Model Complexity, Expectations, and Asset Prices

We are grateful to Fernando Alvarez, Andrea Buffa, Charles Engel, Ignacio Esponda, Xavier Gabaix, Tarek Hassan, Ben Hebert, Ali Jadbabaie, Lars Hansen, Jen-Jen La’O, Xinyang Li, Stefan Nagel, Charlie Nathanson, Stavros Panageas, Farzad Saidi, Harald Uhlig, Dimitri Vayanos, Laura Veldkamp, Mike Woodford, Hao Xing, and seminar participants at the University of Chicago, Brandeis University, Boston University, Imperial College, Northwestern University, University of Rochester, UNSW Business School, the Virtual Finance Theory Workshop, the Econometric Society European Winter Meeting, the NBER Behavioral Finance Fall Meeting, the Southern Economic Association Conference, the American Economic Association Meeting, the American Finance Association Meeting, and the World Congress of the Econometric Society for helpful comments and suggestions. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.