We analyze the impacts of alternative submarket definitions when predicting house prices in a mass appraisal context, using both ordinary least squares (OLS) and geostatistical techniques. For this purpose, we use over 13,000 housing transactions for Louisville, Kentucky. We use districts...

Our objective is to understand the trading strategy that would allow an investor to take advantage of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general equilibrium model of sentiment. In it, there are two classes of agents and stock prices are...

Our objective is to identify the trading strategy that would allow an investor to take advantage of ''excessive'' stock price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are...

Our objective is to identify the trading strategy that would allow an investor to take advantage of excessive stock price volatility and sentiment fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively volatile...

This study examines what role the concept of endogenous uncertainty can have in explaining a phenomenon of international financial markets, the forward discount bias. The forward discount bias puzzle is unexplained by models assuming economic agents have full knowledge of the structure of the...

This paper studies how communication amongst agents influences the equilibrium of a financial economy. We set up a standard overlapping generations (OLG) model with assets, while allowing for heterogeneous beliefs. The paper explicitly describes how communication generates correlation of...

This paper presents simple models with competitive markets, fully flexible prices and fully observable macro-economic variables. Agents hold heterogeneous beliefs because the exogenous shocks are stable but non-stationary and the true law of motion is unknown to agents. We show that the...

In previous models of rational belief equilibria (RBE), individual states of belief were the foundation for the construction of the endogenous state space where individual states of belief were described with the method of assessment variables. This leads to a lack of "anonymity" where the...

The purpose of this paper is to provide a non-technical exposition of the main conclusions of the theory of Rational Belief Equilibrium (RBE) for market volatility. It is argued that the theory of Rational Belief Equilibria (RBE) provides a unified paradigm for explaining market volatility by...