Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
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Publication:4178740
DOI10.2307/1884166zbMATH Open0395.90017OpenAlexW2012679794MaRDI QIDQ4178740FDOQ4178740
Authors: J. Michael Harrison, David M. Kreps 
Publication date: 1978
Published in: The Quarterly Journal of Economics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/25cd1a24a53ca2c92c368cc56d898360ff785532
Cited In (84)
- Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
- Asset price bubbles, market liquidity, and systemic risk
- Rational destabilization in a frictionless market
- Internal rationality, imperfect market knowledge and asset prices
- A liquidity-based model for asset price bubbles
- Heterogeneous beliefs, the term structure and time-varying risk premia
- Momentum and reversal: the role of short selling
- Financial leverage and market volatility with diverse beliefs
- Learning from experience in the stock market
- Beauty contests under private information and diverse beliefs: How different?
- Heterogeneity in decentralized asset markets
- House price dynamics with dispersed information
- Arbitrage, martingales and bubbles
- Speculation under unawareness
- Novel advancements in the Markov chain stock model: analysis and inference
- The simplest rational greater-fool bubble model
- Biased learning creates overconfidence
- Speculative trade under ambiguity
- A finite model of riding bubbles
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models
- Market crashes, speculation and learning in financial markets
- Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market
- A leverage-based model of speculative bubbles
- Rational asset pricing bubbles and debt constraints
- Partially revealing rational expectations equilibrium with real assets and binding constraints
- Learning, rare events, and recurrent market crashes in frictionless economies without intrinsic uncertainty
- Stock market volatility and public information flow: a non-linear perspective
- Rational asset pricing bubbles and portfolio constraints
- Shifting martingale measures and the birth of a bubble as a submartingale
- Bubbles in assets with finite life
- Managerial manipulation, corporate governance, and limited market participation
- Portfolio choice and pricing in illiquid markets
- The Formation of Financial Bubbles in Defaultable Markets
- Heterogeneous beliefs, monetary policy, and stock price volatility
- Short-selling restrictions, takeovers and the wealth of long-run shareholders
- Financial reporting and market efficiency with extrapolative investors
- Private information and sunspots in sequential asset markets
- Survival in speculative markets
- Correlated equilibrium with generalized information structures
- Information in Continuous Time Decision Models with Many Agents
- Short-sale constraints, information acquisition, and asset prices
- Price distortions under coarse reasoning with frequent trade
- The impact of short-selling constraints on financial market stability in a heterogeneous agents model
- Asset price bubbles from heterogeneous beliefs about~mean reversion rates
- Asset price bubbles in incomplete markets
- Monetary valuation of cash flows under Knightian uncertainty
- Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
- A dynamical systems model of price bubbles and cycles
- Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
- Duality and General Equilibrium Theory Under Knightian Uncertainty
- A self-equilibrium Friedman-like urn via stochastic approximation
- Diverse beliefs and time variability of risk premia
- Portfolio constraints, differences in beliefs and bubbles
- A risk-neutral equilibrium leading to uncertain volatility pricing
- Asset price bubbles in markets with transaction costs
- Diverse beliefs
- Welfare effects of short-sale constraints under heterogeneous beliefs
- Bayesian learning with multiple priors and nonvanishing ambiguity
- Heterogeneous society in binary choices with externalities
- Short sale constraints, correlation and market efficiency
- Timing games with irrational types: leverage-driven bubbles and crash-contingent claims
- Introduction to financial economics
- Short-covering bubbles
- Mispricing: failure to capture the risk preferences dependent on market states
- Distrust in experts and the origins of disagreement
- Belief aggregation for representative agent models
- Asset shortages, liquidity and speculative bubbles
- Liquidity Based Modeling of Asset Price Bubbles via Random Matching
- Asset trading under non-classical ambiguity and heterogeneous beliefs
- Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
- An approach to the absence of price bubbles through state-price deflators
- Herding through booms and busts
- Default-risky bond prices with jumps, liquidity risk and incomplete information
- A THREE‐STATE RATIONAL GREATER‐FOOL BUBBLE MODEL WITH INTERTEMPORAL CONSUMPTION SMOOTHING
- Coordinated bubbles and crashes
- (A)symmetric information bubbles: experimental evidence
- Snowballing private information
- Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics
- Financial asset bubbles in banking networks
- Detecting asset price bubbles using deep learning
- Liquidity induced asset bubbles via flows of ELMMs
- Arbitrage theory with state-price deflators
- Inefficient bubbles and efficient drawdowns in financial markets
- Conditions for bubbles to arise under heterogeneous beliefs
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