Existing literature continues to be unable to offer a convincing explanation for the volatility of the stochastic …

persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations …

gain learning may contribute towards explaining the stock price and return volatility as well as the predictability of …

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …

resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …

. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient …, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns. …