منابع مشابه
Speculative Risk Averse Investor Behavior in a Pure Exchange Economy
We study a pure exchange economy where two classes of infinitely-lived identical isoelastic traders with heterogeneous expectations about state transitions trade a risky asset and a riskless bond. We provide conditions on agents’ preferences and beliefs under which a speculative phenomenon as reported in Harrison and Kreps (1978) arises. No speculation appears when the risk aversion coefficient...
متن کاملModeling Speculative Bubbles with Diverse Investor Expectations∗
We construct a model of asset market exuberance, collapse and recovery using subjective investor-based rational expectations about the impact of fundamentals on the market price. Investors are assumed to have heterogeneous market sentiments, allowing them to be exuberant, cautious, or fundamentalist via boundary conditions that describe their respective views of the market impact of the same ec...
متن کاملInterest and Inflation Risk: Investor Behavior
We examine investor behavior under interest and inflation risk in different scenarios. To that end, we analyze the relation between stock returns and unexpected changes in nominal and real interest rates and inflation for the US stock market. This relation is examined in detail by breaking the results down from the US stock market level to sector, sub-sector, and to individual industries as the...
متن کاملInvestor attention, overconfidence and category learning
Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors’ attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to category-learning behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure...
متن کاملLearning and Complementarities in Speculative Attacks
We study a model where the aggregate trading of currency speculators reveals new information to the central bank and affects its policy decision. We show that the learning process gives rise to coordination motives among speculators leading to large currency attacks and introducing non-fundamental volatility into exchange rates and policy decisions. We show that the central bank can improve the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Quarterly Journal of Economics
سال: 1996
ISSN: 0033-5533,1531-4650
DOI: 10.2307/2946709