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Dynamics of behavioral heterogeneity in asset prices
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| 1.22 MB | Adobe PDF |
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Orientador(es)
Resumo(s)
I estimate a stock price model using daily data, wherein investors shift between market
efficiency and momentum beliefs contingent on their prior forecast performance. I find the
presence of dynamic switching behavior, where market efficiency beliefs predominantly
prevail, but occasionally, momentum beliefs become prevalent. While the majority of trading
days show a relatively modest impact of the fraction of momentum believers on stock price
returns, heightened levels in the lagged fraction correspond to a discernible decline in stock
prices. This trend is notably evident on days featuring substantial losses and those characterized
by noteworthy gains.
Descrição
Palavras-chave
Heterogeneous expectations Stock prices Momentum Daily data Behavioral finance Switching strategies