This paper merges two branches of the literature. On one hand we study a heterogeneous agents framework to model exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model. Investors choose one of two rules to form their...

We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...

This study shows that uncertainty about information does not strengthen momentum. If the behavioral models hold, and if uncertainty about information causes high-volatility momentum strategies to outperform low-volatility strategies, then this relation must hold on a relative level. Momentum...