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Conformism and Diversity Under Social Learning

Bala, Vankatesh; Goyal, Sanjeev - 2014

When there are competing technologies or products with unknown payoffs an important question is which technology will prevail and whether technologies with different payoffs can coexist in the long run. In this paper, we use a social learning model with local interactions to study this question....

Persistent link: https://www.econbiz.de/10014141797

Market Diffusion with Consumer-Based Bilateral Learning

Kitamura, Hiroshi; Miyaoka, Akira - 2013

This paper analyzes the market diffusion of a new product whose quality is uncertain. Consumers learn the product quality by observing the history of market outcomes. Firms cannot observe how consumers evaluate the product quality; instead, they learn by observing consumer behavior. New entry...

Persistent link: https://www.econbiz.de/10014046536

Demand and Supply in New Markets : Diffusion with Bilateral Learning

Vettas, Nikolaos - 2012

I explore the endogenous joint evolution of demand and supply in new markets. Firms and consumers learn, in a Bayesian fashion, by observing the behavior of other firms and consumers, respectively. As a result, endogenous information diffusion takes place on both sides of the market. In...

Persistent link: https://www.econbiz.de/10014072127

Persistence in factor-based supervised learning models

Coqueret, Guillaume - In: The Journal of finance and data science : JFDS 8 (2022), pp. 12-34

In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We find that predictive algorithms perform best when they are trained on long samples, with long-term returns as dependent variables. In addition, we...

Persistent link: https://www.econbiz.de/10014433680

'Nobody is perfect' : asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors

Branger, Nicole; Schlag, Christian; Wu, Lue - 2015

In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model...

Persistent link: https://www.econbiz.de/10011317706

Learning about Risk-Factor Exposures from Earnings : Implications for Asset Pricing and Manipulation

Beyer, Anne; Smith, Kevin - 2021

When valuing a firm, investors must assess not only its expected future cash flows but also the systematic risk inherent in these cash flows. In this paper, we model the process by which investors may learn about firms' betas from earnings and how this learning process affects the relationship...

Persistent link: https://www.econbiz.de/10013236733

Asset Prices and Portfolio Choice with Learning from Experience

Ehling, Paul - 2017

We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after...

Persistent link: https://www.econbiz.de/10012973608

Structural Deep Learning in Conditional Asset Pricing

Fan, Jianqing; Ke, Zheng Tracy; Liao, Yuan; Neuhierl, … - 2022

networks. Our method is guided by economic theory and employs time-varying conditional information on alphas and betas carried …” of machine learning predictions by incorporating finance theory into the learning, and provide an economic interpretation … to capture time-varying features such as latent factors of the model. We formally establish the asymptotic theory of the …

Persistent link: https://www.econbiz.de/10013406180

Deep Learning and the Cross-Section of Expected Returns

Messmer, Marcial - 2017

Deep learning is an active area of research in machine learning. I train deep feedforward neural networks (DFN) based on a set of 68 firm characteristics (FC) to predict the US cross-section of stock returns. After applying a network optimization strategy, I find that DFN long-short portfolios...

Persistent link: https://www.econbiz.de/10012942069

Knowledge creation between integrated assessment models and initiative-based learning : an interdisciplinary approach

De Cian, Enrica; Buhl, Johannes; Carrara, Samuel; … - 2016

This paper explores the opportunities for integrating Initiative Based Learning (IBL) and Integrated Assessment Models (IAMs) in order to improve our understanding of learning in the context of societal transition pathways, and more specifically by focusing on solar PV as an energy transition...

Persistent link: https://www.econbiz.de/10011558344