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Menzies, Gordon; Zizzo, Daniel John - Finance Discipline Group, Business School - 2005

becoming a metric for rationality. When inferential expectations are built into a Dornbusch-style model of the exchange rate … inferential expectations. If a belief is overturned through the build-up of evidence, agents are assumed to switch to the rational … expectation. Rational expectations are shown to be a special (limiting) case of inferential expectations, with the test size a …

Persistent link: https://www.econbiz.de/10005041724

The Game Academics Play: Editors Versus Authors

Faria, Joao Ricardo - Finance Discipline Group, Business School - 2000

This paper studies a differential game between authors and editors. Authors maximize the number of publications seeking to increase the impact of their work in the literature. Editors maximize the quality of papers they publish in order to increase the reputation of their journals. The game is...

Persistent link: https://www.econbiz.de/10005073724

Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices

Bohm, Volker; Chiarella, Carl - Finance Discipline Group, Business School - 2000

This paper analyzes the dynamics of a general explicit random price process of finitely many assets in an economy with overlapping generations of heterogeneous consumers forming optimal portfolios, extending the one dimensional investigation of Bohm, Deutscher and Wenzelburger (2000). Consumers...

Persistent link: https://www.econbiz.de/10004984499

Reducing the Expectations Gap: Facilitating Improved Student Writing in an Intermediate Macroeconomics Course

Docherty, Peter; Tse, Harry; Forman, Ross; McKenzie, Jo - Finance Discipline Group, Business School - 2006

macroeconomics course. The Program attempted to reduce what is labelled the <i>expectations gap</i> between student and academic …

Persistent link: https://www.econbiz.de/10005073700

Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient

Chiarella, Carl; Flaschel, Peter; Semmler, Willi - Finance Discipline Group, Business School - 2001

We reformulate and extend the Blanchard model of output dynamics, the stock market and interest rates that studies Keynesian IS-LM analysis from the perspective of a richer array of short-term bonds. Thus investment demand now depends on Tobin's average q in the place of the real rate of...

Persistent link: https://www.econbiz.de/10005112874

Heterogeneous Beliefs and the Performances of Optimal Portfolios

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2012

The market selection depends on agent's survival index, which is a function of agent's belief and risk preference. When preferences are identical, the survival index of an agent is a decreasing function of his belief accuracy and therefore agent survives if and only if he has the lowest survival...

Persistent link: https://www.econbiz.de/10010643367

An Evolutionary CAPM Under Heterogeneous Beliefs

Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - Finance Discipline Group, Business School - 2012

Heterogeneity and evolutionary behaviour of investors are two of the most important characteristics of financial markets. This papers incorporates the adaptive behaviour of agents with heterogeneous beliefs and establishes an evolutionary capital asset pricing model (ECAPM) within the...

Persistent link: https://www.econbiz.de/10010643371

Heterogeneous Beliefs and the Cross-Section of Asset Returns

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2012

When agents have irrational beliefs which are rational on average, it has been shown that the effect of their trades does not cancel out in general and can lead to time variations in market price of risk and volatility. In this paper, we follow the differences-in-opinion approach and show that...

Persistent link: https://www.econbiz.de/10010643375

Time Series Momentum and Market Stability

He, Xue-Zhong; Li, Kai - Finance Discipline Group, Business School - 2014

We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the market under-reacts in short-run and overreacts in long-run when momentum traders dominate the market, which...

Persistent link: https://www.econbiz.de/10010883503

Differences in Opinion and Risk Premium

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2010

When people agree to disagree, this paper examines the impact of the disagreement among agents on market equilibrium and equity premium. Within the standard mean variance framework, we consider a market of two risky assets, a riskless asset and two (and then a continuum of) agents who have...

Persistent link: https://www.econbiz.de/10008515807