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Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10011605442
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The misinformation effect in financial markets: An emerging issue in behavioural fianance
Polak, Mateusz - In: e-Finanse: Financial Internet Quarterly 8 (2012) 3, pp. 55-61
The following paper is a theoretical introduction of the misinformation effect to behavioural finance. The misinformation effect causes a memory report regarding an event or particular knowledge to become contaminated with misleading information from another source. The paper aims to describe...
Persistent link: https://www.econbiz.de/10011551375
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Price adjustment to news with uncertain precision
Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - 2008
Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news' precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...
Persistent link: https://www.econbiz.de/10010303759
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Price adjustment to news with uncertain precision
Hautsch, Nikolaus; Hess, Dieter E.; Müller, Christoph - 2008
Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that market participants perfectly know the quality of released news. However, in practice, news' precision is rarely disclosed. Therefore, we extend standard Bayesian learning...
Persistent link: https://www.econbiz.de/10010274280
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One-factor-Garch models for German stocks: Estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010435583
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The bull and bear market model of Huang and Day : Some extensions and new results
Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - 2012
We develop a financial market model with interacting chartists and fundamentalists that embeds the famous bull and bear market model of Huang and Day as a special case. Their model is given by a one-dimensional continuous piecewise-linear map. Our model, on the other hand, is more flexible and...
Persistent link: https://www.econbiz.de/10010310936
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News reaction in financial markets within a behavioral finance model with heterogeneous agents
Fischer, Thomas - 2011
This paper presents a Heterogeneous Agent Model of a financial market with chartist and fundamentalist traders that exhibit bounded rationality and short-term thinking to explain the effect of under and overreaction to news. The existence of the Market Maker's finite price adjustment speed leads...
Persistent link: https://www.econbiz.de/10010323743
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Winter blues and time variation in the price of risk
Garrett, Ian; Kamstra, Mark; Kramer, Lisa - 2004
determine whether the seasonality can be explained using a conditional version of the capital asset pricing model (CAPM) that … United Kingdom, Japan, and Australia, the authors find that a conditional CAPM that allows the price of risk to vary in …
Persistent link: https://www.econbiz.de/10010397599
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Behavioral Heterogeneity in Stock Prices
Boswijk, Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005
We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...
Persistent link: https://www.econbiz.de/10010325397
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse
Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003
Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche … am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen- Regressionen, dass … Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt. …
Persistent link: https://www.econbiz.de/10010297296