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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...
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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 …
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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 …
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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...
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