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- W3121984496 abstract "We investigate the potential of the consumption CAPM with pessimism, doubt, and the availability heuristic in the agent's beliefs to resolve the equity premium and risk-free rate puzzles. Using the nonlinear GMM estimation techniques, we find that doubt and the availability heuristic play an important role in explaining the cross-section of asset returns. However, when taken alone, these deviations from rational expectations can not resolve the equity premium and risk-free rate puzzles. This result is robust to the assumption that the expected value of an uncertain prospect is nonlinear in the subjective outcome probabilities." @default.
- W3121984496 created "2021-02-01" @default.
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- W3121984496 date "2007-01-01" @default.
- W3121984496 modified "2023-09-26" @default.
- W3121984496 title "Departures from Rational Expectations and Asset Pricing Anomalies" @default.
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- W3121984496 doi "https://doi.org/10.2139/ssrn.965821" @default.
- W3121984496 hasPublicationYear "2007" @default.
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