The peso problem hypothesis and stock market returns

DOI10.1016/S0165-1889(03)00041-1zbMATH Open1179.91113MaRDI QIDQ951490FDOQ951490

Authors: Pietro Veronesi 

Publication date: 24 October 2008

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

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zbMATH Keywords

uncertaintylearningpeso problem

Mathematics Subject Classification ID

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

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• Title not available (Why is that?)
• Smart Money, Noise Trading and Stock Price Behaviour
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory

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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