Momentum and Reversal in Financial Markets with Persistent Heterogeneity
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- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," Working Papers 2018:03, Department of Economics, University of Venice "Ca' Foscari".
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- Bottazzi, Giulio & Giachini, Daniele & Ottaviani, Matteo, 2023.
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- Dindo, Pietro, 2019.
"Survival in speculative markets,"
Journal of Economic Theory, Elsevier, vol. 181(C), pages 1-43.
- Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Bottazzi, Giulio & Giachini, Daniele, 2022. "A general equilibrium model of investor sentiment," Economics Letters, Elsevier, vol. 218(C).
- Daniele Giachini, 2018. "Rationality and Asset Prices under Belief Heterogeneity," LEM Papers Series 2018/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Rabah Amir & Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2022.
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Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 655-677, April.
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- Mohamed Sahbi Nakhli & Abderrazak Dhaoui & Julien Chevallier, 2022. "Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors," Annals of Finance, Springer, vol. 18(2), pages 267-283, June.
- Daniele Giachini, 2021. "Rationality and asset prices under belief heterogeneity," Journal of Evolutionary Economics, Springer, vol. 31(1), pages 207-233, January.
- Andrea Antico & Giulio Bottazzi & Daniele Giachini, 2024. "Pricing anomalies in a general equilibrium model with biased learning," LEM Papers Series 2024/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Andrea Antico & Giulio Bottazzi & Daniele Giachini, 2022. "On the evolutionary stability of the sentiment investor," LEM Papers Series 2022/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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More about this item
Keywords
Market Efficiency; Heterogeneous Beliefs; Speculation; Short-term Momentum; Long-term Reversal;All these keywords.
JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
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