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The Peso problem hypothesis and stock market returns. (2004). Veronesi, Pietro.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:28:y:2004:i:4:p:707-725.

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  1. Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad.
    In: Journal of Monetary Economics.
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  2. Disaster resilience and asset prices. (2023). Wagner, Christian ; Pagano, Marco ; Zechner, Josef.
    In: Journal of Financial Economics.
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  3. Peso problems in the estimation of the C?CAPM. (2022). Schrimpf, Andreas ; Posch, Olaf ; Parra-Alvarez, Juan ; Parraalvarez, Juan Carlos ; Juan Carlos Parra Alvarez, ; Juan Carlos Parra Alvarez, .
    In: Quantitative Economics.
    RePEc:wly:quante:v:13:y:2022:i:1:p:259-313.

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  4. Learning, slowly unfolding disasters, and asset prices. (2022). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad.
    In: Journal of Financial Economics.
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  5. Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets. (2021). Wagner, Martin ; Sogner, Leopold ; Reynolds, Julia.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:13:y:2021:i:2:p:105-146.

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  6. Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian.
    In: CSEF Working Papers.
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  7. Structural Breaks in an Endogenous Growth Model. (2020). Jovanovic, Boyan ; Cogley, Timothy.
    In: NBER Working Papers.
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  8. Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets. (2020). Soegner, Leopold ; Reynolds, Julia ; Wagner, Martin.
    In: IHS Working Paper Series.
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  9. Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian.
    In: EIEF Working Papers Series.
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  10. Does the “ice-breaking” of South and North Korea affect the South Korean financial market?. (2020). Wang, Jian ; Shao, Wei.
    In: Chaos, Solitons & Fractals.
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  11. Disaster Resilience and Asset Prices. (2020). Zechner, Josef ; Pagano, Marco ; Wagner, Christian.
    In: CEPR Discussion Papers.
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  12. Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian.
    In: Papers.
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  13. Uncertainty of political subsidy, heterogeneous beliefs, and IPO anomalies. (2019). Wang, Kemin ; Liu, BO.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0731-8.

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  14. Asset pricing with time varying pessimism and rare disasters. (2019). Wu, Ji ; Liu, Hening ; Kong, Dongmin ; Zhang, Jian.
    In: International Review of Economics & Finance.
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  15. General Bayesian Learning in Dynamic Stochastic Models: Estimating the Value of Science Policy. (2018). Rudik, Ivan ; Lemoine, Derek ; Rosenthal, Maxwell.
    In: 2018 Meeting Papers.
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  16. Asset Pricing with Countercyclical Household Consumption Risk. (2015). Constantinides, George ; Ghosh, Anisha.
    In: 2015 Meeting Papers.
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  17. Learning about Rare Disasters: Implications For Consumption and Asset Prices. (2015). Pakos, Michal ; Kejak, Michal ; Gillman, Max.
    In: Review of Finance.
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  18. The Great Depression and the Great Recession: A View from Financial Markets. (2015). Bianchi, Francesco.
    In: NBER Working Papers.
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  19. Disaster Risk and its Implications for Asset Pricing. (2015). Wachter, Jessica ; Tsai, Jerry.
    In: NBER Working Papers.
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  20. Rare Events, Financial Crises, and the Cross-Section of Asset Returns. (2015). Bianchi, Francesco.
    In: CEPR Discussion Papers.
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  21. Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach. (2014). Sonksen, Jantje ; Grammig, Joachim.
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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  22. Consumption-based asset pricing with rare disaster risk. (2014). Sonksen, Jantje ; Grammig, Joachim.
    In: CFS Working Paper Series.
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  23. Consumption-based asset pricing with rare disaster risk. (2014). Sonksen, Jantje ; Grammig, Joachim.
    In: CFR Working Papers.
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  24. Issues in Identifying Economic Crises: Insights from History. (2014). Szafarz, Ariane ; OOSTERLINCK, Kim ; De Scheemaekere, Xavier .
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  25. Asset Pricing with Countercyclical Household Consumption Risk. (2014). Constantinides, George ; Ghosh, Anisha.
    In: NBER Working Papers.
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  26. Rare Booms and Disasters in a Multi-sector Endowment Economy. (2014). Wachter, Jessica ; Tsai, Jerry.
    In: NBER Working Papers.
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  27. Learning about Rare Disasters: Implications For Consumption and Asset Prices. (2014). Kejak, Michal ; Pakos, Michal .
    In: Working Papers.
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  28. Hidden persistent disasters and asset prices. (2014). Suzuki, Masataka.
    In: Annals of Finance.
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  29. Learning about Rare Disasters: Implications for Consumptions and Asset Prices. (2014). Pakoš, Michal ; Pakos, Michal ; Kejak, Michal ; Gillman, Max.
    In: CEU Working Papers.
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  30. Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices. (2014). Pakoš, Michal ; Pakos, Michal ; Kejak, Michal ; Gillman, Max.
    In: CERGE-EI Working Papers.
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  31. How does contagion affect general equilibrium asset prices?. (2013). Meinerding, Christoph ; Branger, Nicole ; Kraft, Holger.
    In: SAFE Working Paper Series.
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  32. Conditional Betas and Investor Uncertainty. (2013). Chague, Fernando.
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  33. Long-Run Risk and Hidden Growth Persistence. (2013). Pakoš, Michal ; Pakos, Michal.
    In: MPRA Paper.
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  34. Option Prices in a Model with Stochastic Disaster Risk. (2013). Wachter, Jessica ; Seo, Sang Byung .
    In: NBER Working Papers.
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  35. Long-run risk and hidden growth persistence. (2013). Pakoš, Michal ; Pakos, Michal.
    In: Journal of Economic Dynamics and Control.
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  36. Time-varying rare disaster risk and stock returns. (2011). Jacobsen, Ben ; Lee, John B. ; Berkman, Henk .
    In: Journal of Financial Economics.
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  37. Expected returns, risk premia, and volatility surfaces implicit in option market prices. (2011). Krehbiel, Tim ; Camara, Antonio ; Li, Weiping.
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  38. Risk premia in general equilibrium. (2011). Posch, Olaf.
    In: Journal of Economic Dynamics and Control.
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  39. Rare Events, Financial Crises, and the Cross-Section of Asset Returns. (2010). Bianchi, Francesco.
    In: MPRA Paper.
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  40. Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns. (2010). Albuquerque, Rui.
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  41. Learning in Financial Markets. (2009). Pastor, Lubos ; Veronesi, Pietro ; Pstor, ubo.
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  42. Assessing the prudence of economic forecasts in the EU. (2009). mamatzakis, emmanuel ; Christodoulakis, George.
    In: Journal of Applied Econometrics.
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  43. Extreme coexceedances in new EU member states stock markets. (2009). Ranaldo, Angelo ; Christiansen, Charlotte.
    In: Journal of Banking & Finance.
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  44. Passive Investors, Active Traders and Strategic Delegation of Price Discovery. (2009). Jezek, M..
    In: Cambridge Working Papers in Economics.
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  45. Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?. (2008). Wachter, Jessica.
    In: NBER Working Papers.
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  46. Can rare events explain the equity premium puzzle?. (2008). Julliard, Christian ; Ghosh, Anisha.
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  47. Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-. (2008). WARREN, GEOFFREY J..
    In: International Review of Finance.
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  48. Risk Based Explanations of the Equity Premium. (2007). Mehra, Rajnish ; Donaldson, John.
    In: NBER Working Papers.
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  49. Multifrequency news and stock returns. (2007). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Financial Economics.
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  50. Properties of equilibrium asset prices under alternative learning schemes. (2007). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:1:p:161-217.

