Asset pricing with distorted beliefs: are equity returns too good to be true?
We study a Lucas asset pricing model that is standard in all respects representative agent's subjective beliefs about endowment growth are distorted. Using constant-relative-risk-aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive pessimism over expansions a...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
1998
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
6354 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | We study a Lucas asset pricing model that is standard in all respects representative agent's subjective beliefs about endowment growth are distorted. Using constant-relative-risk-aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive pessimism over expansions and excessive optimism over contractions, 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. |
| Physical Description: | 23 S. |
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| id | DE-604.BV011808886 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:16:07Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007973700 |
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| physical | 23 S. |
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| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Cecchetti, Stephen G. 1956- Verfasser (DE-588)124773753 aut Asset pricing with distorted beliefs are equity returns too good to be true? Stephen G. Cecchetti ; Pok-sang Lam ; Nelson C. Mark Cambridge, Mass. 1998 23 S. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6354 We study a Lucas asset pricing model that is standard in all respects representative agent's subjective beliefs about endowment growth are distorted. Using constant-relative-risk-aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive pessimism over expansions and excessive optimism over contractions, 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. Ökonometrisches Modell Assets (Accounting) Prices United States Forecasting Econometric models Rate of return United States Forecasting Econometric models Rational expectations (Economic theory) United States Econometric models USA Lam, Pok-sang Verfasser aut Mark, Nelson C. Verfasser aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6354 (DE-604)BV002801238 6354 http://papers.nber.org/papers/w6354.pdf kostenfrei Volltext |
| spellingShingle | Cecchetti, Stephen G. 1956- Lam, Pok-sang Mark, Nelson C. Asset pricing with distorted beliefs are equity returns too good to be true? National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Assets (Accounting) Prices United States Forecasting Econometric models Rate of return United States Forecasting Econometric models Rational expectations (Economic theory) United States Econometric models |
| title | Asset pricing with distorted beliefs are equity returns too good to be true? |
| title_auth | Asset pricing with distorted beliefs are equity returns too good to be true? |
| title_exact_search | Asset pricing with distorted beliefs are equity returns too good to be true? |
| title_full | Asset pricing with distorted beliefs are equity returns too good to be true? Stephen G. Cecchetti ; Pok-sang Lam ; Nelson C. Mark |
| title_fullStr | Asset pricing with distorted beliefs are equity returns too good to be true? Stephen G. Cecchetti ; Pok-sang Lam ; Nelson C. Mark |
| title_full_unstemmed | Asset pricing with distorted beliefs are equity returns too good to be true? Stephen G. Cecchetti ; Pok-sang Lam ; Nelson C. Mark |
| title_short | Asset pricing with distorted beliefs |
| title_sort | asset pricing with distorted beliefs are equity returns too good to be true |
| title_sub | are equity returns too good to be true? |
| topic | Ökonometrisches Modell Assets (Accounting) Prices United States Forecasting Econometric models Rate of return United States Forecasting Econometric models Rational expectations (Economic theory) United States Econometric models |
| topic_facet | Ökonometrisches Modell Assets (Accounting) Prices United States Forecasting Econometric models Rate of return United States Forecasting Econometric models Rational expectations (Economic theory) United States Econometric models USA |
| url | http://papers.nber.org/papers/w6354.pdf |
| volume_link | (DE-604)BV002801238 |
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