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Momentum mechanisms under heterogeneous beliefs

Yan, Yu; Tong, Yan; Wang, Yiming - 2025

Persistent link: https://www.econbiz.de/10015359778

Momentum Mechanisms under Heterogeneous Beliefs

Wang, Yiming; Tong, Yan; Yan, Yu - 2023

We establish a continuous-time heterogeneous beliefs model to discuss the mechanisms of Momentum and Reversal. Price learning, information transmission and extrapolative expectation are incorporated into a unified framework for the Momentum and Reversal. The calibration results from SP500 show...

Persistent link: https://www.econbiz.de/10014345238

Is faster information transmission always better?

Yan, Yu; Tong, Yan; Wang, Yiming - In: Finance research letters 75 (2025), pp. 1-4

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Does religious faith affect household financial market participation? : evidence from China

Yang, Yang; Zhang, Cheng; Yan, Yu - In: Economic modelling 83 (2019), pp. 42-50

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Effects of market liquidity on price dynamics in a heterogeneous belief model

Zhou, Yongguang; Wang, Yiming; Gao, Zhennan - In: Applied economics 55 (2023) 17, pp. 1972-1989

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Contagion mechanisms under heterogeneous beliefs

Yan, Yu; Tong, Yan; Wang, Yiming - In: Applied economics 57 (2025) 12, pp. 1326-1350

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The business cycle and profitability of trading strategies

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The dark side of investor interactive platforms : evidence from corporate investment efficiency

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Manager sentiment bias and stock returns : evidence from China

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Optimistic bias of analysts' earnings forecasts : does investor sentiment matter in China?

Wu, Yanran; Liu, Tingting; Han, Liyan; Yin, Libo - In: Pacific-Basin finance journal 49 (2018), pp. 147-163

Persistent link: https://www.econbiz.de/10012117688