Heterogeneous expectations in asset pricing: Empirical evidence from the S&amp;P500

Chiarella, C; He, XZ; Zwinkels, RCJ

Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500

Chiarella, C He, XZ

Zwinkels, RCJ

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Publication Type:: Journal Article
Citation:: Journal of Economic Behavior and Organization, 2014, 105 pp. 1 - 16
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Zwinkels, RCJ	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Journal of Economic Behavior and Organization, 2014, 105 pp. 1 - 16	en_US
dc.identifier.issn	0167-2681	en_US
dc.identifier.uri	http://hdl.handle.net/10453/122222
dc.description.abstract	This paper empirically assesses heterogeneous expectations in asset pricing. We use a maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical results are consistent with a market populated with fundamentalists and chartists. In addition, agents switch between these groups conditional on their previous performance. The results imply that the model can explain the inflation and deflation of bubbles. Finally, the model is shown to be in the deterministically stable region, but produces stochastic bubbles of similar length and magnitude as empirically observed. © 2014 Elsevier B.V.	en_US
dc.relation.ispartof	Journal of Economic Behavior and Organization	en_US
dc.relation.isbasedon	10.1016/j.jebo.2014.03.003	en_US
dc.subject.classification	Economics	en_US
dc.title	Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500	en_US
dc.type	Journal Article
utslib.citation.volume	105	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	105	en_US

Abstract:

This paper empirically assesses heterogeneous expectations in asset pricing. We use a maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical results are consistent with a market populated with fundamentalists and chartists. In addition, agents switch between these groups conditional on their previous performance. The results imply that the model can explain the inflation and deflation of bubbles. Finally, the model is shown to be in the deterministically stable region, but produces stochastic bubbles of similar length and magnitude as empirically observed. © 2014 Elsevier B.V.

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http://hdl.handle.net/10453/122222

Heterogeneous expectations in asset pricing: Empirical evidence from the S&amp;P500

Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500