Abstract

http://ssrn.com/abstract=1519987
 
 

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Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P 500


Carl Chiarella


University of Technology, Sydney - UTS Business School, Finance Discipline Group; Financial Research Network (FIRN)

Xuezhong He


University of Technology Sydney (UTS) - School of Finance and Economics

Remco C. J. Zwinkels


Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Erasmus Research Institute of Management (ERIM); Tinbergen Institute

December 7, 2009


Abstract:     
This paper empirically estimates a heterogeneous agents model using S&P 500 data. While previous studies on heterogeneous agents models typically resort to simulation techniques, our empirical results indicate that the market is populated with fundamentalists, chartists, and noise traders. In addition, agents switch between these groups conditional on their previous performance. As a result, the model is capable of explaining the inflation and deflation of bubbles. Finally, it is reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering.

Number of Pages in PDF File: 33

Keywords: asset pricing, heterogeneous agents, technical analysis

JEL Classification: G11,G12

working papers series


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Date posted: December 7, 2009 ; Last revised: February 17, 2011

Suggested Citation

Chiarella, Carl and He, Xuezhong and Zwinkels, Remco C. J., Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P 500 (December 7, 2009). Available at SSRN: http://ssrn.com/abstract=1519987 or http://dx.doi.org/10.2139/ssrn.1519987

Contact Information

Carl Chiarella
University of Technology, Sydney - UTS Business School, Finance Discipline Group ( email )
PO Box 123
Broadway, NSW 2007
Australia
+61 2 9514 7719 (Phone)
+61 2 9514 7711 (Fax)
HOME PAGE: http://www.business.uts.edu.au/finance/
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Xue-Zhong 'Tony' He
University of Technology Sydney (UTS) - School of Finance and Economics ( email )
Haymarket
Sydney, NSW 2007
Australia
Remco C.J. Zwinkels (Contact Author)
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
Netherlands
+31104081428 (Phone)
+31104089165 (Fax)
HOME PAGE: http://people.few.eur.nl/zwinkels
Erasmus Research Institute of Management (ERIM) ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
Tinbergen Institute ( email )
P.O. Box 1738
3000 DR Rotterdam
Netherlands
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