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- W1452832017 abstract "This chapter focused on three contributions that advance the application of continuous time stochastic models to behavioral asset pricing theory. These contributions establish that key results in the discrete time framework extend to continuous time. It describes progress on this front, and offers some comments about the future direction of asset pricing research. A key message here is that future advances in asset pricing will combine the SDF methods favored by neoclassical asset pricing theorists with the psychological assumptions favored by behavioral asset pricing theorists. It first reviews key ideas developed. These reviews appear at the beginning of each major section. In addition, the general layout of the chapter describes new insights associated with the extension from discrete time to continuous time, from a single Brownian motion model featuring no public signal to a dual Brownian motion model featuring a public signal, and from a diffusion framework to a mixed framework featuring both diffusion and jumps. Some remarks about the future direction of asset pricing research appear at the end of the chapter. It also discusses a continuous time model featuring a single Brownian motion, the implications of adding a second Brownian motion to capture the introduction of a public signal, the application of a mixed diffusion-jump process model to study the dynamics of the premium for risk around the bubble period, and finally some subtle issues involving the restrictions in some of the assumptions used in these models." @default.
- W1452832017 created "2016-06-24" @default.
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- W1452832017 date "2008-01-01" @default.
- W1452832017 modified "2023-10-05" @default.
- W1452832017 title "Continuous Time Behavioral Equilibrium Models" @default.
- W1452832017 doi "https://doi.org/10.1016/b978-012374356-5.50034-6" @default.
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