An exploration of the effects of pessimism and doubt on asset returns.

Preprint OPEN
Andrew B. Abel;
  • Subject: Asset pricing ; Rational expectations (Economic theory)
    • jel: jel:G12

The subjective distribution of growth rates of aggregate consumption is characterized by pessimism if it is first-order stochastically dominated by the objective distribution. Uniform pessimism is a leftward translation of the objective distribution of the logarithm of ... View more
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