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Information Quality and Long‐Run Risk: Asset Pricing Implications

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Cited by:

  1. Ravi Bansal & Ivan Shaliastovich, 2011. "Learning and Asset-price Jumps," The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2738-2780.
  2. Havranek, Tomas & Horvath, Roman & Irsova, Zuzana & Rusnak, Marek, 2015. "Cross-country heterogeneity in intertemporal substitution," Journal of International Economics, Elsevier, vol. 96(1), pages 100-118.
  3. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
  4. Wang, Hailong & Hu, Duni & Ma, Chaoqun & Cheng, Fengchao, 2020. "Disagreements with noisy signals and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  5. Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022. "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, vol. 143(1), pages 247-276.
  6. Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
  7. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," American Economic Review, American Economic Association, vol. 104(9), pages 2680-2697, September.
  8. Anisha Ghosh & George M Constantinides, 2021. "What Information Drives Asset Prices? [Information quality and long-run risk: Asset pricing implications]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(4), pages 837-885.
  9. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  10. Christian Gollier & Edward Schlee, 2011. "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, vol. 9(5), pages 871-902, October.
  11. Ai, Hengjie & Li, Kai & Yang, Fang, 2020. "Financial intermediation and capital reallocation," Journal of Financial Economics, Elsevier, vol. 138(3), pages 663-686.
  12. Huang, Tao & Li, Junye & Wu, Fei & Zhu, Ning, 2022. "R&D information quality and stock returns," Journal of Financial Markets, Elsevier, vol. 57(C).
  13. Gilbert, Thomas, 2011. "Information aggregation around macroeconomic announcements: Revisions matter," Journal of Financial Economics, Elsevier, vol. 101(1), pages 114-131, July.
  14. Constantin Anghelache & Alexandru Manole & Madalina Anghel & Mugurel Popovici & Marius Popovici, 2016. "Significant aspects regarding the analysis of bankruptcy risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 81-87, September.
  15. Jacoby, Gady & Lee, Gemma & Paseka, Alexander & Wang, Yan, 2019. "Asset pricing with an imprecise information set," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 82-93.
  16. Li, Kai & Tsou, Chi-Yang & Xu, Chenjie, 2023. "Learning and the capital age premium," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 76-90.
  17. Stefano d’Addona & Christos Giannikos, 2014. "Asset pricing and the role of macroeconomic volatility," Annals of Finance, Springer, vol. 10(2), pages 197-215, May.
  18. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
  19. Knut K. Aase, 2016. "Recursive utility using the stochastic maximum principle," Quantitative Economics, Econometric Society, vol. 7(3), pages 859-887, November.
  20. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
  21. Veronesi, Pietro, 2019. "Heterogeneous Households under Uncertainty," CEPR Discussion Papers 13466, C.E.P.R. Discussion Papers.
  22. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
  23. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  24. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  25. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
  26. Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  27. Kim, Yongjin & Kuehn, Lars-Alexander & Li, Kai, 2024. "Learning about the consumption risk exposure of firms," Journal of Financial Economics, Elsevier, vol. 152(C).
  28. Tamai, Toshiki, 2023. "The rate of discount on public investments with future bias in an altruistic overlapping generations model," European Journal of Political Economy, Elsevier, vol. 79(C).
  29. Babiak, Mykola & Kozhan, Roman, 2024. "Parameter learning in production economies," Journal of Monetary Economics, Elsevier, vol. 144(C).
  30. Panetti, Ettore, 2022. "Banks’ liquidity provision and panic runs with recursive preferences," Finance Research Letters, Elsevier, vol. 47(PA).
  31. Chen, Andrew N.K. & Wang, Shin-Yun & Yu, Po-Lung, 2014. "Evaluating multi-criteria ratings of financial investment options," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 46-58.
  32. Tamai, Toshiki, 2022. "Economic growth, equilibrium welfare, and public goods provision with intergenerational altruism," European Journal of Political Economy, Elsevier, vol. 71(C).
  33. Carlos Velasco & Xuexin Wang, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2024-09-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  34. Hening Liu & Yuzhao Zhang, 2022. "Financial Uncertainty with Ambiguity and Learning," Management Science, INFORMS, vol. 68(3), pages 2120-2140, March.
  35. Lars Peter Hansen & Jianjun Miao, 2022. "Asset pricing under smooth ambiguity in continuous time," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 335-371, September.
  36. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022. "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, vol. 143(1), pages 527-549.
  37. Pietro Veronesi, 2019. "Heterogeneous Households under Uncertainty," NBER Working Papers 25448, National Bureau of Economic Research, Inc.
  38. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
  39. Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 397-443, December.
  40. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
  41. Banerjee, Snehal & Breon-Drish, Bradyn & Kaniel, Ron & Kremer, Ilan, 2023. "On the voluntary disclosure of redundant information," Journal of Economic Theory, Elsevier, vol. 214(C).
  42. Aurelian DIACONU & Doina AVRAM, 2017. "General Aspects of Risk and Uncertainty in Making Financial – Economic Decisions," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 40-50, June.
  43. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  44. Einian, Majid & Nili, Masoud, 2016. "Elasticity of Intertemporal Substitution: An Investigation in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(2), pages 207-223, April.
  45. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2024. "Why do rational investors like variance at the peak of a crisis? A learning-based explanation," Journal of Monetary Economics, Elsevier, vol. 142(C).
  46. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.
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