Asset Pricing in an International Lucas Orchard with Dynamic Learning and Catching up with the Joneses under Agents’ Heterogeneous Expectations and Preferences

2012 ◽  
Author(s):  
Oliver Berndt
Keyword(s):  
Asset Pricing ◽  
Dynamic Learning ◽  
Heterogeneous Expectations ◽  
Catching Up

Speculation and the Bond Market: An Empirical No-Arbitrage Framework

2019 ◽  
Vol 65 (9) ◽  
pp. 4179-4203 ◽  
Author(s):  
Francisco Barillas ◽  
Kristoffer Nimark
Keyword(s):  
Asset Pricing ◽  
Risk Premia ◽  
Bond Yields ◽  
Heterogeneous Expectations ◽  
Heterogeneous Information ◽  
No Arbitrage ◽  
Common Information ◽  
Affine Model ◽  
Asset Pricing Models ◽  
The Common

An affine no-arbitrage asset pricing framework is developed that allows for agents to have rational but heterogeneous expectations. The framework can match both bond yields and the observed dispersion of yield expectations in survey data. Heterogeneous information introduces a speculative component in bond prices that is (i) statistically distinct from classical components such as risk premia and expectations about future short rates and (ii) quantitatively important, at times accounting for up to 125 basis points of U.S. yields. Allowing for heterogeneous expectations also changes the estimated relative importance of risk premia and expectations about future short rates in historical bond yields compared to a standard affine model. The framework imposes weaker restrictions than existing heterogeneous information asset pricing models and is thus well suited to empirically quantify the importance of relaxing the common information assumption. This paper was accepted by Tomasz Piskorski, finance.

Dynamic Learning Groups

ASHA Leader ◽  
2009 ◽  
Vol 14 (5) ◽  
pp. 2-2
Author(s):  
Larry Boles ◽  
Amy J. Hadley ◽  
Jeanne M. Johnson ◽  
Joan A. Luckhurst ◽  
Christine Krkovich
Keyword(s):  
Dynamic Learning ◽  
Learning Groups

Europe Catching Up to U.S. in CA-MRSA Cases

2011 ◽  
Vol 10 (3) ◽  
pp. 56-57
Author(s):  
NEIL OSTERWEIL
Keyword(s):  
Catching Up
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