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Does time series momentum also exist outside traditional financial markets? : near-laboratory evidence from sports betting

Vandenbruaene, Jonas; De Ceuster, Marc J.; Annaert, Jan - In: Journal of behavioral and experimental economics 104 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014335707

Bayesian analysis of bubbles in asset prices

Fulop, Andras; Yu, Jun - In: Econometrics : open access journal 5 (2017) 4, pp. 1-23

regime are both allowed. A Bayesian learning approach is employed to jointly estimate the latent states and the model …

Persistent link: https://www.econbiz.de/10011781855

Volatility and informativeness

Dávila, Eduardo; Parlatore, Cecilia - In: Journal of financial economics 147 (2023) 3, pp. 550-572

Persistent link: https://www.econbiz.de/10014249458

Stock market co-movement in Latin America and the US : evidence from a new approach

Vatsa, Puneet; Basnet, Hem Chandra; Mixon, Franklin G. - In: Journal of financial economic policy 14 (2022) 2, pp. 162-171

Persistent link: https://www.econbiz.de/10012880689

Structural Uncertainty, Learning, and Asset Pricing

Gvozdeva, Evgenia - 2010

We examine the effects of parameter uncertainty and Bayesian learning on equilibrium asset prices when all the … greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the … equity premium. Learning does not produce a monotonically declining equity premium and shocks to growth rates can induce …

Persistent link: https://www.econbiz.de/10013150931

Market stability with machine learning agents

Georges, Christophre; Pereira, Javier - In: Journal of economic dynamics & control 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012666119

Fake news and asset price dynamics

Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - 2024

We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (1998). By polluting the information landscape, fake news interferes with agents' perception of the dividend process of the risky asset. Our analysis reveals that fake news decreases the...

Persistent link: https://www.econbiz.de/10014631654

Learning, slowly unfolding disasters, and asset prices

Ghaderi, Mohammad; Kilic, Mete; Seo, Sang Byung - In: Journal of financial economics 143 (2022) 1, pp. 527-549

Persistent link: https://www.econbiz.de/10013350670

Heterogeneous agents and long horizon features of asset prices

LeBaron, Blake Dean - 2013 - Rev.

Persistent link: https://www.econbiz.de/10010505476

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575