Rodrigues, Paulo Manuel MarquesWolpert, Lea Isabel2025-02-252025-02-252024-01-182024-01-18http://hdl.handle.net/10362/179734I 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.engHeterogeneous expectationsStock pricesMomentumDaily dataBehavioral financeSwitching strategiesmaster thesis203865740