Expectations affect economic decisions, and inaccurate expectations are costly. Expectations can be wrong due to either bias (systematic mistakes) or noise (unsystematic mistakes). We develop a framework for quantifying the level of noise in survey expectations. The method is based on the...

The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...

In this review we discuss advances in the agent-based modeling of economic and social systems. We show the state of the art of the heuristic design of agents and how behavioral economics and laboratory experiments have improved the modeling of agent behavior. We further discuss how economic...

Expectations affect economic decisions, and therefore inaccurate expectations are costly. Expectations can be wrong in ways that are systematic (bias) or unsystematic (noise). We provide a general method for quantifying the noise component. The method is based on the insight that theoretical...

This paper analyzes the effect equity values and age have on the risk aversion of participants in U.S. defined contribution plans using a unique dataset with daily responses to a risk tolerance questionnaire. We find that older investors are more risk averse compared to younger cohorts when...

I review the literature on financial speculation driven by belief disagreements from a macroeconomics perspective. To highlight unifying themes, I develop a stylized macroeconomic model that embeds several mechanisms. With short-selling constraints, speculation can generate overvaluation and...

Information-theoretic methods have recently been proposed for the simultaneous recovery of investors’ beliefs about future macroeconomic and financial outcomes and their risk preferences from observed asset prices. These methods estimate beliefs and preferences to minimize the statistical...