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Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True? / Stephen G. Cecchetti, Pok-sang Lam, Nelson C. Mark.
- Format:
- Book
- Author/Creator:
- Cecchetti, Stephen G.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w6354.
- NBER working paper series no. w6354
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Asset Pricing with Distorted Beliefs
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1998.
- 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."
- Notes:
- Print version record
- January 1998.
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