Learning, Rare Disasters, and Asset Prices
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Cited by:
- Max Gillman & Michal Kejak & Michal Pakoš, 2015.
"Learning about Rare Disasters: Implications For Consumption and Asset Prices,"
Review of Finance, European Finance Association, vol. 19(3), pages 1053-1104.
- Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
- Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Working Papers 1002, University of Missouri-St. Louis, Department of Economics.
- Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
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More about this item
Keywords
Rare disasters; Bayesian learning; equity premium puzzle; time-varying risk premia; return predictability;All these keywords.
JEL classification:
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2014-01-10 (Macroeconomics)
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