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Behavioral heterogeneity in stock prices

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Behavioral heterogeneity in stock prices

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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