NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Bernard Dumas, Alexander Kurshev, Raman Uppal

NBER Working Paper No. 13401
Issued in September 2007

---- Acknowledgements -----

We are grateful to Wei Xiong, Tony Berrada, Julien Hugonnier and Erwan Morellec for useful discussions. We are also grateful for comments from Andrew Abel, Nick Barberis, Suleyman Basak, Tomas Bj¨ork, Andrea Buraschi, Joao Cocco, John Cochrane, George Constantinides, John Cotter, Alexander David, Mike Gallmeyer, Xavier Gabaix, Francisco Gomes, Lorenzo Garlappi, Joao Gomes, Tim Johnson, Leonid Kogan, Kostas Koufopoulos, Karen Lewis, Deborah Lucas, Pascal Maenhout, Massimo Massa, Stavros Panageas, Anna Pavlova, Ludovic Phalippou, Valery Polkovnichencko, Bryan Routledge, Andrew Scott, Jose Scheinkman, Hersh Shefrin, Matt Spiegel, Alex Stomper, Allan Timmermann, Skander van den Heuvel, Luis Viceira, Jiang Wang, Pierre-Olivier Weill, Hongjun Yan, Amir Yaron, Moto Yogo, Joseph Zechner, Stanley Zin and participants at presentations given at Bank of England, Columbia University, HEC Paris, INSEAD, Judge Institute at Cambridge University, London Business School, London School of Economics, Massachusetts Institute of Technology, Oxford University, Princeton University, Stanford University, University of California at Berkeley, University College Dublin, University of Frankfurt, University of Piraeus, University of Texas at Austin, University of Toulouse, University of Vienna, University of Zurich, Wharton School, Yale University, American Finance Association Meeting, Citigroup Smith Barney Quantitative Conference, Duke/UNC Asset Pricing Conference, European Finance Association Meeting, European Summer Symposium in Financial Markets at Gerzensee, European Central Bank, Isaac Newton Institute at Cambridge University, NBER workshop on Capital Markets and the Economy, NBER Summer Institute, NBER Asset Pricing Meeting, the Swiss Finance Institute and the Swiss National Bank. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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