Overconfidence and Market Efficiency with Heterogeneous Agents
... Shleifer and Vishny (1997), and Bernardo and Welch (2001), among others, demonstrate that irrational traders may have long-term viability and can coexist with rational traders. For an opposite result, where behavioral agents are driven out of the market, see Sandroni (2005). ...
... Shleifer and Vishny (1997), and Bernardo and Welch (2001), among others, demonstrate that irrational traders may have long-term viability and can coexist with rational traders. For an opposite result, where behavioral agents are driven out of the market, see Sandroni (2005). ...
Journal of Animal Behavior Technology
... Editor’s Introduction Welcome to the sixth issue of the official journal of the Association of Animal Behavior Professionals. It has been quite some time since the last issue was published and some changes have occurred in that time. The name of the journal has changed from Journal of Applied Compan ...
... Editor’s Introduction Welcome to the sixth issue of the official journal of the Association of Animal Behavior Professionals. It has been quite some time since the last issue was published and some changes have occurred in that time. The name of the journal has changed from Journal of Applied Compan ...
Disposition Effect on Two Classical Expected Utility Models
... In other empirical studies, the disposition effect has been documented in many other settings. Heisler [11] finds the disposition effect among a group of futures traders, Locke and Mann [13] among professional futures traders as well as those advised by brokers, Weber and Camerer [26] in an experime ...
... In other empirical studies, the disposition effect has been documented in many other settings. Heisler [11] finds the disposition effect among a group of futures traders, Locke and Mann [13] among professional futures traders as well as those advised by brokers, Weber and Camerer [26] in an experime ...
Commodity Dependence and Aggregate Risk
... the spot market price of the second good – are determined endogenously by the production/consumption trade-off. The endogeneity of the price moments is what permits one to recover technology and preference parameters from the data. The model also nests single-good, two tree models such as Santos an ...
... the spot market price of the second good – are determined endogenously by the production/consumption trade-off. The endogeneity of the price moments is what permits one to recover technology and preference parameters from the data. The model also nests single-good, two tree models such as Santos an ...
NBER WORKING PAPER SERIES THE EQUITY PREMIUM IN RETROSPECT Rajnish Mehra
... In Table 4 we report the premium for some interesting sub-periods: 1889–1933, when the United States was on a gold standard; 1933–2000, when it was off the gold standard; and 1946–2000, the postwar period. Table 5 presents 30 year moving averages, similar to those reported by the US meteorological s ...
... In Table 4 we report the premium for some interesting sub-periods: 1889–1933, when the United States was on a gold standard; 1933–2000, when it was off the gold standard; and 1946–2000, the postwar period. Table 5 presents 30 year moving averages, similar to those reported by the US meteorological s ...
Option traders use (very) sophisticated heuristics, never the Blackâ
... of future outcomes—in addition to a collection of assumptions that, we will see, are highly invalid mathematically, the main one being the ability to cut the risks using continuous trading which only works in the very narrowly special case of thin-tailed distributions (or, possibly, jumps of a well- ...
... of future outcomes—in addition to a collection of assumptions that, we will see, are highly invalid mathematically, the main one being the ability to cut the risks using continuous trading which only works in the very narrowly special case of thin-tailed distributions (or, possibly, jumps of a well- ...
What is a realistic aversion to risk for real
... monetary sum, or participating in a gamble with better expected return but risk. This is a very good experiment measuring the real-world aversion to risk, as the participants deal with real and significant monetary sums. Binswanger obtains a reasonable size of relative risk aversion under the assump ...
... monetary sum, or participating in a gamble with better expected return but risk. This is a very good experiment measuring the real-world aversion to risk, as the participants deal with real and significant monetary sums. Binswanger obtains a reasonable size of relative risk aversion under the assump ...
Benchmarks as Limits to Arbitrage: Understanding the Low
... gamble with a 50 percent chance of losing $100 versus a 50 percent chance of winning $110? Most people would say no. Despite the positive expected payoff, the possibility of losing $100 is enough to deter participation, even when $100 is trivial compared with wealth or income. Kahneman and Tversky ( ...
... gamble with a 50 percent chance of losing $100 versus a 50 percent chance of winning $110? Most people would say no. Despite the positive expected payoff, the possibility of losing $100 is enough to deter participation, even when $100 is trivial compared with wealth or income. Kahneman and Tversky ( ...
