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Robust identification of investor beliefs
This paper develops a method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward-looking asset prices in conjunction with asset pricing models. We step back from presuming rational expectations and entertain potential belief di...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
National Academy of Sciences
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7776604/ https://www.ncbi.nlm.nih.gov/pubmed/33318183 http://dx.doi.org/10.1073/pnas.2019910117 |