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Explaining hedge fund investment styles by loss aversion: a rational alternative

Siegmann, Arjen; Lucas, André - 2002

Persistent link: https://www.econbiz.de/10001689199

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001 - This version: February 12, 2001

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

Persistent link: https://www.econbiz.de/10011316893

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

The sale of relational capital through tenure profiles and tournaments

Frijters, Paul - 1998

Persistent link: https://www.econbiz.de/10000985228

The family of ideal values for cooperative games

Wang, Wenna; Su, Hao; Brink, René van den; Xu, Genjiu - 2018

family of ideal values can be obtained by minimizing deviations from the individual expected rewards. Then we show the … relationships between the family of ideal values and two other classical families of values: the procedural values and the least …-ideal value. As two dual cases in the family of ideal values, the center-of-gravity of imputation-set value (CIS value) and the …

Persistent link: https://www.econbiz.de/10011794249

Complex evolutionary systems in behavioral finance

Hommes, Cars H.; Wagener, Florian Oskar Ottokar - 2008

Persistent link: https://www.econbiz.de/10003738986

Investment under risk with discrete and continuous assets : solution and estimation

Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - 2009

Persistent link: https://www.econbiz.de/10003851007

Complex evolutionary systems in behavioral finance

Hommes, Cars H.; Wagener, Florian Oskar Ottokar - 2008

Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics....

Persistent link: https://www.econbiz.de/10011376458

A dynamic model of investor decision-making : how adaptation to losses affects future selling decisions

Lee, Carmen; Kräussl, Roman; Lucas, André; Paas, … - 2008

We conduct an experiment to test whether the size of a loss and the time in a losing position affect investors’ adaptation to the loss situation and, subsequently, whether this adaptation affects future investment decisions. As investors adapt to losses, their neutral reference point shifts...

Persistent link: https://www.econbiz.de/10011377365

Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Persistent link: https://www.econbiz.de/10011334332