File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.econlet.2009.12.015
- Scopus: eid_2-s2.0-77249088143
- WOS: WOS:000276139900008
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Asset pricing under information-processing constraints
Title | Asset pricing under information-processing constraints |
---|---|
Authors | |
Keywords | Asset Pricing Permanent Income Rational Inattention |
Issue Date | 2010 |
Publisher | Elsevier 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/177771 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.729 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Luo, Y | en_US |
dc.contributor.author | Young, ER | en_US |
dc.date.accessioned | 2012-12-19T09:39:51Z | - |
dc.date.available | 2012-12-19T09:39:51Z | - |
dc.date.issued | 2010 | en_US |
dc.identifier.citation | Economics Letters, 2010, v. 107 n. 1, p. 26-29 | en_US |
dc.identifier.issn | 0165-1765 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/177771 | - |
dc.description.abstract | This 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.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ecolet | en_US |
dc.relation.ispartof | Economics Letters | en_US |
dc.subject | Asset Pricing | en_US |
dc.subject | Permanent Income | en_US |
dc.subject | Rational Inattention | en_US |
dc.title | Asset pricing under information-processing constraints | en_US |
dc.type | Article | en_US |
dc.identifier.email | Luo, Y: yluo@econ.hku.hk | en_US |
dc.identifier.authority | Luo, Y=rp01083 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.econlet.2009.12.015 | en_US |
dc.identifier.scopus | eid_2-s2.0-77249088143 | en_US |
dc.identifier.hkuros | 170293 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77249088143&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 107 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 26 | en_US |
dc.identifier.epage | 29 | en_US |
dc.identifier.isi | WOS:000276139900008 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Luo, Y=23767888300 | en_US |
dc.identifier.scopusauthorid | Young, ER=16744833200 | en_US |
dc.identifier.citeulike | 6499204 | - |
dc.identifier.issnl | 0165-1765 | - |