It is generally believed that excessive stock market volatility reflects non-mathematical market expectations that are driven by “irrational exuberance” or “animal spirits”. As shown in this paper, there is an alternative explanation. If ex-ante and ex-post expectations are calculated in...

We set out a behavioural model of the stock market in which investors are connected through a social network. Agents may adopt types on the spectrum from pure fundamentalist to arbitrarily strong chartist which they update from their neighbours depending on past performance. Our main analytical...

We study equilibrium determination in an environment where two kinds of agents have different information sets: The fully informed agents know the structure of the model and observe histories of all exogenous and endogenous variables. The less informed agents observe only a strict subset of the...