Hedging and Vertical Integration in Electricity Markets
... and are less sensitive to moral hazard (Doherty (1997)), institutions such as reinsurance companies keep an important role. In Gibson, Habib and Ziegler (2007), the importance of non-market mechanisms stems from excessive information gathering from investors in financial markets. In our setting, ver ...
... and are less sensitive to moral hazard (Doherty (1997)), institutions such as reinsurance companies keep an important role. In Gibson, Habib and Ziegler (2007), the importance of non-market mechanisms stems from excessive information gathering from investors in financial markets. In our setting, ver ...
Adaptive Expectations and Stock Market Crashes.
... Section 2. Section 3 explains the naive traders’ beliefs. The model is presented in Section 4 and solved in Section 5. ...
... Section 2. Section 3 explains the naive traders’ beliefs. The model is presented in Section 4 and solved in Section 5. ...
M@thematical Economics - Md.ahsan
... on the study of the economy as a whole and deals with issues such as the level of overall activity (gross domestic product or GDP), interest rtes, federal budgets, international trade and currency questions, and federal taxes. Microeconomics, on the other hand, deals with the behavior of individual ...
... on the study of the economy as a whole and deals with issues such as the level of overall activity (gross domestic product or GDP), interest rtes, federal budgets, international trade and currency questions, and federal taxes. Microeconomics, on the other hand, deals with the behavior of individual ...
The “Production” of Accounting Information Between Regulatory and
... Unlike advocates of the free market approach, supporters of the first mentioned trend (the one dealing with market failures) believe that the specific features of accounting information make it impossible to treat such data as ordinary economic assets. Therefore, in some cases, the necessary conditi ...
... Unlike advocates of the free market approach, supporters of the first mentioned trend (the one dealing with market failures) believe that the specific features of accounting information make it impossible to treat such data as ordinary economic assets. Therefore, in some cases, the necessary conditi ...
Consumption Based Asset Pricing After 25 Years
... Consumption Based Asset Pricing Outline of Paper 1. Consumption and marginal utility. 2. Consumption risks of corporate profits & cash flows. Capital budgeting. 3. Consumption betas vs. market betas for industries. 4. Term structure slope and consumption growth. 5. Risk and return and the “Maximum ...
... Consumption Based Asset Pricing Outline of Paper 1. Consumption and marginal utility. 2. Consumption risks of corporate profits & cash flows. Capital budgeting. 3. Consumption betas vs. market betas for industries. 4. Term structure slope and consumption growth. 5. Risk and return and the “Maximum ...
Redalyc.CONTEXT CHANGE EXPLAINS RESURGENCE AFTER
... Extinguished operant behavior can return or “resurge” when a response that has replaced it is also extinguished. Typically studied in nonhuman animals, the resurgence effect may provide insight into relapse that is seen when reinforcement is discontinued following human contingency management (CM) a ...
... Extinguished operant behavior can return or “resurge” when a response that has replaced it is also extinguished. Typically studied in nonhuman animals, the resurgence effect may provide insight into relapse that is seen when reinforcement is discontinued following human contingency management (CM) a ...
View/Open
... periods within each crop year. The data used to calculate these returns were from the 1970-1971 to 1987-1988 marketing years. The marketing periods evaluated within each crop year were December, February, and April. Different varieties were marketed in each period because of differences in maturatio ...
... periods within each crop year. The data used to calculate these returns were from the 1970-1971 to 1987-1988 marketing years. The marketing periods evaluated within each crop year were December, February, and April. Different varieties were marketed in each period because of differences in maturatio ...
Heterogeneous Risk Preferences in Financial Markets
... differ in their risk aversion parameter, their rate of time preference, and their beliefs. However, they focus on issues of long run survival and price. I build on their results by studying how changes in the distribution of preferences effect the short run dynamics of the model, while focusing on a ...
... differ in their risk aversion parameter, their rate of time preference, and their beliefs. However, they focus on issues of long run survival and price. I build on their results by studying how changes in the distribution of preferences effect the short run dynamics of the model, while focusing on a ...
Consumer Sovereignty: the Key to Mises`s Economics (revised)
... also reflects a view of entrepreneur role that is uniquely praxeological. By taking this view and following a specific analytical mode of deconstruction, one can trace all want-satisfying (i.e. all entrepreneur) actions in a market economy back to the category of action – the use of means to achieve ...
