Chiarella, Carl
[VerfasserIn]
;
He, Xuezhong
[Sonstige Person, Familie und Körperschaft];
Zwinkels, Remco C. J.
[Sonstige Person, Familie und Körperschaft]
Heterogeneous Expectations in Asset Pricing
: Empirical Evidence from the S&P 500
Anmerkungen:
In: Journal of Economic Behavior and Organization, Vol. 105, 2014
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 7, 2009 erstellt
Beschreibung:
This paper empirically estimates a heterogeneous agents model using S&P 500 data. While previous studies on heterogeneous agents models typically resort to simulation techniques, our empirical results indicate that the market is populated with fundamentalists, chartists, and noise traders. In addition, agents switch between these groups conditional on their previous performance. As a result, the model is capable of explaining the inflation and deflation of bubbles. Finally, it is reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering