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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market
Dickinson, David L.; Chaudhuri, Ananish; … - 2017
asset market bubbles occur in all sessions, but global markets had significantly more extreme and longer duration valuation … bubbles. Additionally, subjects at the most suboptimal times-of-day held significantly more asset shares in their portfolios …
Persistent link: https://www.econbiz.de/10011731909
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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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Behavioral heterogeneity in stock prices
Boswijk, Herman 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/10011343265
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....
Persistent link: https://www.econbiz.de/10011490485
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Portfolio Constraints, Differences in Beliefs and Bubbles
Bidian, Florin - 2020
beliefs. I find that, in general, bubbles cannot exist unless the constraints restrict the demand for credit sufficiently to …I propose an arbitrage-based theory of bubbles in economies with general portfolio constraints and differences in … induce low interest rates. Speculation due to heterogeneous beliefs does not cause bubbles. Ruling out bubbles under …
Persistent link: https://www.econbiz.de/10012856797
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Stock Price Booms and Expected Capital Gains
Adam, Klaus - 2015
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market troughs....
Persistent link: https://www.econbiz.de/10013018988
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Bubbles and Crashes with Partially Sophisticated Investors
Bianchi, Milo; Jehiel, Philippe - 2011
We analyze bubbles and crashes in a model in which some investors are partially sophisticated. While the expectations … bubbles and crashes even in a purely speculative market in which information is complete and it is commonly understood that … whether bubbles may last longer when the share of fully rational traders increases …
Persistent link: https://www.econbiz.de/10014184822
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Short-covering bubbles
Guimarães, Bernardo; Pannella, Pierluca - In: Journal of economic theory : JET 219 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015070970
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On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization
Franke, Reiner - 2008
With reference to the class of asset pricing models with a market maker and mean-variance optimization of speculative agents, the note seeks to clarify the concepts behind the price adjustment rule, which are often treated somewhat carelessly in this literature. Calling attention to the...
Persistent link: https://www.econbiz.de/10010296305
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Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
Franke, Reiner - 2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10010296307