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Boom-bust cycles and asset market participation waves : momentum, value, risk and herding
Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H. - 2022
We develop an asset market participation model in which investors base their market entry decisions on the momentum, value and risk of the market. Despite our behavioral framework, the model’s fundamental steady state is characterized by standard present-value relations between expected future...
Persistent link: https://www.econbiz.de/10013201794
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Learning in Financial Markets
Pastor, Lubos - 2010
We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...
Persistent link: https://www.econbiz.de/10013144020
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Learning in Financial Markets
Pastor, Lubos - 2009
We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...
Persistent link: https://www.econbiz.de/10012464003
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Pension funds interconnections and herd behavior
Bauer, Rob; Bonneti, Matteo; Broeders, Dirk - 2018
Persistent link: https://www.econbiz.de/10011920830
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Investor behaviour during COVID-19 pandemic : do they herding?
Nosita, Firda; Amrulloh, Rifqi - In: Macroeconomic risk and growth in the Southeast Asian …, (pp. 115-135). 2023
Persistent link: https://www.econbiz.de/10014462335
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Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios
Sushko, Vladyslav - 2012
We estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the … unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing …'s realized illiquidity propagates herding and maps onto the dampening parameter of the probability distribution of the number of …
Persistent link: https://www.econbiz.de/10013114482
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Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios
Nirei, Makoto - 2014
We estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the … unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing …'s realized illiquidity propagates herding and raises the probability of observing a sell-off. The distribution function itself …
Persistent link: https://www.econbiz.de/10013066570
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A decade of delusions : from speculative contagion to the Great Recession
Martin, Frank K. - 2011
The proven strategies rational investors require for success in an irrational market. When the dot-com and real estate bubbles of the 1990s and 2000s burst, few were spared the financial fallout. So, how did an investment advisory firm located in Elkhart, Indiana--one of the cities hit hardest...
Persistent link: https://www.econbiz.de/10009127918
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Explaining the disposition bias among investors : the mediatory role of personality, financial literacy, behavioral bias and risk tolerance
Basheer, Asad; Siddiqui, Danish Ahmed - In: Business and Economic Research : BER 10 (2020) 2, pp. 290-314
Persistent link: https://www.econbiz.de/10012267354
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Handbook of behavioral finance
Bruce, Brian R. (ed.) - 2010
Persistent link: https://www.econbiz.de/10011851414