Chiarella, Carl; He, Xue-Zhong; Zwinkels, Remco C.J. - In: Journal of Economic Behavior & Organization 105 (2014) C, pp. 1-16
This paper empirically assesses heterogeneous expectations in asset pricing. We use a maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical results are consistent with a market populated with fundamentalists and chartists. In addition, agents switch between...
