Diverse beliefs and time variability of risk premia

DOI10.1007/s00199-010-0550-1zbMath1213.91167OpenAlexW3124408740MaRDI QIDQ540416

Maurizio Motolese, Mordecai Kurz

Publication date: 3 June 2011

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10807/13788

zbMATH Keywords

asset pricingempirical distributionrisk premiummarket beliefperception models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Order statistics; empirical distribution functions (62G30)

Related Items (15)

Heterogeneity and learning with complete markets ⋮ Welfare effects of short-sale constraints under heterogeneous beliefs ⋮ Modeling diverse expectations in an aggregated New Keynesian model ⋮ Rational overconfidence and social security: subjective beliefs, objective welfare ⋮ Beauty contests under private information and diverse beliefs: How different? ⋮ On rationally confident beliefs and rational overconfidence ⋮ Coexistence of equilibria in a New Keynesian model with heterogeneous beliefs ⋮ Underestimation of probabilities modifications: characterization and economic implications ⋮ Monetary policy and heterogeneous expectations ⋮ Business cycle amplification with heterogeneous expectations ⋮ Animal spirits and monetary policy ⋮ Financial leverage and market volatility with diverse beliefs ⋮ The diversity of forecasts from macroeconomic models of the US economy ⋮ Price stabilizing, Pareto improving policies ⋮ Expectational coordination in simple economic contexts. Concepts and analysis with emphasis on strategic substituabilities

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