期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2008
卷号：1
出版社：European Central Bank
摘要：Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable pref- erences strongly improves empirical performance. Learning causes mo- mentum and mean reversion of returns and thereby excess volatility, per- sistence of price-dividend ratios, long-horizon return predictability and a risk premium, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though we restrict con- sideration to learning schemes that imply only small deviations from full rationality. The ndings are robust to the particular learning rule used and the value chosen for the single free parameter introduced by learn- ing, provided agents forecast future stock prices using past information on prices.
