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Information interaction, behavioral synchronization and asset market volatility

Wang, Chengjin; Gao, Yudong; Li, Honggang - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821883

Heterogeneous Expectations in Asset Pricing : Empirical Evidence from the S&P 500

Chiarella, Carl - 2016

reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering …

Persistent link: https://www.econbiz.de/10013009017

Model Disagreement and Economic Outlook

Andrei, Daniel - 2014

We study the impact of model disagreement on the dynamics of asset prices, return volatility, and trade in the market … disagree about the length of the business cycle. We show that model disagreement amplifies return volatility and trading volume …, we find that while the absolute level of return volatility is driven by long-run risk, the variation and persistence of …

Persistent link: https://www.econbiz.de/10013052682

Stock Price Booms and Expected Capital Gains

Adam, Klaus - 2015

quantitatively replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

Persistent link: https://www.econbiz.de/10013018988

Implied dividend volatility and expected growth

Gormsen, Niels; Koijen, Ralph S. J.; Martin, Ian - In: AEA papers and proceedings 111 (2021), pp. 361-365

Persistent link: https://www.econbiz.de/10012547564

Panamax markets behaviour : explaining volatility and expectations

Karaoulanis, Ioannis; Pelagidēs, Thodōrēs - In: Journal of shipping and trade 6 (2021), pp. 1-24

It is widely accepted that the highly volatile Panamax market has many peculiarities; for example, Panamax vessels transport the major and the minor dry bulk cargoes worldwide. In contrast, the variety of cargoes and the flexibility in various trade routes, which the Panamax vessels follow,...

Persistent link: https://www.econbiz.de/10012650679

Volatility expectations and disagreement

Huisman, Ronald; Sar, Nico L. van der; Zwinkels, Remco C. J. - In: Journal of economic behavior & organization : JEBO 188 (2021), pp. 379-393

Persistent link: https://www.econbiz.de/10012658737

Smooth Ambiguity, Wealth Dynamics and Asset Prices with Heterogeneous Beliefs

Huang, Bo; Liu, Hening - 2022

We study a class of endowment economies with long-run risks in which agents have generalized recursive smooth ambiguity preferences and heterogeneous beliefs. The expected growth rate of aggregate consumption consists of a persistent component. Agents cannot observe the component but learn about...

Persistent link: https://www.econbiz.de/10013291472

What to expect when everyone is expecting : self-fulfilling expectations and asset-pricing puzzles

Garleanu, Nicolae; Panageas, Stauros - In: Journal of financial economics 140 (2021) 1, pp. 54-73

Persistent link: https://www.econbiz.de/10013188569

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Santini, Amia - 2022

1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess … volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions. …The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been …

Persistent link: https://www.econbiz.de/10013192353