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

Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider a long-only strategy that involves only published anomalies and non-forward-looking filters and that each year recursively picks the best past-performer among such anomalies over a given training period. We find that this strategy can outperform the equity market even after transaction costs. Overall, our results suggest that published anomalies persist even after controlling for data-snooping bias.

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The competitions of time-varying and constant loadings in asset pricing models: empirical evidence and agent-based simulations

Journal of Economic Interaction and Coordination ◽

10.1007/s11403-021-00337-2 ◽

2021 ◽

Author(s):

Hung-Wen Lin ◽

Jing-Bo Huang ◽

Kun-Ben Lin ◽

Shu-Heng Chen

Keyword(s):

Asset Pricing ◽

Empirical Evidence ◽

Time Varying ◽

Pricing Models ◽

Agent Based ◽

Asset Pricing Models ◽

Agent Based Simulations

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Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Model

Computational Economics ◽

10.1007/s10614-016-9607-y ◽

2016 ◽

Vol 50 (2) ◽

pp. 231-279 ◽

Cited By ~ 2

Author(s):

Tomasz Makarewicz

Keyword(s):

Asset Pricing ◽

Information Networks ◽

Pricing Model ◽

Heterogeneous Expectations ◽

Asset Pricing Model

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Intermediary Asset Pricing and the Financial Crisis

Annual Review of Financial Economics ◽

10.1146/annurev-financial-110217-022636 ◽

2018 ◽

Vol 10 (1) ◽

pp. 173-197 ◽

Cited By ~ 4

Author(s):

Zhiguo He ◽

Arvind Krishnamurthy

Keyword(s):

Asset Pricing ◽

Financial Crisis ◽

Empirical Evidence ◽

Asset Prices ◽

Financial Intermediation ◽

Risk Premia

Intermediary asset pricing understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phenomena in the financial crisis, intermediary asset pricing has been one of the fastest-growing areas of research in finance. This article explains the theory behind intermediary asset pricing and, in particular, how it is different from other approaches to asset pricing. This article also covers selective empirical evidence in favor of intermediary asset pricing.

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