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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market
Dickinson, David L.; Chaudhuri, Ananish; … - 2017
asset market bubbles occur in all sessions, but global markets had significantly more extreme and longer duration valuation … bubbles. Additionally, subjects at the most suboptimal times-of-day held significantly more asset shares in their portfolios …
Persistent link: https://www.econbiz.de/10011731909
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....
Persistent link: https://www.econbiz.de/10011490485
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Stock Price Booms and Expected Capital Gains
Adam, Klaus - 2015
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market troughs....
Persistent link: https://www.econbiz.de/10013018988
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House Prices, Credit Growth, and Excess Volatility : Implications for Monetary and Macroprudential Policy
Gelain, Paolo - 2016
economic model that captures the links between asset prices, credit expansion, and real economic activity. Standard DSGE models … used to dampen the resulting excess volatility, including a direct response to house price growth or credit growth in the … to house price growth or credit growth can stabilize some economic variables, it can significantly magnify the volatility …
Persistent link: https://www.econbiz.de/10013007544
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Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
Franke, Reiner - 2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10010296307
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - 2013
Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...
Persistent link: https://www.econbiz.de/10010326188
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Does volatility matter? Expectations of price return and variability in an asset pricing experiment
Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - 2009
We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the...
Persistent link: https://www.econbiz.de/10010328471
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Stock market volatility and learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of...
Persistent link: https://www.econbiz.de/10011604908
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Endogenous uncertainty: A unified view of market volatility
Kurz, Mordecai - 1997
The purpose of this paper is to provide a non-technical exposition of the main conclusions of the theory of Rational Belief Equilibrium (RBE) for market volatility. It is argued that the theory of Rational Belief Equilibria (RBE) provides a unified paradigm for explaining market volatility by...
Persistent link: https://www.econbiz.de/10011608344
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Endogenous Uncertainty and Market Volatility
Kurz, Mordecai; Motolese, Maurizio - 1999
Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy by the beliefs and actions of agents. The theory of Rational Belief (see Kurz [1994]) permits rational agents to hold diverse beliefs and consequently, a Rational Belief...
Persistent link: https://www.econbiz.de/10011608491