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Article: Asset pricing under information-processing constraints

TitleAsset pricing under information-processing constraints
Authors
Luo, YYoung, ER
KeywordsAsset Pricing
Permanent Income
Rational Inattention
Issue Date2010
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecolet
Citation
Economics Letters, 2010, v. 107 n. 1, p. 26-29 How to Cite?
DOI: http://dx.doi.org/10.1016/j.econlet.2009.12.015
AbstractThis paper studies the implications of rational inattention (RI) for asset pricing in a LQ-PIH model. We find that RI increases the size of risk adjustment to asset prices and expected excess returns, which helps resolve extant asset pricing puzzles. © 2009 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/177771
ISSN
0165-1765
2021 Impact Factor: 1.469
2020 SCImago Journal Rankings: 0.844
ISI Accession Number ID
WOS:000276139900008
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLuo, Yen_US
dc.contributor.authorYoung, ERen_US
dc.date.accessioned2012-12-19T09:39:51Z-
dc.date.available2012-12-19T09:39:51Z-
dc.date.issued2010en_US
dc.identifier.citationEconomics Letters, 2010, v. 107 n. 1, p. 26-29en_US
dc.identifier.issn0165-1765en_US
dc.identifier.urihttp://hdl.handle.net/10722/177771-
dc.description.abstractThis paper studies the implications of rational inattention (RI) for asset pricing in a LQ-PIH model. We find that RI increases the size of risk adjustment to asset prices and expected excess returns, which helps resolve extant asset pricing puzzles. © 2009 Elsevier B.V. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecoleten_US
dc.relation.ispartofEconomics Lettersen_US
dc.subjectAsset Pricingen_US
dc.subjectPermanent Incomeen_US
dc.subjectRational Inattentionen_US
dc.titleAsset pricing under information-processing constraintsen_US
dc.typeArticleen_US
dc.identifier.emailLuo, Y: yluo@econ.hku.hken_US
dc.identifier.authorityLuo, Y=rp01083en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.econlet.2009.12.015en_US
dc.identifier.scopuseid_2-s2.0-77249088143en_US
dc.identifier.hkuros170293-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77249088143&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume107en_US
dc.identifier.issue1en_US
dc.identifier.spage26en_US
dc.identifier.epage29en_US
dc.identifier.isiWOS:000276139900008-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridLuo, Y=23767888300en_US
dc.identifier.scopusauthoridYoung, ER=16744833200en_US
dc.identifier.citeulike6499204-
dc.identifier.issnl0165-1765-

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