The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?
Abstract
We study a Lucas asset-pricing model that is standard in all respects, except that the representative agent's subjective beliefs about endowment growth are distorted. Using constant relative risk-aversion (CRRA) utility, with a CRRA coefficient below 10; fluctuating beliefs that exhibit, on average, excessive pessimism over expansions; and excessive optimism over contractions (both ending more quickly than the data suggest), our model is able to match the first and second moments of the equity premium and risk-free rate, as well as the persistence and predictability of excess returns found in the data. (JEL E44, G12)
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Cites
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
Cited by
Ambiguity, Learning, and Asset Returns
(2012) · Econometrica · doi:10.3982/ecta7618 · Cited by 404
Metadata
- Authors
- Cecchetti, S. G., Lam, P.-S., & Mark, N. C.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2000-09-01
- Volume
- 90
- Issue
- 4
- Pages
- 787-805
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W3122414763
- Cited by
- 329
- References
- 1
- FWCI
- 17.11
- Type
- journal article
- Language
- en
- Open access
- closed
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- Cecchetti, S. G., Lam, P.-S., & Mark, N. C. (2000). Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True? American Economic Review. https://doi.org/10.1257/aer.90.4.787
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
