-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

is as great as when training is absent. -- asset market experiment ; price bubbles ; common knowledge of rationality …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

fundamental trading rules to determine their orders. Volatility clustering arises in our model due to speculators' herding …

crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …

demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market … participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and … crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes. …

) operation. In our experiment, the bonds are perfect substitutes for cash and have a constant fundamental value which is not …