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

gain learning may contribute towards explaining the stock price and return volatility as well as the predictability of …We study the extent to which self-referential adaptive learning can explain stylized asset pricing facts in a general … production economy and a Lucas type endowment economy. We find that recursive least squares learning has almost no effects on …

. Bayesian learning implies that beliefs about the likelihood of rare disasters drop to a much more pessimistic level once a … persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations … between rational and adaptive Bayesian learning. Rational learners account for the possibility of future changes in beliefs in …

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 …

specialization, wealth inequality, stock trading intensity, liquidity and return volatility. …

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 …

volatility of equity and long term bond risk premia as well as salient features of the nominal short rate, the dividend yield …