کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
865931 | 909688 | 2007 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Heterogeneous Beliefs, Trading Volume, and Seemingly Emotional Stock Market Behavior
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موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
مهندسی (عمومی)
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چکیده انگلیسی
Various information types and rational learning methods have shown that heterogeneous belief changes in a rational expectation model can explain many empirical findings in stock markets, such as momentum, contrarians, and technical trading. The methods have also shown that momentum and price movements can coexist in an asset market with only rational agents. The purpose of this paper is to provide a rational economic theory to explain these phenomena. Results of a dynamic programming model with heterogeneous beliefs show that the dynamic interactions between information diffusion and belief changes create continuation and reversals. The duration and magnitude of momentum and price movements are associated with trading volume. Therefore, rational investors should incorporate price and volume information in their trading decisions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Tsinghua Science & Technology - Volume 12, Issue 3, June 2007, Pages 352-360
Journal: Tsinghua Science & Technology - Volume 12, Issue 3, June 2007, Pages 352-360
نویسندگان
Chen (éå±è¾), YANG (æ¨ ç),