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Different theories of expectation formation and learning usually yield different outcomes for realized market prices in … dynamic models. The purpose of this paper is to investigate expectation formation and learning in a controlled experimental … measured by the variance is significantly larger than the amplitude under RE, implying persistent excess volatility. However …
Persistent link: https://www.econbiz.de/10011333266
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010362976
Persistent link: https://www.econbiz.de/10010191433
expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …
Persistent link: https://www.econbiz.de/10011441491
. One is a call market experiment in which participants trade assets with each other. The other is a learning … literature. Our findings in the learning-to-forecast experiment are novel. Interestingly, the shape of the bubbles is different … between the two experiments. We observe flat bubbles in the call market experiment and boom-and-bust cycles in the learning …
Persistent link: https://www.econbiz.de/10011932581
average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …
Persistent link: https://www.econbiz.de/10011848115
Persistent link: https://www.econbiz.de/10001689309
Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...
Persistent link: https://www.econbiz.de/10011313928
We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...
Persistent link: https://www.econbiz.de/10011326942
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