33 Pages Posted: 7 Dec 2009 Last revised: 6 May 2016
Date Written: December 7, 2009
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.
Keywords: asset pricing, heterogeneous agents, technical analysis
JEL Classification: G11,G12
Suggested Citation: 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). Journal of Economic Behavior and Organization, Vol. 105, 2014. Available at SSRN: https://ssrn.com/abstract=1519987 or http://dx.doi.org/10.2139/ssrn.1519987