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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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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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Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
. - Learning from experience ; OLG ; asset pricing ; bubbles ; heterogeneous agents …
Persistent link: https://www.econbiz.de/10009380930
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Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation
Franke, Reiner; Westerhoff, Frank H. - 2011
The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market...
Persistent link: https://www.econbiz.de/10009424773
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Complex evolutionary systems in behavioral finance
Hommes, Cars H.; Wagener, Florian Oskar Ottokar - 2008
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