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Learning from Experience in the Stock Market

Nakov, Anton; Nuño, Galo - C.E.P.R. Discussion Papers - 2014

New evidence suggests that individuals "learn from experience," meaning they learn from events occurring during their own lifetimes as opposed to the entire history of events. Moreover, they weigh more heavily the more recent events compared to events occurring in the more distant past. This...

Persistent link: https://www.econbiz.de/10011083418

Collateralisation bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014

Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...

Persistent link: https://www.econbiz.de/10011084220

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Buss, Adrian; Uppal, Raman; Vilkov, Grigory - C.E.P.R. Discussion Papers - 2015

Alternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a challenge to traditional models of asset allocation. In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets and an alternative...

Persistent link: https://www.econbiz.de/10011184079

The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy

Wieland, Volker; Wolters, Maik H - C.E.P.R. Discussion Papers - 2010

This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...

Persistent link: https://www.econbiz.de/10008530347

Optimal Beliefs, Asset Prices and the Preference for Skewed Returns

Brunnermeier, Markus K; Gollier, Christian; Parker, … - C.E.P.R. Discussion Papers - 2007

Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these...

Persistent link: https://www.econbiz.de/10005123738

Selective Trials: A Principal-Agent Approach to Randomized Controlled Experiments

Chassang, Sylvain; Padró i Miquel, Gerard; Snowberg, Erik - C.E.P.R. Discussion Papers - 2010

We study the design of randomized controlled experiments in environments where outcomes are significantly affected by unobserved effort decisions taken by the subjects (agents). While standard randomized controlled trials (RCTs) are internally consistent, the unobservability of effort provision...

Persistent link: https://www.econbiz.de/10008642870

Manipulation of Metals Futures: Lessons from Sumitomo

Gilbert, Christopher L - C.E.P.R. Discussion Papers - 1997

the world copper market, from at least 1991 until earlier this year. This manipulation has concentrated attention on the … manipulation is not illegal under UK financial services regulation, but that in any case, deterrence is better than prosecution …. Manipulation will be best deterred by greater transparency, in particular through mandatory reporting of client positions to …

Persistent link: https://www.econbiz.de/10005662332

Dynamic Incentive Accounts

Edmans, Alex; Gabaix, Xavier; Sadzik, Tomasz; Sannikov, … - C.E.P.R. Discussion Papers - 2009

through both productive effort and costly manipulation, and may undo the contract by privately saving. The optimal contract …

Persistent link: https://www.econbiz.de/10008477185

Foreign Aid Designed to Diminish Terrorist Atrocities can Increase Them

Mandler, Michael; Spagat, Michael - C.E.P.R. Discussion Papers - 2003

A domestic power faces an enemy and commits terrorist atrocities to increase the likelihood of victory. A foreign patron can grant aid to the power but prefers fewer or no atrocities. The domestic power responds by acquiescing in the creation of uncontrollable paramilitaries that commit even...

Persistent link: https://www.econbiz.de/10005504744

Signalling and Commitment: Monetary versus Inflation Targeting

Gersbach, Hans; Hahn, Volker - C.E.P.R. Discussion Papers - 2003

This Paper compares the social efficiency of monetary targeting and inflation targeting when central banks may have private information on shocks to money demand and, because of verifiability problems, the transparency solution is not feasible. Under inflation targeting and monetary targeting,...

Persistent link: https://www.econbiz.de/10005497735