We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into...

Newspapers and weekly magazines catering to the investing crowd often rank funds according to the returns generated in the past. Aside from satisfying sheer curiosity, these numbers are probably also the basis on which investors pick a fund to invest in. In this article, we fully characterize...

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

We consider a financial market model with interacting agents and study the long run behaviour of both aggregate behaviour and equilibrium prices. Investors are heterogeneous in their price expectations and they get stochastic signals about the "mood" of the market described by the empirical...

The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...

For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...

We analyze the impact of an individual's tendency to worry on willingness to pay (WTP) for a protective measure. We report on the results of a controlled experiment with real objects at stake. Worry was measured with the Worry Domains Questionnaire, an instrument determining an individual's...