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  51. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
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  52. Entre la peste et le choléra : le détenteur d’obligations peut préférer la répudiation au défaut…. (2005). OOSTERLINCK, Kim ; Ureche-Rangau, Loredana ; ureche -Rangau, Loredana .
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  53. Evaluation of Currency Regimes: The Unique Role of Sudden Stops. (2005). Rubinstein, Yona ; Razin, Assaf.
    In: NBER Working Papers.
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  54. Multifrequency News and Stock Returns. (2005). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
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  55. Properties of equilibrium asset prices under alternative learning schemes. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
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    RePEc:red:issued:v:8:y:2005:i:2:p:420-451.

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  27. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?. (2005). Uppal, Raman ; Kurshev, Alexander ; Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11803.

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  28. Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique. (2005). hendershott, patric ; MacGregor, Bryan D..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11329.

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  29. Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?. (2005). DeSantis, Massimiliano ; De Santis, Massimiliano .
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:5.

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  30. High equity premia and crash fears. Rational foundations. (2005). Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-011.

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  31. Properties of equilibrium asset prices under alternative learning schemes. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-009.

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  32. Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle. (2005). Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-005.

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  33. Interpretable asset markets?. (2005). Yaron, Amir ; Bansal, Ravi ; Khatchatrian, Varoujan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:49:y:2005:i:3:p:531-560.

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  34. Individual Irrationality and Aggregate Outcomes. (2005). Tyran, Jean-Robert ; Fehr, Ernst.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:19:y:2005:i:4:p:43-66.

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  35. The Peso problem hypothesis and stock market returns. (2004). Veronesi, Pietro.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:4:p:707-725.

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  36. A simple framework for analysing bull and bear markets. (2003). Sossounov, Kirill ; pagan, adrian.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:1:p:23-46.

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  37. New Eras and Stock Market Bubbles. (2003). Sampson, Michael.
    In: Structural Change and Economic Dynamics.
    RePEc:eee:streco:v:14:y:2003:i:3:p:297-315.

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  38. International asset prices and portfolio choices under Bayesian learning. (2003). Guidolin, Massimo.
    In: Research in Economics.
    RePEc:eee:reecon:v:57:y:2003:i:4:p:383-437.

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  39. Consumption-based asset pricing. (2003). Campbell, John Y..
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-13.

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  40. Asset Price Fluctuations in Japan: 1980-2000. (2003). .
    In: Working Papers.
    RePEc:bro:econwp:2003-25.

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  41. From Efficient Markets Theory to Behavioral Finance. (2003). Shiller, Robert.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:17:y:2003:i:1:p:83-104.

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  42. Interpretable Asset Markets?. (2002). Yaron, Amir ; Bansal, Ravi ; Khatachtrian, Varoujan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9383.

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  43. The share market boom and the recent disinflation in the OECD countries: the tax-effects, the inflation-illusion and the risk-aversion hypotheses reconsidered1. (2002). Madsen, Jakob.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:42:y:2002:i:1:p:115-141.

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  44. Monetary policy and asset prices. (2002). Leahy, John ; Gilchrist, Simon.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:49:y:2002:i:1:p:75-97.

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  45. From Efficient Market Theory to Behavioral Finance. (2002). Shiller, Robert.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1385.

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  46. Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com”. (2001). Kamstra, Mark.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2001-21.

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  47. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles. (2000). Yaron, Amir ; Bansal, Ravi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8059.

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  48. Stock market booms and real economic activity: Is this time different?. (2000). Binswanger, Mathias.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:9:y:2000:i:4:p:387-415.

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  49. Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?. (1998). Mark, Nelson ; Cecchetti, Stephen ; Lam, Pok-sang.
    In: Working Papers.
    RePEc:osu:osuewp:98-04.

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  50. Earnings and Expected Returns. (1996). Lamont, Owen.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5671.

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