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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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Nonlinearities and Tests of Asset Price Bubbles
Arora, Vipin - 2014
We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
Persistent link: https://www.econbiz.de/10013044861
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Nonlinearities and Tests of Asset Price Bubbles
Arora, Vipin; Shi, Shuping - 2018
We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
Persistent link: https://www.econbiz.de/10014145298
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On the neutrality of credit-driven asset bubbles
Reicher, Christopher Phillip - 2011
This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a … asset bubbles can form which exactly offset a bubble in household liabilities. Surprisingly, evidence from a VAR using long …-run restrictions supports the idea that asset bubbles are approximately neutral in their real effects before 2007. The evidence becomes …
Persistent link: https://www.econbiz.de/10008904609
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Behavioral Heterogeneity in Stock Prices
Boswijk, 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/10010325397
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Simulated ML estimation of financial agent-based models
Baruník, Jozef; Kukačka, Jiří - 2016
This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does not rely upon restrictive theoretical assumptions. We customise a recent methodology of the Non-Parametric Simulated Maximum Likelihood Estimator (NPSMLE) based on kernel...
Persistent link: https://www.econbiz.de/10011448663
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Social networks and housing markets
Bailey, Michael; Cao, Ruiqing; Kuchler, Theresa; … - 2016
The recent house price experiences within an individual's social network affect her perceptions of the attractiveness of property investments, and through this channel have large effects on her housing market activity. Our data combine anonymized social network information from Facebook with...
Persistent link: https://www.econbiz.de/10011476018
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The term structure of expectations and bond yields
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016
How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of professional forecasters covering more than 500 survey-horizon...
Persistent link: https://www.econbiz.de/10011477349
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The Adaptiveness in Stock Markets : Testing the Stylized Facts in the DAX 30
He, Xuezhong - 2015
By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental...
Persistent link: https://www.econbiz.de/10013014694
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Stock Prices and Risk-free Rate : An 'Internal Rationality' Approach
Zhang, Tongbin - 2020
The co-movement between stock and short-term bond markets in US is weak in terms of the correlation between asset prices, variance decomposition and impulse response. It is essential to investors and policy makers to understand it, especially when several well-known asset pricing models imply a...
Persistent link: https://www.econbiz.de/10012835404