Equilibrium stock return dynamics under alternative rules of learning about hidden states

DOI10.1016/J.JEDC.2003.09.003MaRDI QIDQ953695zbMATH OpenOpenAlexFDO

Authors Michael W. Brandt, Qi Zeng, Lu Zhang

Publication date 6 November 2008

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

Full work available at URL https://doi.org/10.1016/j.jedc.2003.09.003

zbMATH Keywords

behavioral biasestime-varying moments or returns

Mathematics Subject Classification ID

Special types of economic markets (including Cournot, Bertrand) (91B54) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Learning, regime switches, and equilibrium asset pricing dynamics
• Properties of equilibrium asset prices under alternative learning schemes
• Learning and excess volatility
• Learning from experience in the stock market
• Behavioral learning equilibria

Cites work

• A Model of Intertemporal Asset Prices Under Asymmetric Information
• A Rational Route to Randomness
• An exploration of the effects of pessimism and doubt on asset returns.
• Asset Prices in an Exchange Economy
• Bounded rationality in individual decision making
• Evolution and time horizons in an agent-based stock market
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Further results on asset pricing with incomplete information
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Intertemporal asset pricing with heterogeneous beliefs
• Learning, regime switches, and equilibrium asset pricing dynamics
• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• Projection methods for solving aggregate growth models
• Rules of thumb in macroeconomic equilibrium
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited in

(14)

• Asset pricing with incomplete information and fat tails
• Learning, regime switches, and equilibrium asset pricing dynamics
• Learning from experience in the stock market
• Learning and forecasts about option returns through the volatility risk premium
• The behavior of individual and aggregate stock prices
• Long-run risk and hidden growth persistence
• Through the looking glass: indirect inference via simple equilibria
• Asset pricing with flexible beliefs
• Learning and excess volatility
• Asset pricing and the role of macroeconomic volatility
• Learning and Index Option Returns
• The peso problem hypothesis and stock market returns
• Predictability and habit persistence
• Properties of equilibrium asset prices under alternative learning schemes

This page was built for publication: Equilibrium stock return dynamics under alternative rules of learning about hidden states

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q953695)