arXiv 11 Feb 2018 · Finance — Trading
arXiv:1802.03735 · PDF · DOI · OpenAlex · Extracted main text
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information about the fundamental value, the agents form different evaluations about heterogeneous strategies. We exploit a thin set---a small sub-population---to pointly identify this nonlinear model, and estimate the structural parameters using extended method of moments. Based on the estimated parameters, the model produces return time series that emulate the moments of the real data. These results are robust across different sample periods and estimation methods.
appendix boundary found by appendix_command · 55% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gagliardini, P., C. Gourieroux, and E. Renault (2011) Efficient derivative pricing by the extended method of moments | 0.874 | 6 | 4 | 67% |
| 2 | Antoine, B. and E. Renault (2012) Efficient minimum distance estimation with multiple rates of convergence | 0.811 | 5 | 2 | 80% |
| 3 | Chiarella, C., X.-Z. He, W. Huang, and H. Zheng (2012) Estimating behavioural heterogeneity under regime switching | 0.737 | 3 | 2 | 100% |
| 4 | Rothenberg, T. J (1971) Identification in parametric models | 0.737 | 3 | 2 | 100% |
| 5 | Lux, T (1995) Herd behaviour, bubbles and crashes | 0.644 | 4 | 2 | 50% |
| 6 | Hirshleifer, D. and A. V. Thakor (1992) Managerial conservatism, project choice, and debt | 0.644 | 2 | 2 | 100% |
| 7 | Khan, S. and E. Tamer (2010) Irregular identification, support conditions, and inverse weight estimation | 0.644 | 2 | 2 | 100% |
| 8 | Komunjer, I (2012) Global identification in nonlinear models with moment restrictions | 0.644 | 2 | 2 | 100% |
| 9 | Newey, W. K. and D. McFadden (1994) Large sample estimation and hypothesis testing | 0.644 | 2 | 2 | 100% |
| 10 | Brock, W. A. and C. H. Hommes (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 44 scored citations.