Recursive preferences, learning and large deviations

Chetan Dave, Kwok Ping Tsang

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish (US)
Pages (from-to)329-334
Number of pages6
JournalEconomics Letters
Issue number3
StatePublished - Sep 2014


  • Adaptive learning
  • Asset prices
  • Fat tails
  • Large deviations
  • Recursive preferences

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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