منابع مشابه
Dynamic portfolio selection with mispricing and model ambiguity
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Despite abundant evidence that firms’ characteristics predict their asset returns, we know little about how much firms’ asset prices deviate from their true values. Such mispricing could be distinct from observed return predictability if investors have biased beliefs that are not highly correlated with firms’ characteristics. We use a model to estimate the extent of information processing biase...
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In an exchange economy under uncertainty populated by multiple consumers, we how the heterogeneity in the individual consumers’ subjective beliefs affect the representative consumer’s utility function. We derive a formula that indicates that the more heterogeneous the individual consumers’ beliefs are, the higher probabilities the representative consumer’s belief attaches to extreme events that...
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Testing market effi ciency in betting markets does not necessarily get around the joint hypothesis problem because the result depends on the assumed role of bookmakers. In a simple model of monopolistic competition, bookmakers’ rational pricing induces the Favorite-Longshot Bias even without bettors’irrationality (Rational Mispricing) and accommodates bettors’irrational beliefs to exploit betti...
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ژورنال
عنوان ژورنال: DEStech Transactions on Social Science, Education and Human Science
سال: 2017
ISSN: 2475-0042
DOI: 10.12783/dtssehs/mess2017/12106