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Intertemporal Asset Pricing with Heterogeneous Beliefs
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Cited by:
- Michael Bauer & Mikhail Chernov, 2024.
"Interest Rate Skewness and Biased Beliefs,"
Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
- Bauer, Michael & Chernov, Mikhail, 2021. "Interest rate skewness and biased beliefs," IMFS Working Paper Series 163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
- Söderlind, Paul, 2009.
"The C-CAPM without ex post data,"
Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
- Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
- Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
- Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen.
- Dan Li & Geng Li, 2011. "Belief dispersion among household investors and stock trading volume," Finance and Economics Discussion Series 2011-39, Board of Governors of the Federal Reserve System (U.S.).
- Anna Pavlova & Roberto Rigobon, 2008.
"The Role of Portfolio Constraints in the International Propagation of Shocks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
- Rigobon, Roberto & Pavlova, Anna, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, C.E.P.R. Discussion Papers.
- Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series 233, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kurz, Mordecai, 2008.
"Beauty contests under private information and diverse beliefs: How different?,"
Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 762-784, July.
- Kurz, Mordecai, 2006. "Beauty contests under private information and diverse beliefs: how different?," MPRA Paper 233, University Library of Munich, Germany, revised Apr 2006.
- Anna Pavlova & Roberto Rigobon, 2007.
"Asset Prices and Exchange Rates,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
- Anna Pavlova & Roberto Rigobon, 2003. "Asset Prices and Exchange Rates," NBER Working Papers 9834, National Bureau of Economic Research, Inc.
- Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
- Pavlova, Anna & Rigobon, Roberto, 2003. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Goetzmann, William N. & Massa, Massimo, 2002.
"Daily Momentum and Contrarian Behavior of Index Fund Investors,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 375-389, September.
- William N. Goetzmann & Massimo Massa, 1999. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm13, Yale School of Management.
- William N. Goetzmann & Massimo Massa, 2000. "Daily Momentum and Contrarian Behavior of Index Fund Investors," NBER Working Papers 7567, National Bureau of Economic Research, Inc.
- Massimo Massa & William Goetzmann, 2000. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm134, Yale School of Management, revised 01 Apr 2001.
- Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011.
"The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous,"
Working Paper Series
rwp11-026, Harvard University, John F. Kennedy School of Government.
- Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
- Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles 5027955, Harvard Kennedy School of Government.
- Tran, Ngoc-Khanh & Zeckhauser, Richard, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Working Papers 11-44, University of Pennsylvania, Wharton School, Weiss Center.
- Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
- Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
- Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
- Söderlind, Paul, 2009.
"Why disagreement may not matter (much) for asset prices,"
Finance Research Letters, Elsevier, vol. 6(2), pages 73-82, June.
- Paul Söderlind, 2008. "Why Disagreement May Not Matter (much) for Asset Prices," University of St. Gallen Department of Economics working paper series 2008 2008-11, Department of Economics, University of St. Gallen.
- Elyès Jouini & Clotilde Napp, 2010.
"Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off,"
Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
- Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff," Post-Print halshs-00488481, HAL.
- Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, Center for Economic and Financial Research (CEFIR).
- Dan Li & Geng Li, 2014. "Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume," Finance and Economics Discussion Series 2014-35, Board of Governors of the Federal Reserve System (U.S.).
- Wei Xiong & Hongjun Yan, 2010.
"Heterogeneous Expectations and Bond Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
- Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
- Wei Xiong & Hongjun Yan & Review Financial, 2007. "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers amz2614, Yale School of Management, revised 01 Jun 2009.
- Haim Kedar-Levy, 2002. "Price Bubbles of New-Technology IPOs," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 7(2), pages 11-32, Summer.
- Epstein, Larry G. & Miao, Jianjun, 2003.
"A two-person dynamic equilibrium under ambiguity,"
Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
- Larry G. Epstein & JianJun Miao, 2001. "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers 478, University of Rochester - Center for Economic Research (RCER).
- Felipe Zurita, 2001. "Speculation in Financial Markets: A Survey," Documentos de Trabajo 197, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
- Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.
- Alexander Zimper, 2023. "Belief aggregation for representative agent models," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(2), pages 309-342, June.
- Frank Riedel, 2004.
"Heterogeneous time preferences and interest rates—the preferred habitat theory revisited,"
The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 3-22.
- Frank Riedel, 1999. "Heterogeneous Time Preferences and Interest Rates - The Preferred Habitat Theory Revisited," Finance 9903001, University Library of Munich, Germany.
- Riedel, Frank, 1999. "Heterogeneous time preferences and interest rates: The preferred habitat theory revisited," SFB 373 Discussion Papers 1999,23, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004.
