Recursive preferences,learning and large deviations |
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| Authors: | Chetan Dave Kwok Ping Tsang |
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| Institution: | 1. New York University (Abu Dhabi), PO Box 903, New York, NY 10276, USA;2. Department of Economics, Virginia Tech, Blacksburg, VA, 24061, USA |
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| Abstract: | We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price–dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets. |
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| Keywords: | D80 D83 D84 |
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