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...

Current studies highlight asymmetric asset pricing in different environmental states. By dividing China's aggregate consumption into two specific sets, we ferret out two heterogeneous consumption volatilities, where the one positively mirrors good times and optimistic sentiment, and the other...