TY - JOUR AU1 - Shapiro, Alexander AB - This article analyzes a dynamic general equilibrium under a generalization of Merton’s (1987) investor recognition hypothesis. A class of informationally constrained investors is assumed to implement only a particular trading strategy. The model implies that, all else being equal, a risk premium on a less visible stock need not be higher than that on a more visible stock with a lower volatility—contrary to results derived in a static mean-variance setting. A consumption-based capital asset pricing model (CAPM) augmented by the generalized investor recognition hypothesis emerges as a viable contender for explaining the cross-sectional variation in unconditional expected equity returns. TI - The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence JF - The Review of Financial Studies DO - 10.1093/rfs/15.1.97 DA - 2002-01-16 UR - https://www.deepdyve.com/lp/oxford-university-press/the-investor-recognition-hypothesis-in-a-dynamic-general-equilibrium-TBAh0CNcd0 SP - 97 EP - 141 VL - 15 IS - 1 DP - DeepDyve