Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt

DOI10.1016/J.JEDC.2005.05.008MaRDI QIDQ956553zbMATH OpenOpenAlexFDO

Authors Elyès Jouini, Clotilde Napp

Publication date 25 November 2008

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

Full work available at URL http://halshs.archives-ouvertes.fr/halshs-00151536/en/

zbMATH Keywords

heterogeneityconsensusasset pricingbeliefspessimism

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

Recommendations

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Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy*
• An exploration of the effects of pessimism and doubt on asset returns.
• Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
• Effects of financial innovations on market volatility when beliefs are heterogeneous
• Intertemporal asset pricing with heterogeneous beliefs
• On Abel's concept of doubt and pessimism

Cited in

(17)

• Weighted discounting -- on group diversity, time-inconsistency, and consequences for investment
• Heterogeneous beliefs, risk and learning in a simple asset pricing model
• Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle
• An exploration of the effects of pessimism and doubt on asset returns.
• Consumption-based CAPM with belief heterogeneity
• Outer synchronization for a class of discrete-time complex dynamic networks with unknown bounded interaction
• Heterogeneous beliefs, monetary policy, and stock price volatility
• Aggregation of heterogeneous beliefs
• Survival in speculative markets
• Long-run heterogeneity in an exchange economy with fixed-mix traders
• Investor heterogeneity, asset pricing and volatility dynamics
• Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
• Whom should we believe? aggregation of heterogeneous beliefs
• Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume
• Disagreement, correlation and asset prices
• Intertemporal asset pricing with heterogeneous beliefs
• Momentum and reversal in financial markets with persistent heterogeneity

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