"Equilibrium stock return dynamics under alternative rules of learning about hidden states,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
- Michael Brandt, Qi Zeng and Lu Zhang, 2001. "Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States," Computing in Economics and Finance 2001 41, Society for Computational Economics.
- Chacko, George & Das, Sanjiv Ranjan, 1999. "A theory of optimal timing and selectivity," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 929-965, June.
- Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
- Herve Roche, 2004. "Optimum Consumption and Portfolio Allocations under Incomplete Information," Econometric Society 2004 Latin American Meetings 79, Econometric Society.
- Chernov, Mikhail & Mueller, Philippe, 2012.
"The term structure of inflation expectations,"
Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
- Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
- Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
- Adem Atmaz & Suleyman Basak, 2018.
"Belief Dispersion in the Stock Market,"
Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
- Basak, Suleyman & Atmaz, Adem, 2017. "Belief Dispersion in the Stock Market," CEPR Discussion Papers 12056, C.E.P.R. Discussion Papers.
- Detemple, Jerome B., 2002. "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 219-248, September.
- repec:dau:papers:123456789/78 is not listed on IDEAS
- Hwai-Chung Ho & Chien-Chih Lin, 2011. "Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs," Applied Economics Letters, Taylor & Francis Journals, vol. 18(10), pages 955-959.
- Mordecai Kurz & Maurizio Motolese, 2011.
"Diverse beliefs and time variability of risk premia,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 47(2), pages 293-335, June.
- Mordecai Kurz & Maurizio Motolese, 2007. "Diverse Beliefs and Time Variability of Risk Premia," Discussion Papers 06-044, Stanford Institute for Economic Policy Research.
- Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics.
- Giordani, Paolo & Söderlind, Paul, 2002.
"Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel,"
SSE/EFI Working Paper Series in Economics and Finance
519, Stockholm School of Economics, revised 01 Oct 2003.
- Giordani, Paolo & Söderlind, Paul, 2003. "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SIFR Research Report Series 19, Institute for Financial Research.
- Söderlind, Paul & Giordani, Paolo, 2003. "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," CEPR Discussion Papers 4068, C.E.P.R. Discussion Papers.
- Huang, Jennifer & Wang, Jiang, 2010.
"Market liquidity, asset prices, and welfare,"
Journal of Financial Economics, Elsevier, vol. 95(1), pages 107-127, January.
- Jennifer Huang & Jiang Wang, 2008. "Market Liquidity, Asset Prices and Welfare," NBER Working Papers 14058, National Bureau of Economic Research, Inc.
- Adem Atmaz & Huseyin Gulen & Stefano Cassella & Fangcheng Ruan, 2024.
"Contrarians, Extrapolators, and Stock Market Momentum and Reversal,"
Management Science, INFORMS, vol. 70(9), pages 5949-5984, September.
- Atmaz, Adem & Cassella, Stefano & Gulen, H. & Ruan, Fangcheng, 2024. "Contrarians, extrapolators, and stock market momentum and reversal," Other publications TiSEM 03234c35-3504-48b5-ba41-4, Tilburg University, School of Economics and Management.
- Hongjun Yan, 2010.
"Is Noise Trading Cancelled Out by Aggregation?,"
Management Science, INFORMS, vol. 56(7), pages 1047-1059, July.
- Hongjun Yan, 2008. "Is Noise Trading Cancelled Out by Aggregation?," Yale School of Management Working Papers amz2604, Yale School of Management, revised 01 Jan 2009.
- Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2023. "Beliefs Aggregation and Return Predictability," Journal of Finance, American Finance Association, vol. 78(1), pages 427-486, February.
- Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014.
"A Welfare Criterion For Models With Distorted Beliefs,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(4), pages 1753-1797.
- Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014. "A Welfare Criterion for Models with Distorted Beliefs," NBER Working Papers 20691, National Bureau of Economic Research, Inc.
- Wei Xiong & Alp Simsek & Markus Brunnermeier, 2014. "A Welfare Criterion for Models with Distorted Beliefs," 2014 Meeting Papers 1418, Society for Economic Dynamics.
- Weinbaum, David, 2009. "Investor heterogeneity, asset pricing and volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 33(7), pages 1379-1397, July.
- Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
- Wei Xiong & Hongjun Yan, 2010.
"Heterogeneous Expectations and Bond Markets,"
Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
- Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
- Wei Xiong & Hongjun Yan & Review Financial, 2007. "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers amz2614, Yale School of Management, revised 01 Jun 2009.
- repec:dau:papers:123456789/3495 is not listed on IDEAS
- Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011.
"Predictability of Returns and Cash Flows,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
- Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010. "Predictability of Returns and Cash Flows," NBER Working Papers 16648, National Bureau of Economic Research, Inc.
- Basak, Suleyman & Croitoru, Benjamin, 2006.
