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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

Price clustering and natural resistance points in the Dutch stock market

Sonnemans, Joep - 2003

The main contribution of this study is the finding that round numbers can act aspricebarriers for individual stocks. In addition, a first step is made to explain this and therelated phenomena of round number clustering by testing two competing hypotheses,using data from the Dutch stock market...

Persistent link: https://www.econbiz.de/10011333894

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

annual US stock price data from 1871 until 2003. The estimation results support the existence of two expectation regimes. One …

Persistent link: https://www.econbiz.de/10011343265

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

Persistent link: https://www.econbiz.de/10002902226

Price clustering and natural resistance points in the Dutch stock market : a natural experiment

Sonnemans, Joep - 2003

Persistent link: https://www.econbiz.de/10001792545

Identifying reduced-form relations with panel data

Vollebergh, Herman R. J.; Melenberg, Bertrand; … - 2007 - This version: September 13, 2007

The literature that tests for U-shaped relationships using panel data, such as those between pollution and income or …

Persistent link: https://www.econbiz.de/10011372978

The monetary exchange rate model as a long-run phenomenon

Groen, Jan J. J. - 1998

pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance … with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the …

Persistent link: https://www.econbiz.de/10011299983

The importance of accounting for time trends when estimating the Euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2004

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … explain the upward trend. To correct for that, we extend the panel model (a gravity model) by including a time trend that may …

Persistent link: https://www.econbiz.de/10011334328

An econometric analysis of the mental-health effects of major events in the life of elderly individuals

Lindeboom, Maarten; Portrait, France; Berg, Gerard J. … - 2001

individual may enter a prolonged depression. We investigatethis using unique longitudinal panel data that track labor market … estimation methods. We findsome strikingly large effects of certain events on the occurrence of depression. We show that the …

Persistent link: https://www.econbiz.de/10011318580

Observation driven mixed-measurement dynamic factor models with an application to credit risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - 2011

model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range … simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed …

Persistent link: https://www.econbiz.de/10011383248

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