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The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
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. The theory generates several novel testable predictions regarding the interaction of ex-ante skewness and forecast …I develop a new asset pricing theory that bridges two seemingly unrelated pricing effects from separate literatures: (1 …
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