The DOI matches its Crossref record; 42 of the 42 references it cites were found in a registry or an index.
Stock Market Volatility and Learning
Open accessAbstract
We show that consumption‐based asset pricing models with time‐separable preferences generate realistic amounts of stock price volatility if one allows for small deviations from rational expectations. Rational investors with subjective beliefs about price behavior optimally learn from past price observations. This imparts momentum and mean reversion into stock prices. The model quantitatively accounts for the volatility of returns, the volatility and persistence of the price‐dividend ratio, and the predictability of long‐horizon returns. It passes a formal statistical test for the overall fit of a set of moments provided one excludes the equity premium.
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Cites
Arellano, M., & Bond, S. (1991) · The Review of Economic Studies · doi:10.2307/2297968 · Cited by 33,272
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Asset Prices in an Exchange Economy
Lucas, R. E. (1978) · Econometrica · doi:10.2307/1913837 · Cited by 5,014
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
Shiller, R. (1980) · National Bureau of Economic Research · doi:10.3386/w0456 · Cited by 3,986
Dividend yields and expected stock returns
Fama, E. F., & French, K. R. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90020-7 · Cited by 3,556
Stock Prices, Earnings, and Expected Dividends
Campbell, J., & Shiller, R. (1988) · Digital Access to Scholarship at Harvard (DASH) (Harvard University) · doi:10.2307/2328190 · Cited by 2,380
Learning and Expectations in Macroeconomics
Evans, G. W., & Honkapohja, S. (2001) · Princeton University Press eBooks · doi:10.1515/9781400824267 · Cited by 2,076
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Hansen, L. P., & Singleton, K. J. (1984) · Econometrica · doi:10.2307/1911486 · Cited by 2,064
Asset Prices under Habit Formation and Catching up with the Joneses
Abel, A. (1990) · National Bureau of Economic Research · doi:10.3386/w3279 · Cited by 2,001
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Hansen, L. P., & Singleton, K. J. (1982) · Econometrica · doi:10.2307/1911873 · Cited by 1,831
Cited by
Diagnostic Expectations and Stock Returns
BORDALO, P., GENNAIOLI, N., PORTA, R. L., & SHLEIFER, A. (2019) · The Journal of Finance · doi:10.1111/jofi.12833 · Cited by 396
Sawhney, R., Agarwal, S., Wadhwa, A., & Shah, R. R. (2020) · Proceedings of the 2020 Conference on Empirical Methods in Natural Language Processing (EMNLP) · doi:10.18653/v1/2020.emnlp-main.676 · Cited by 146
Metadata
- Authors
- ADAM, K., MARCET, A., & NICOLINI, J. P.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2016-01-14
- Volume
- 71
- Issue
- 1
- Pages
- 33-82
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2115839797
- Cited by
- 320
- References
- 42
- FWCI
- 41.57
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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