Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle

DOI10.1016/J.JEDC.2005.05.001MaRDI QIDQ956541zbMATH OpenOpenAlexFDO

Authors Paul Söderlind, Paolo Giordani

Publication date 25 November 2008

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

Full work available at URL https://www.alexandria.unisg.ch/8738/1/AbelComm200504.pdf

zbMATH Keywords

aggregation of beliefsequity premiumLivingston surveyriskfree ratesurvey of professional forecasters

Mathematics Subject Classification ID

Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

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Cites work

• An exploration of the effects of pessimism and doubt on asset returns.
• Asset Prices in an Exchange Economy
• Intertemporal asset pricing with heterogeneous beliefs
• Myopic Loss Aversion and the Equity Premium Puzzle
• Prospect theory and asset prices

Cited in

(8)

• An exploration of the effects of pessimism and doubt on asset returns.
• Biased Bayesian learning with an application to the risk-free rate puzzle
• Measuring and adjusting for overconfidence
• On Abel's concept of doubt and pessimism
• An exploration of the effect of doubt during disasters on equity premiums
• Do Investors Suffer from Money Illusion? A Direct Test of the Modigliani–Cohn Hypothesis*
• Uncertainty measures from partially rounded probabilistic forecast surveys
• Equity premium with distorted beliefs: a puzzle

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