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Learning in Financial Markets

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Author Info

  • Lubos Pastor
  • Pietro Veronesi

    ()
    (Booth School of Business, University of Chicago, Chicago, Illinois 60637)

Abstract

We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock price bubbles, portfolio choice, mutual fund flows, trading volume, and firm profitability, among others.

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File URL: http://www.annualreviews.org/doi/abs/10.1146/annurev.financial.050808.114428
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Bibliographic Info

Article provided by Annual Reviews in its journal Annual Review of Financial Economics.

Volume (Year): 1 (2009)
Issue (Month): 1 (November)
Pages: 361-381

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Handle: RePEc:anr:refeco:v:1:y:2009:p:361-381

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Related research

Keywords: Bayesian; uncertainty; bubble; volatility; predictability;

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References

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