"On the role of arbitrageurs in rational markets,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 143-173, July.
- Basak, Suleyman & Croitoru, Benjamin, 2004. "On the Role of Arbitrageurs in Rational Markets," CEPR Discussion Papers 4768, C.E.P.R. Discussion Papers.
- Yeung Lewis Chan & Leonid Kogan, 2002.
"Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices,"
Journal of Political Economy, University of Chicago Press, vol. 110(6), pages 1255-1285, December.
- Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
- Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
- Basak, Suleyman, 2000. "A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 63-95, January.
- repec:mul:jdp901:doi:10.12831/73630:y:2013:i:1:p:11-25 is not listed on IDEAS
- Elyès Jouini & Clotilde Napp, 2008. "Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model," Post-Print halshs-00176630, HAL.
- De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms' foreign investment decisions?," Working Paper Series 815, European Central Bank.
- Giordani, Paolo & Soderlind, Paul, 2006. "Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 1027-1043, June.
- Lubos Pastor & Pietro Veronesi, 2009.
"Learning in Financial Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
- Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," NBER Working Papers 14646, National Bureau of Economic Research, Inc.
- Veronesi, Pietro & Pástor, Luboš, 2009. "Learning in Financial Markets," CEPR Discussion Papers 7127, C.E.P.R. Discussion Papers.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series 186, Quantitative Finance Research Centre, University of Technology, Sydney.
- Fouda, Henri & Kryzanowski, Lawrence & Chau To, Minh, 2001. "Futures market equilibrium with heterogeneity and a spot market at harvest," Journal of Economic Dynamics and Control, Elsevier, vol. 25(5), pages 805-824, May.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013.
"Time-varying beta: a boundedly rational equilibrium approach,"
Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010. "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series 275, Quantitative Finance Research Centre, University of Technology, Sydney.
- Elyes Jouini & Clotilde Napp, 2004.
"Hétérogénéité des croyances, prix du risque et volatilité des marchés,"
Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 125-137.
- Elyès Jouini & Clotilde Napp, 2004. "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print halshs-00176465, HAL.
- Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
- Shin S. Ikeda & Yan Zhang, 2012. "Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China," GRIPS Discussion Papers 12-12, National Graduate Institute for Policy Studies.
- A. A. Brown, 2009. "Heterogeneous Beliefs with Partial Observations," Papers 0907.4950, arXiv.org.
- Qin, Zhenjiang, 2013. "Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4675-4694.
- Selima Ben Mansour & Elyès Jouini & Jean-Michel Marin & Clotilde Napp & Christian Robert, 2008.
"Are risk-averse agents more optimistic? A Bayesian estimation approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(6), pages 843-860.
- Selima Benmansour & Elyès Jouini & Clotilde Napp & Jean-Michel Marin & Christian P. Robert, 2007. "Are risk averse agents more optimistic? A Bayesian estimation approach," Working Papers halshs-00163678, HAL.
- Elyès Jouini & Selima Ben Mansour & Clotilde Napp & Jean-Michel Marin & Christian P. Robert, 2008. "Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach," Post-Print halshs-00176629, HAL.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009.
"Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility,"
Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, April.
- Uppal, Raman & Dumas, Bernard & Kurshev, Alexander, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," CEPR Discussion Papers 6455, C.E.P.R. Discussion Papers.
- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
- Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Swiss Finance Institute Research Paper Series 07-37, Swiss Finance Institute.
- Felipe Zurita, 2004. "Essays on Speculation," Levine's Working Paper Archive 618897000000000849, David K. Levine.
- Hongjun Yan, 2010.
"Is Noise Trading Cancelled Out by Aggregation?,"
Management Science, INFORMS, vol. 56(7), pages 1047-1059, July.
- Hongjun Yan, 2008. "Is Noise Trading Cancelled Out by Aggregation?," Yale School of Management Working Papers amz2604, Yale School of Management, revised 01 Jan 2009.
- Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
- Ki Beom Binh & Hogyu Jhang, 2015. "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 335-352, November.
- Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
- Ziegler, Alexandre, 2002. "State-price densities under heterogeneous beliefs, the smile effect, and implied risk aversion," European Economic Review, Elsevier, vol. 46(8), pages 1539-1557, September.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, New Economic School (NES).
- Jouini, Elyès & Marin, Jean-Michel & Napp, Clotilde, 2010.
"Discounting and divergence of opinion,"
Journal of Economic Theory, Elsevier, vol. 145(2), pages 830-859, March.
- Elyès Jouini & Jean-Michel Marin & Clotilde Napp, 2010. "Discounting and Divergence of Opinion," Post-Print halshs-00176636, HAL.
- repec:dau:papers:123456789/2324 is not listed on IDEAS
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney.
- Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.
- 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.