Rational Speculators, Contrarians, and Excess Volatility
Published Online:31 Jul 2014https://doi.org/10.1287/mnsc.2014.1937
References
- (2005) Estimation of agent-based models: The case of an asymmetric herding model. Comput. Econom. 26(1):19–49.Crossref, Google Scholar
- (2012) Regime changes and financial markets. Annual Rev. Financial Econom. 4(1):313–337.Crossref, Google Scholar
- (2012) Asset pricing with heterogeneous investment horizons. Stud. Nonlinear Dynam. Econometrics 16(4): Article 2.Google Scholar
- (1986) Rationality of self and others in an economic system. J. Bus. 59(4):S385–S399.Crossref, Google Scholar
- (2003) A survey of behavioral finance. Constantinides GM, Harris M, eds. Handbook of the Economics of Finance, Vol. 1B (Elsevier, Amsterdam), 1053–1128.Google Scholar
- (1998) A model of investor sentiment. J. Financial Econom. 49(3):307–343.Crossref, Google Scholar
- (2014) Heterogeneous expectations in the gold market: Specification and estimation. J. Econom. Dynam. Control 40:116–133.Crossref, Google Scholar
- (1982) Bubbles, rational expectations and financial markets. NBER Working Paper 945, National Bureau of Economic Research, Cambridge, MA.Crossref, Google Scholar
- (2002) Predicting the next step of a random walk: Experimental evidence of regime-shifting beliefs. J. Financial Econom. 65(3):397–414.Crossref, Google Scholar
- (2009) How noise trading affects markets: An experimental analysis. Rev. Financial Stud. 22(6):2275–2302.Crossref, Google Scholar
- (2007) Behavioral heterogeneity in stock prices. J. Econom. Dynam. Control 31(6):1938–1970.Crossref, Google Scholar
- (2008) Analyst behavior following IPOs: The “bubble period” evidence. Rev. Financial Stud. 21(1):101–133.Crossref, Google Scholar
- (2010) Asset return dynamics and learning. Rev. Financial Stud. 23(4):1651–1680.Crossref, Google Scholar
- (2011) Learning about risk and return: A simple model of bubbles and crashes. Amer. Econom. J.: Macroeconomics 3(3):159–191.Crossref, Google Scholar
- (1997) A rational route to randomness. Econometrica 65(5):1059–1096.Crossref, Google Scholar
- (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J. Econom. Dynam. Control 22(8–9):1235–1274.Crossref, Google Scholar
- (1987) Cointegration and tests of present value models. J. Political Econom. 95(5):1062–1088.Crossref, Google Scholar
- (1988) The dividend-price ratio and expectations of future dividends and discount factors. Rev. Financial Stud. 1(3):195–228.Crossref, Google Scholar
- (2011) Presidential address: Discount rates. J. Finance 66(4):1047–1108.Crossref, Google Scholar
- (2012) Behavioral heterogeneity in US inflation dynamics. CeNDEF Working Paper 12-03, Center for Nonlinear Dynamics in Economics and Finance, Universiteit van Amsterdam, Amsterdam.Google Scholar
- (1981) Several tests for model specification in the presence of alternative hypotheses. Econometrica 49(3):781–793.Crossref, Google Scholar
- (1990a) Noise trader risk in financial markets. J. Political Econom. 98(4):703–738.Crossref, Google Scholar
- (1990b) Positive feedback investment strategies and destabilizing rational speculation. J. Finance 45(2):379–395.Crossref, Google Scholar
- (1997) Returns to contrarian investment strategies: Tests of naive expectations hypotheses. J. Financial Econom. 43(1):3–27.Crossref, Google Scholar
- (2012) Fundamentals or trends? A long-term perspective on house prices. Working Paper 2012-16, Amsterdam School of Real Estate, Amsterdam.Google Scholar
- (2012) The log-linear return approximation, bubbles, and predictability. J. Financial Quant. Anal. 47(3):643–665.Crossref, Google Scholar
- (2001) Disappearing dividends: Changing firm characteristics or lower propensity to pay? J. Financial Econom. 60(1):3–43.Crossref, Google Scholar
- (1991) Econometric aspects of the variance-bounds tests: A survey. Rev. Financial Stud. 4(4):753–791.Crossref, Google Scholar
- (2000) The investment behavior and performance of various investor types: A study of Finland's unique data set. J. Financial Econom. 55(1):43–67.Crossref, Google Scholar
- (2008) Econometric tests of asset price bubbles: Taking stock. J. Econom. Surveys 22(1):166–186.Crossref, Google Scholar
- (2013) Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (Cambridge University Press, New York).Crossref, Google Scholar
- (2005) Coordination of expectations in asset pricing experiments. Rev. Financial Stud. 18(3):955–980.Crossref, Google Scholar
- (1999) A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Finance 54(6):2143–2184.Crossref, Google Scholar
- (2007) Simple forecasts and paradigm shifts. J. Finance 62(3):1207–1242.Crossref, Google Scholar
- (1995) Overreaction, delayed reaction, and contrarian profits. Rev. Financial Stud. 8(4):973–993.Crossref, Google Scholar
- (2008) Individual investor trading and stock returns. J. Finance 63(1):273–310.Crossref, Google Scholar
- (2011) Chasing trends in the US housing market. Working paper, Erasmus University, Rotterdam, The Netherlands.Google Scholar
- (1994) Contrarian investment, extrapolation, and risk. J. Finance 49(5):1541–1578.Crossref, Google Scholar
- (2012) Heterogeneity in stock prices: A STAR model with multivariate transition function. J. Econom. Dynam. Control 36(12):1845–1854.Crossref, Google Scholar
- (2013) Noncausality and asset pricing. Stud. Nonlinear Dynam. Econometrics 17(2):211–220.Google Scholar
- (2004) Applied Time Series Econometrics (Cambridge University Press, Cambridge, UK).Crossref, Google Scholar
- (2003) Dotcom mania: The rise and fall of Internet stock prices. J. Finance 58(3):1113–1138.Crossref, Google Scholar
- (2008) Bubbles: Some perspectives (and loose talk) from history. Rev. Financial Stud. 21(1):11–17.Crossref, Google Scholar
- (2011) Herding and contrarian behavior in financial markets. Econometrica 79(4):973–1026.Crossref, Google Scholar
- (2006) Was there a NASDAQ bubble in the late 1990s? J. Financial Econom. 81(1):61–100.Crossref, Google Scholar
- (2011) Explosive behavior in the 1990s' NASDAQ: When did exuberance escalate asset values? Internat. Econom. Rev. 52(1):201–226.Crossref, Google Scholar
- (1981) Do stock prices move too much to be justified by subsequent changes in dividends? Amer. Econom. Rev. 71(3):421–436.Google Scholar
- (2012) Financial crises in efficient markets: How fundamentalists fuel volatility. J. Banking Finance 36(1):105–111.Crossref, Google Scholar
- (2010) Oil price dynamics: A behavioral finance approach with heterogeneous agents. Energy Econom. 32(6):1427–1434.Crossref, Google Scholar
- (1994) Can agents learn to rational expectations? Some results on convergence and stability of learning in the UK stock market. Econom. J. 104(425):777–797.Google Scholar
- (1988) Dividend innovations and stock price volatility. Econometrica 56(1):37–61.Crossref, Google Scholar

