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Asset Pricing with Fading Memory

Citations

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Cited by:

  1. Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
  2. Artem Kuriksha, 2021. "An Economy of Neural Networks: Learning from Heterogeneous Experiences," Papers 2110.11582, arXiv.org.
  3. Cheng, Ing-Haw & Hsiaw, Alice, 2022. "Distrust in experts and the origins of disagreement," Journal of Economic Theory, Elsevier, vol. 200(C).
  4. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  5. Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
  6. Lansing, Kevin J., 2024. "Replicating business cycles and asset returns with sentiment and low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
  7. Can Gao & Ian W. R. Martin, 2021. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
  8. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
  9. Battigalli, Pierpaolo & Generoso, Nicolò, 2024. "Information flows and memory in games," Games and Economic Behavior, Elsevier, vol. 145(C), pages 356-376.
  10. Mark Egan & Alexander MacKay & Hanbin Yang, 2022. "Recovering Investor Expectations from Demand for Index Funds," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2559-2599.
  11. Constantin Charles & Cary Frydman & Mete Kilic, 2024. "Insensitive Investors," Journal of Finance, American Finance Association, vol. 79(4), pages 2473-2503, August.
  12. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2024. "Belief Overreaction and Stock Market Puzzles," Journal of Political Economy, University of Chicago Press, vol. 132(5), pages 1450-1484.
  13. Nagel, Stefan & Xu, Zhengyang, 2023. "Dynamics of subjective risk premia," Journal of Financial Economics, Elsevier, vol. 150(2).
  14. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
  15. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
  16. Heinke, Steve & Olschewski, Sebastian & Rieskamp, Jörg, 2024. "Experiences, demand for risky investments, and implications for price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
  17. Jiang, Zhengyang & Peng, Cameron & Yan, Hongjun, 2024. "Personality differences and investment decision-making," LSE Research Online Documents on Economics 121634, London School of Economics and Political Science, LSE Library.
  18. Pooya Molavi & Alireza Tahbaz-Salehi & Andrea Vedolin, 2021. "Model Complexity, Expectations, and Asset Prices," NBER Working Papers 28408, National Bureau of Economic Research, Inc.
  19. Kim, Yongjin & Kuehn, Lars-Alexander & Li, Kai, 2024. "Learning about the consumption risk exposure of firms," Journal of Financial Economics, Elsevier, vol. 152(C).
  20. Weber, Martin & Kieren, Pascal & Mueller-Dethard, Jan, 2020. "Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets," CEPR Discussion Papers 14647, C.E.P.R. Discussion Papers.
  21. Klaus Adam & Oliver Pfäuti & Timo Reinelt, 2020. "Falling Natural Rates, Rising Housing Volatility and the Optimal Inflation Target," CRC TR 224 Discussion Paper Series crctr224_2020_235, University of Bonn and University of Mannheim, Germany.
  22. Charles, Constantin & Frydman, Cary & Kilic, Mete, 2024. "Insensitive investors," LSE Research Online Documents on Economics 120788, London School of Economics and Political Science, LSE Library.
  23. Zhang, Yue & Wang, Caiping & Chen, Yufei, 2024. "Foreign ownership, institutional distance and mutual fund performance: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
  24. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
  25. Yeji Sung, 2024. "Macroeconomic Expectations and Cognitive Noise," Working Paper Series 2024-19, Federal Reserve Bank of San Francisco.
  26. Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
  27. Oesinghaus, Andreas, 2024. "Analysts’ extrapolative expectations in the cross-section," Journal of Economics and Business, Elsevier, vol. 130(C).
  28. Magnus Dahlquist & Markus Ibert, 2024. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1887-1928.
  29. Radke, Lucas & Wicknig, Florian, 2021. "Experience-Based Heterogeneity in Expectations and Monetary Policy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242414, Verein für Socialpolitik / German Economic Association.
  30. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
  31. Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, vol. 140(1), pages 175-196.
  32. Anmol Bhandari & Jaroslav Borovicka & Paul Ho, 2019. "Survey Data and Subjective Beliefs in Business Cycle Models," Working Paper 19-14, Federal Reserve Bank of Richmond.
  33. Cheng, Hang & Guo, Hui & Shi, Yongdong, 2024. "Multifactor conditional equity premium model: Evidence from China's stock market," Journal of Banking & Finance, Elsevier, vol. 161(C).
  34. Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
  35. Lars A. Lochstoer & Tyler Muir, 2022. "Volatility Expectations and Returns," Journal of Finance, American Finance Association, vol. 77(2), pages 1055-1096, April.
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