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- catalog abstract "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.".
- catalog contributor b10677219.
- catalog contributor b10677220.
- catalog contributor b10677221.
- catalog contributor b10677222.
- catalog created "c1998.".
- catalog date "1998".
- catalog date "c1998.".
- catalog dateCopyrighted "c1998.".
- catalog description "Includes bibliographical references (p. 22-23).".
- catalog description "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.".
- catalog extent "23 p. :".
- catalog isPartOf "NBER working paper series ; working paper 6354".
- catalog isPartOf "Working paper series (National Bureau of Economic Research) ; working paper no. 6354.".
- catalog issued "1998".
- catalog issued "c1998.".
- catalog language "eng".
- catalog publisher "Cambridge, MA : National Bureau of Economic Research,".
- catalog title "Asset pricing with distorted beliefs : are equity returns too good to be true? / Stephen G. Cecchetti, Pok-sang Lam, Nelson C. Mark.".
- catalog type "text".