Rational Trend Followers and Contrarians in Excessively Volatile, Correlated Markets
نویسندگان
چکیده
منابع مشابه
Rational Trend-Followers and Contrarians in Excessively Volatile, Correlated Markets
This paper studies an overlapping generations model with multiple securities and heterogeneously informed agents. There are two types of multiplicity of equilibria, one due to noisy rational expectations and the other resulting from self-fulfilling prophecies. Under general conditions, there exists an equilibrium in which stock returns are highly volatile and strongly correlated, even if all un...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.302066