Equilibrium stock return dynamics under alternative rules of learning about hidden states
DOI10.1016/J.JEDC.2003.09.003zbMATH Open1201.91209OpenAlexW3124430593MaRDI QIDQ953695FDOQ953695
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
Recommendations
Special types of economic markets (including Cournot, Bertrand) (91B54) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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- Evolution and time horizons in an agent-based stock market
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Cited In (13)
- Predictability and habit persistence
- Properties of equilibrium asset prices under alternative learning schemes
- Long-run risk and hidden growth persistence
- Learning from experience in the stock market
- Asset pricing and the role of macroeconomic volatility
- Asset pricing with incomplete information and fat tails
- Through the looking glass: indirect inference via simple equilibria
- Learning and forecasts about option returns through the volatility risk premium
- Learning and excess volatility
- Learning and Index Option Returns
- Asset pricing with flexible beliefs
- The behavior of individual and aggregate stock prices
- The peso problem hypothesis and stock market returns
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