... also reflects a view of entrepreneur role that is uniquely praxeological. By taking this view and following a specific analytical mode of deconstruction, one can trace all want-satisfying (i.e. all entrepreneur) actions in a market economy back to the category of action – the use of means to achieve ...
A Theory of Disappointment
... a decision turns out favorably and we experience negative emotions when a decision turns out unfavorably. Psychologists have long recognized the importance of anticipatory emotions. Two of the emotions that attracted most attention from those researchers are regret and disappointment (Mellers 2000, ...
... a decision turns out favorably and we experience negative emotions when a decision turns out unfavorably. Psychologists have long recognized the importance of anticipatory emotions. Two of the emotions that attracted most attention from those researchers are regret and disappointment (Mellers 2000, ...
Asset pricing in the frequency domain: theory and empirics
... covariance of its return with current and expected future consumption growth. For the intertemporal CAPM (Merton, 1973; Campbell, 1993), risk premia depend on covariances with shocks to both current market returns and also future expected returns. And in a¢ne term structure models, we show that risk ...
... covariance of its return with current and expected future consumption growth. For the intertemporal CAPM (Merton, 1973; Campbell, 1993), risk premia depend on covariances with shocks to both current market returns and also future expected returns. And in a¢ne term structure models, we show that risk ...
Reinforcement - Basic Knowledge 101
... In his 1967 paper, Arbitrary and Natural Reinforcement, Charles Ferster proposed classifying reinforcement into events that increase frequency of an operant as a natural consequence of the behavior itself, and events that are presumed to affect frequency by their requirement of human mediation, such ...
... In his 1967 paper, Arbitrary and Natural Reinforcement, Charles Ferster proposed classifying reinforcement into events that increase frequency of an operant as a natural consequence of the behavior itself, and events that are presumed to affect frequency by their requirement of human mediation, such ...
partition-dependent framing effects in lab and field prediction markets
... A number of recent psychological experiments have shown that the judged probability distribution of a continuous variable, such as the closing price of a stock index, depends on the particular intervals into which the variable’s possible values are divided, a phenomenon called “partition-dependence. ...
... A number of recent psychological experiments have shown that the judged probability distribution of a continuous variable, such as the closing price of a stock index, depends on the particular intervals into which the variable’s possible values are divided, a phenomenon called “partition-dependence. ...
Individual vs. Aggregate Preferences
... Second, we build on the first result by showing that agent heterogeneity can lead to an aggregate economy that is risk averse. When risk-seeking agents facing perfect competition and a budget constraint are distributed across a large number of wealth classes, the aggregate economy has convex and dif ...
... Second, we build on the first result by showing that agent heterogeneity can lead to an aggregate economy that is risk averse. When risk-seeking agents facing perfect competition and a budget constraint are distributed across a large number of wealth classes, the aggregate economy has convex and dif ...
Model Uncertainty, Limited Market Participation, and Asset Prices
... values of its component firms, that is, there is a diversification (conglomerate) discount. Our study follows the Knightian approach to model uncertainty which differs from the more common Bayesian approach. In the Bayesian approach, when facing model uncertainty, the investor uses a prior distribut ...
... values of its component firms, that is, there is a diversification (conglomerate) discount. Our study follows the Knightian approach to model uncertainty which differs from the more common Bayesian approach. In the Bayesian approach, when facing model uncertainty, the investor uses a prior distribut ...
Herd Behaviour and Cascading in Capital Markets: a Review and
... exploration of the proposition that irrational investor errors cause market misvaluation of assets. This includes some exploration of whether there is contagion in biases across different investor groups, or from analysts to investors; and exploration of whether firms take actions to exploit market ...
... exploration of the proposition that irrational investor errors cause market misvaluation of assets. This includes some exploration of whether there is contagion in biases across different investor groups, or from analysts to investors; and exploration of whether firms take actions to exploit market ...
ptec 155 – developmental disabilities module
... is set up to teach more adaptable behavior. Society usually punishes in response to maladaptive behavior without correcting the faulty learning. In short, behavior modification seeks to ACCENTUATE THE POSITIVE TO ELIMINATE THE NEGATIVE. ...
... is set up to teach more adaptable behavior. Society usually punishes in response to maladaptive behavior without correcting the faulty learning. In short, behavior modification seeks to ACCENTUATE THE POSITIVE TO ELIMINATE THE NEGATIVE. ...