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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market

Dickinson, David L.; Chaudhuri, Ananish; … - 2017

experiment that regularly produces valuation bubble and crash events. Global sessions involved real time trades between subjects … asset market bubbles occur in all sessions, but global markets had significantly more extreme and longer duration valuation … bubbles. Additionally, subjects at the most suboptimal times-of-day held significantly more asset shares in their portfolios …

Persistent link: https://www.econbiz.de/10011731909

Chapter 5. Heterogeneous Agent Models in Finance

Dieci, Roberto; He, Xue-Zhong - In: Handbook of computational economics : Volume 4: …, (pp. 257-328). 2018

momentum trading. It demonstrates how HAMs can help to understand stock price co-movements and evolutionary CAPM. It also …

Persistent link: https://www.econbiz.de/10014024353

Heterogeneous agent models in finance

Dieci, Roberto; He, Xue-zhong - 2018

Persistent link: https://www.econbiz.de/10013253829

Collateralization and asset price bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - In: Journal of banking & finance 128 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012821680

Modeling speculative bubbles with diverse investor expectations

Phillips, Peter C. B. - In: Research in economics : an international review of economics 70 (2016) 3, pp. 375-387

Persistent link: https://www.econbiz.de/10011631179

The Impact of Retail Investors’ Sentiment on Conditional Volatility of Stocks and Bonds

Hadad, Elroi; Kedar-Levy, Haim - 2022

We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six indicators from the Tel Aviv Stock Exchange. We find that changes in sentiment affect conditional volatilities at different magnitudes and often in an opposite manner in the two markets,...

Persistent link: https://www.econbiz.de/10013306289

Rational speculators, contrarians, and excess volatility

Lof, Matthijs - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1889-1901

Persistent link: https://www.econbiz.de/10011338806

Asset price volatility and investment horizons : an experimental investigation

Anufriev, Mikhail; Chernulich, Aleksei; Tuinstra, Jan - In: Journal of economic behavior & organization : JEBO 193 (2022), pp. 19-48

Persistent link: https://www.econbiz.de/10013189883

Herding behavior, market sentiment and volatility : will the bubble resume?

Bekiros, Stelios; Jlassi, Mouna; Lucey, Brian M.; … - In: The North American journal of economics and finance : a … 42 (2017), pp. 107-131

Persistent link: https://www.econbiz.de/10011938084

Two Trees with Heterogeneous Beliefs : Spillover Effect of Disagreement

Han, Bing - 2017

In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...

Persistent link: https://www.econbiz.de/10012972769