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Internet Appendix for 'Belief Dispersion in the Stock Market'

Atmaz, Adem - 2017

We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and trading volume. We find that the stock price is convex in...

Persistent link: https://www.econbiz.de/10012956341

Belief Dispersion in the Stock Market

Atmaz, Adem - 2017

Persistent link: https://www.econbiz.de/10012972574

Belief dispersion in the stock market

Atmaz, Adem; Başak, Suleyman - 2017

Persistent link: https://www.econbiz.de/10011675962

Asymmetric effect of FEARS sentiment on stock returns : short-sale constraints, limits to arbitrage, and behavioural biases

Goel, Garima; Dash, Saumya Ranjan; Brooks, Robert; … - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 11, pp. 3119-3135

Persistent link: https://www.econbiz.de/10013355046

Evolution and market behavior with endogenous investment rules

Bottazzi, Giulio; Dindo, Pietro - 2010

investment rules that depend on endogenously determined current and past prices. We find that market instability, leading to …, conditioning investment decisions on asset prices implies that dominance of an investment rule on others, as measured by the …. Second, the feedback existing between past realized prices and current investment decisions can lead to a form of …

Persistent link: https://www.econbiz.de/10008729026

Asset pricing and asymmetric reasoning

Asparouhova, Elena; Bossaerts, Peter L.; Eguia, Jon; … - 2014

Persistent link: https://www.econbiz.de/10010362564

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...

Persistent link: https://www.econbiz.de/10012842392

Theoretical asset pricing under behavioral decision making

Vries, Martijn Alexander de - 2022

Persistent link: https://www.econbiz.de/10013263004

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

Debt and financial sentiment : early Keynes on balance sheet effects of asset price changes

Ertürk, Korkut A.; Jennings, Jake - In: Vierteljahrshefte zur Wirtschaftsforschung 89 (2020) 1, pp. 45-58

The paper explores the link between financial sentiment and private debt, using Keynes’s A Treatise on Money as a conceptual backdrop. In responding to his critics after the publication of his General Theory Keynes famously talked about unexpected, violent changes in conventional asset...

Persistent link: https://www.econbiz.de/10012507210