[1]
|
Friend, I. and Blume, M.F. (1975) The Demand for Risky Assets. American Economic Review, 65, 900-922.
|
|
[2]
|
Cochrane, J.H. (2005) Asset Pricing. Princeton University Press, Princeton.
|
|
[3]
|
Bansal, R. and Yaron, A. (2004) Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. The journal of Finance, 59, 1481-1509. http://dx.doi.org/10.1111/j.1540-6261.2004.00670.x
|
|
[4]
|
Epstein, L.G. and Zin, S.E. (1989) Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework. Econometrica, 57, 937-969. http://dx.doi.org/10.2307/1913778
|
|
[5]
|
Eraker, B. (2008) Affine General Equilibrium Models. Management Science, 54, 2068-2080. http://dx.doi.org/10.1287/mnsc.1070.0796
|
|
[6]
|
Jacoby, G., Paseka, A., and Wang, Y. (2007) A Generalized Earning-Based Stock Valuation Model with Learning. Asper School of Business Working Paper, University of Manitoba, Winnipeg.
|
|
[7]
|
Bakshi, G. and Chen, Z. (2005) Stock Valuation in Dynamic Economies. Journal of Financial Markets, 8, 111-151. http://dx.doi.org/10.1016/j.finmar.2005.01.001
|
|
[8]
|
Timmermann, A.G. (1993) How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices. The Quarterly Journal of Economics, 108, 1135-1145. http://dx.doi.org/10.2307/2118462
|
|
[9]
|
Brennan, M.J. (1998) The Role of Learning in Dynamic Portfolio Decision. Review of Finance, 1, 295-306. http://dx.doi.org/10.1023/A:1009725805128
|
|
[10]
|
Veronesi, P. (1999) Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model. Review of Financial Studies, 12, 975-1007. http://dx.doi.org/10.1093/rfs/12.5.975
|
|
[11]
|
Brennan, M.J. and Xia, Y.H. (2001) Stock Price Volatility and Equity Premium. Journal of Monetary Economics, 47, 249-283. http://dx.doi.org/10.1016/S0304-3932(01)00042-3
|
|
[12]
|
Lewellen, J. and Shanken, J. (2002) Learning, Asset-Pricing Tests, and Market Efficiency. The Journal of Finance, 57, 1113-1145. http://dx.doi.org/10.1111/1540-6261.00456
|
|
[13]
|
Dong, M. and Hirshleifer, D. (2005) A Generalized Earnings-Based Stock Valuation Model. The Manchester School, 73, 1-31. http://dx.doi.org/10.1111/j.1467-9957.2005.00459.x
|
|
[14]
|
Liptser, R.S. and Shiriaiev, A.N. (2001) Statistics of Random Processes: I. General Theory. Vol. 5, Springer, Berlin.
|
|
[15]
|
Williams, J.T. (1977) Capital Asset Prices with Heterogeneous Beliefs. Journal of Financial Economics, 5, 219-239. http://dx.doi.org/10.1016/0304-405X(77)90019-8
|
|
[16]
|
Dothan, M.U. and Feldman, D. (1986) Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy. The Journal of Finance, 41, 369-382. http://dx.doi.org/10.2307/2328441
|
|
[17]
|
Detemple, J.B. (1986) Asset Pricing in a Production Economy with Incomplete Information. The Journal of Finance, 41, 383-391. http://dx.doi.org/10.2307/2328442
|
|
[18]
|
Gennotte, G. (1986) Optimal Portfolio Choice under Incomplete Information. The Journal of Finance, 41, 733-746. http://dx.doi.org/10.2307/2328506
|
|
[19]
|
Feldman, D. (2007) Incomplete Information Equilibria: Separation Theorems and Other Myths. Annals of Operations Research, 151, 119-149. http://dx.doi.org/10.1007/s10479-006-0119-3
|
|
[20]
|
Duffie, D. and Epstein, L.G. (1992) Asset Pricing with Stochastic Differential Utility. The Review of Financial Studies, 5, 411-436. http://dx.doi.org/10.1093/rfs/5.3.411
|
|
[21]
|
Campbell, J.Y. and Viceira, L.M. (2003) Strategic Asset Allocation: Portfolio Choice for Long-Term Investors. Oxford University Press, Oxford.
|
|
[22]
|
Zhu, Y. (2006) Dynamic Volatility Strategy with Recursive Utility. Working Paper, School of Economics & Management, Tsinghua University. Beijing. http://dx.doi.org/10.2139/ssrn.890040
|
|
[23]
|
Bakshi, G. and Chen, Z. (2007) Cash Flow Risk, Discounting Risk, and the Equity Premium Puzzle. In: Mehra, R., Ed., Handbook of Investments: Equity Premium. Elsevier, Linacre House, Jordan Hill, Oxford OX2 8DP, UK, 377-402. http://dx.doi.org/10.1016/B978-044450899-7.50018-X
|
|
[24]
|
Constantinides, G.M. and Ghosh, A. (2011) Asset Pricing Tests with Long Run Risk in Consumption Growth. The Review of Asset Pricing Studies, 1, 96-136. http://dx.doi.org/10.1093/rapstu/rar004
|
|
[25]
|
Lustig, H., Van Nieuwerburgh, S. and Verdelhan, A. (2013) The Wealth-Consumption Ratio. Review of Asset Pricing Studies, 3, 38-94. http://dx.doi.org/10.1093/rapstu/rat002
|
|
[26]
|
Duffie, D. and Epstein, L.G. (1992) Stochastic Differential Utility. Econometrica, 60, 353-394. http://dx.doi.org/10.2307/2951600
|
|