Asset Pricing in a Monetary Economy with Heterogeneous Beliefs

2009 ◽  
Author(s):  
Benjamin Croitoru ◽  
Lei Lu
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Beliefs ◽  
Monetary Economy

Asset Pricing in a Monetary Economy with Heterogeneous Beliefs

2015 ◽  
Vol 61 (9) ◽  
pp. 2203-2219 ◽  
Author(s):  
Benjamin Croitoru ◽  
Lei Lu
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Beliefs ◽  
Monetary Economy

scholarly journals IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?

2011 ◽  
Vol 16 (3) ◽  
pp. 335-357 ◽  
Author(s):  
Cars Hommes ◽  
Tatiana Kiseleva ◽  
Yuri Kuznetsov ◽  
Miroslav Verbic
Keyword(s):  
Asset Pricing ◽  
Multinomial Logit Model ◽  
Heterogeneous Beliefs ◽  
Pricing Model ◽  
Key Factors ◽  
Evolutionary Selection ◽  
Asset Pricing Model ◽  
Economic Fundamentals ◽  
Selection Dynamics ◽  
The Stability

We investigate the effects of memory on the stability of evolutionary selection dynamics based on a multinomial logit model in a simple asset pricing model with heterogeneous beliefs. Whether memory is stabilizing or destabilizing depends in general on three key factors: (1) whether or not the weights on past observations are normalized; (2) the ecology or composition of forecasting rules, in particular the average trend extrapolation factor and the spread or diversity in biased forecasts; and (3) whether or not costs for information gathering of economic fundamentals have to be incurred.

scholarly journals Asset Pricing with Heterogeneous Beliefs and Illiquidity

2019 ◽  
Author(s):  
Johannes Muhle-Karbe ◽  
Marcel Nutz ◽  
Xiaowei Tan
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Beliefs

scholarly journals Analysis of a Heterogeneous Trader Model for Asset Price Dynamics

2011 ◽  
Vol 2011 ◽  
pp. 1-12 ◽  
Author(s):  
Andrew Foster ◽  
Natasha Kirby
Keyword(s):  
Asset Pricing ◽  
Fixed Points ◽  
Asset Price ◽  
Homoclinic Bifurcation ◽  
Heterogeneous Beliefs ◽  
Financial Asset ◽  
Global Bifurcations ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Stability And Bifurcations

We examine an asset pricing model of Westerhoff (2005). The model incorporates heterogeneous beliefs among traders, specifically fundamentalists and trend-chasing chartists. The form of the model is shown here to be a nonlinear planar map. Since it contains a single parameter, the model may be considered the simplest effective model yet derived for financial asset pricing with heterogeneous trading. Analysis of the map yields results for stability and bifurcations of fixed points and periodic orbits. The model has intricate attractor basin behavior and global bifurcations to chaos: symmetric homoclinic bifurcation and boundary crisis.

Money and the C-CAPM

2009 ◽  
Vol 44 (2) ◽  
pp. 337-368 ◽  
Author(s):  
Ronald J. Balvers ◽  
Dayong Huang
Keyword(s):  
Asset Pricing ◽  
Explanatory Power ◽  
Capital Asset Pricing ◽  
Money Growth ◽  
Liquidity Shocks ◽  
A Value ◽  
Asset Pricing Models ◽  
Monetary Economy ◽  
Growth Firms ◽  
Intertemporal Asset Pricing

AbstractWe consider asset pricing in a monetary economy where liquid assets are held to lower transaction costs. The ensuing model extends the capital asset pricing model (CAPM) and the consumption CAPM by deriving real money growth as an additional factor determining returns. Empirically, the two model versions compare favorably to other theoretical asset pricing models along several dimensions, supporting the traditional intertemporal asset pricing perspective. A value premium arises because value firms are sensitive to liquidity shocks but growth firms are not. Although no alternative factor drives out the money growth factor, the conditioning CAY factors of Lettau and Ludvigson (2001b) add explanatory power.

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