problem

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial science and mathematical finance (91G99)

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Cites work

• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Generalized autoregressive conditional heteroscedasticity
• Smart Money, Noise Trading and Stock Price Behaviour

Cited in

(6)

• Properties of equilibrium asset prices under alternative learning schemes
• Long-run risk and hidden growth persistence
• Risk premia in general equilibrium
• Hidden persistent disasters and asset prices
• A note on Stein's overreaction puzzle
• Stock market overreaction and fundamental valuation. Theory and empirical evidence

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