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Asset Pricing with Social Interactions, Adaptive Learning, and Differences in Opinion - DP130103210

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Due to major changes in technological innovation and global competition and connection of financial markets, informed, but not infallible investors, learn from and adapt to these changes in highly competitive and adaptive markets. This project aims to develop a broader framework of evolutionary asset pricing models to analyse the impact of social interactions, adaptive learning, and differences in opinion of investors on asset prices. It will seek to develop novel empirical hypotheses and tests that relate social interactions and adaptive learning behaviour to the dynamics of market risk premia, volatility, trading volume and patterns, and provide implications for policy and market regulation

asset price dynamics,heterogeneous beliefs,bounded rationality