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Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 15-088/II
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules, based upon their relative performance, leading to self-reinforcing regimes of mean-reversion and trend-following. For the fundamental price we use well-known models of Gordon (1962) and Campbell and Cochrane (1999). We estimate the two-type switching model using U.S. stock prices until 2012Q4 and find signicant behavioural heterogeneity. Our model suggests that behavioural regime switching strongly amplifies booms and busts in stock prices.
Schlagwörter: 
behavioural finance
bounded rationality
heterogeneous expectations
stock prices
financial crisis
JEL: 
C22
G01
G12
Dokumentart: 
Working Paper
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