Parameter Learning in General Equilibrium: The Asset Pricing Implications
نویسنده
چکیده
Parameter learning strongly ampli es the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively signi cant additional macro risks that help explain standard asset pricing puzzles. JEL: G12
منابع مشابه
Asset pricing dynamics in complete markets
The standard general equilibrium asset pricing models typically undertake two common assumptions of homogeneous agents and rational expectations equilibrium. However, this context sometimes yields outcomes that are inconsistent with reality like negligible trading volume. In order to explain the overwhelming evidence of trading volume, I would need to develop a model where the usual no-trade th...
متن کاملProspect theory and asset prices pdf
We study asset prices in an economy where investors derive direct utility not. Our model is influenced by prospect theory and by experimental evidence on how.We study asset prices in an economy where investors derive direct utility not. Of our model is influenced by prospect theory and by experimental evidence on.PROSPECT THEORY AND ASSET PRICES Authors: N. The point of this note is to explain ...
متن کاملInvestigating the effect of herd behavior in the Iranian economy on the efficiency criteria of the asset pricing model
The capital asset pricing model provides an equilibrium model to show the relationship between risk and return on assets. One of the economic areas is herd behavior, which has attracted a lot of attention in recent decades. Therefore, the present study deals with the herd behavior in the Iranian economy on the efficiency criteria of the asset pricing model. The research method used in this rese...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملEquilibrium Asset Pricing Under Heterogeneous Information
We analyze theoretically and empirically the implications of heterogeneous information for equilibrium asset pricing and portfolio choice. Our theoretical framework, directly inspired by Admati (1985), implies that with partial information aggregation, portfolio separation fails, buy-and-hold strategies are not optimal, and investors should structure their portfolios using the information conta...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2012