کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097955 | 1478665 | 2017 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Booms, busts and behavioural heterogeneity in stock prices
ترجمه فارسی عنوان
بومها، بیتس و ناهمگونی رفتاری در قیمت سهام
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
We estimate a behavioural heterogeneous agents model with boundedly rational traders who know the fundamental stock price, but disagree about the persistence of deviations from the fundamental. Some agents (fundamentalists) believe in mean-reversion of stock prices, while others (chartists) expect a continuation of the trend. Agents gradually switch between the two rules, based upon their relative performance, leading to self-reinforcing regimes of mean-reversion and trend-following. For the fundamental benchmark price we use two well-known models, the Gordon model with a constant risk premium and the Campbell-Cochrane consumption-habit model with a time-varying risk premium. We estimate a two-type switching model using U.S. stock prices until 2016Q4. The estimations show an improvement over representative agent models that is both statistically and economically significant. Our model suggests that behavioural regime switching strongly amplifies booms and busts, in particular, the dot-com bubble and the financial crisis in 2008.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 80, July 2017, Pages 101-124
Journal: Journal of Economic Dynamics and Control - Volume 80, July 2017, Pages 101-124
نویسندگان
Cars Hommes, Daan in 't Veld,