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Predicting the next step of a random walk: experimental evidence of regime-shifting beliefs

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  • Bloomfield, Robert
  • Hales, Jeffrey

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  • Bloomfield, Robert & Hales, Jeffrey, 2002. "Predicting the next step of a random walk: experimental evidence of regime-shifting beliefs," Journal of Financial Economics, Elsevier, vol. 65(3), pages 397-414, September.
    • Handle: RePEc:eee:jfinec:v:65:y:2002:i:3:p:397-414
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    Cited by:

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    2. Cade Massey & George Wu, 2005. "Detecting Regime Shifts: The Causes of Under- and Overreaction," Management Science, INFORMS, vol. 51(6), pages 932-947, June.
    3. Balakrishnan, Karthik & Bartov, Eli & Faurel, Lucile, 2010. "Post loss/profit announcement drift," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 20-41, May.
    4. Alwathainani, Abdulaziz M., 2012. "Consistent winners and losers," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 210-220.
    5. Lu, Tsung-Hsun, 2014. "The profitability of candlestick charting in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 65-78.
    6. Wu, Chen-Hui & Wu, Chin-Shun & Liu, Victor W., 2009. "The conservatism bias in an emerging stock market: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 494-505, September.
    7. Hirshleifer, David & Teoh, Siew Hong, 2003. "Limited attention, information disclosure, and financial reporting," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 337-386, December.
    8. Tsung-Hsun Lu & Yung-Ming Shiu, 2016. "Can 1-day candlestick patterns be profitable on the 30 component stocks of the DJIA?," Applied Economics, Taylor & Francis Journals, vol. 48(35), pages 3345-3354, July.
    9. Otwin Becker & Johannes Leitner & Ulrike Leopold-Wildburger, 2009. "Expectation formation and regime switches," Experimental Economics, Springer;Economic Science Association, vol. 12(3), pages 350-364, September.
    10. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
    11. Markus Glaser & Thomas Langer & Martin Weber, 2007. "On the Trend Recognition and Forecasting Ability of Professional Traders," Decision Analysis, INFORMS, vol. 4(4), pages 176-193, December.
    12. Anna Agliari & Domenico Massaro & Nicolò Pecora & Alessandro Spelta, 2017. "Inflation Targeting, Recursive Inattentiveness, and Heterogeneous Beliefs," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(7), pages 1587-1619, October.
    13. Gil Aharoni & Oded H. Sarig, 2012. "Hot hands and equilibrium," Applied Economics, Taylor & Francis Journals, vol. 44(18), pages 2309-2320, June.
    14. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J., 2012. "Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 719-735.
    15. Jing Chen, 2005. "Information Theory and Market Behavior," Finance 0503009, University Library of Munich, Germany.
    16. Doron Sonsino & Tal Shavit, 2014. "Return prediction and stock selection from unidentified historical data," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 641-655, April.
    17. Gregory R. Durham & Michael G. Hertzel & J. Spencer Martin, 2005. "The Market Impact of Trends and Sequences in Performance: New Evidence," Journal of Finance, American Finance Association, vol. 60(5), pages 2551-2569, October.
    18. Willem F.C. Verschoor & Remco C.J. Zwinkels, 2013. "Do foreign exchange fund managers behave like heterogeneous agents?," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1125-1134, February.

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