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Survival in speculative markets
Dindo, Pietro - 2015
investigate the Market Selection Hypothesis that speculation rewards the agent with the most accurate beliefs. Assuming that …. Beliefs heterogeneity and speculation may persist in the long-run or, even when discount factors and intertemporal … elasticities of substitution are homogeneous, speculation may cause the agent with the most accurate beliefs to vanish. Failures …
Persistent link: https://www.econbiz.de/10011404589
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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...
Persistent link: https://www.econbiz.de/10011564737
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Long-run heterogeneity in an exchange economy with fixed-mix traders
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...
Persistent link: https://www.econbiz.de/10011386757
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Momentum and reversal in financial markets with persistent heterogeneity
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...
Persistent link: https://www.econbiz.de/10012060620
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Momentum and reversal in financial markets with persistent heterogeneity
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...
Persistent link: https://www.econbiz.de/10011790528
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The wisdom of the crowd in dynamic economies
Dindo, Pietro; Massari, Filippo - In: Theoretical Economics 15 (2020) 4, pp. 1627-1668
The wisdom of the crowd applied to financial markets asserts that prices represent a consensus belief that is more accurate than individual beliefs. However, a market selection argument implies that prices eventually reflect only the beliefs of the most accurate agent. In this paper, we show how...
Persistent link: https://www.econbiz.de/10013189055
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The wisdom of the crowd in dynamic economies
Dindo, Pietro; Massari, Filippo - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 4, pp. 1627-1668
The wisdom of the crowd applied to financial markets asserts that prices represent a consensus belief that is more accurate than individual beliefs. However, a market selection argument implies that prices eventually reflect only the beliefs of the most accurate agent. In this paper, we show how...
Persistent link: https://www.econbiz.de/10012415504
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The impact of heterogeneous signals on stock price predictability in a rational expectations model
Winter, Christoph - 2018
Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...
Persistent link: https://www.econbiz.de/10012140900
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Endogenous Leverage and Asset Pricing in Double Auctions
Breuer, Thomas; Summer, Martin; Vollbrecht, Hans-Joachim - 2013
We study the trading of real assets financed by collateralized loans in an agent based model of a continuous double auction. This approach provides a complementary perspective on recent advances in the general equilibrium theory of endogenous leverage by studying a model that simultaneously...
Persistent link: https://www.econbiz.de/10013370101
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The impact of heterogeneous signals on stock price predictability in a rational expectations model
Winter, Christoph - 2018
Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...
Persistent link: https://www.econbiz.de/10011952636