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Momentum and reversal in financial markets with persistent heterogeneity
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018
Persistent link: https://www.econbiz.de/10011868976
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Momentum and reversal in financial markets with persistent heterogeneity
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...
Persistent link: https://www.econbiz.de/10012060620
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Momentum and reversal in financial markets with persistent heterogeneity
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - In: Annals of finance 15 (2019) 4, pp. 455-487
Persistent link: https://www.econbiz.de/10012240169
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Selection in incomplete markets and the CAPM portfolio rule
Bottazzi, Giulio; Giachini, Daniele - 2020
This paper studies whether, and to what extent, trading in an incomplete competitive market rewards the CAPM portfolio … assets’ expected payoff, and the relation between prices and returns implied by the CAPM does not generally hold. Conversely …
Persistent link: https://www.econbiz.de/10012308904
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Momentum and Reversal in Financial Markets with Persistent Heterogeneity
Bottazzi, Giulio - 2018
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...
Persistent link: https://www.econbiz.de/10012927582
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Rationality and asset prices under belief heterogeneity
Giachini, Daniele - 2018
In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using the fully rational pricing as a benchmark, I show that when agents behave according to the Subjective Generalized Kelly rule (Bottazzi et...
Persistent link: https://www.econbiz.de/10011805975
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Rational belief bubbles
Sohn, Hyun-U; Sornette, Didier - 2020
speculation. Accounting for the fact that market efficiency has an intrinsic time dimension, we show that diverse but correlated …
Persistent link: https://www.econbiz.de/10012181099
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Selection in asset markets : the good, the bad, and the unknown
Bottazzi, Giulio; Dindo, Pietro - 2011
We provide simple examples to illustrate how wealth-driven selection works in asset markets. Our examples deliver both good and bad news. The good news is that if individual assets demands are expressed as a fractions of wealth to be invested in each asset, e.g. because traders maximize an...
Persistent link: https://www.econbiz.de/10009009683
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Active and Passive Investing
Garleanu, Nicolae - 2020
We model how investors allocate between asset managers, managers choose their portfolios of multiple securities, fees are set, and security prices are determined. The optimal passive portfolio is linked to the “expected market portfolio,” while the optimal active portfolio has elements of...
Persistent link: https://www.econbiz.de/10012851298
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Survival in speculative markets
Dindo, Pietro - 2015
investigate the Market Selection Hypothesis that speculation rewards the agent with the most accurate beliefs. Assuming that …. Beliefs heterogeneity and speculation may persist in the long-run or, even when discount factors and intertemporal … elasticities of substitution are homogeneous, speculation may cause the agent with the most accurate beliefs to vanish. Failures …
Persistent link: https://www.econbiz.de/10011404589