Getting Paranoid When Disasters Strike: A Learning-Based Explanation for Asset Pricing Puzzles

2011 ◽  
Author(s):  
Redouane Elkamhi ◽  
Du Du
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Puzzles

Survey Expectations of Returns and Asset Pricing Puzzles

2014 ◽  
Author(s):  
Ralph S. J. Koijen ◽  
Maik Schmeling ◽  
Evert B. Vrugt
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Puzzles

scholarly journals How Much Would You Pay to Resolve Long-Run Risk?

2014 ◽  
Vol 104 (9) ◽  
pp. 2680-2697 ◽  
Author(s):  
Larry G. Epstein ◽  
Emmanuel Farhi ◽  
Tomasz Strzalecki
Keyword(s):  
Asset Pricing ◽  
Temporal Resolution ◽  
Recursive Utility ◽  
Elasticity Of Intertemporal Substitution ◽  
Careful Scrutiny ◽  
Long Run ◽  
Quantitative Properties ◽  
Long Run Risks ◽  
Asset Pricing Puzzles ◽  
Long Run Risk

Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles has ignored the full implications of their parameter specifications. Recursive utility implies that the temporal resolution of risk matters and a quantitative assessment thereof should be part of the calibration process. This paper gives a sense of the magnitudes of implied timing premia. Its objective is to inject temporal resolution of risk into the discussion of the quantitative properties of long-run risks and related models. (JEL D81, G11, G12)

scholarly journals Explaining asset pricing puzzles associated with the 1987 market crash

2011 ◽  
Vol 101 (3) ◽  
pp. 552-573 ◽  
Author(s):  
Luca Benzoni ◽  
Pierre Collin-Dufresne ◽  
Robert S. Goldstein
Keyword(s):  
Asset Pricing ◽  
Asset Pricing Puzzles
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