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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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    File URL: http://www.sciencedirect.com/science/article/B6VBX-46951S0-1/2/7b0fb62fead2902a20cd9898cd540e24
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 65 (2002)
    Issue (Month): 3 (September)
    Pages: 397-414

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    Handle: RePEc:eee:jfinec:v:65:y:2002:i:3:p:397-414

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    Web page: http://www.elsevier.com/locate/inca/505576

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    References

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    1. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
    2. Matthew Rabin, 2001. "Inference by Believers in the Law of Small Numbers," Method and Hist of Econ Thought 0012002, EconWPA.
    3. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    4. Lawrence, Michael & Makridakis, Spyros, 1989. "Factors affecting judgmental forecasts and confidence intervals," Organizational Behavior and Human Decision Processes, Elsevier, vol. 43(2), pages 172-187, April.
    5. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
    6. Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
    7. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    8. Lim, Joa Sang & O'Connor, Marcus, 1996. "Judgmental forecasting with time series and causal information," International Journal of Forecasting, Elsevier, vol. 12(1), pages 139-153, March.
    9. De Bondt, Werner P. M., 1993. "Betting on trends: Intuitive forecasts of financial risk and return," International Journal of Forecasting, Elsevier, vol. 9(3), pages 355-371, November.
    10. Libby, Robert & Bloomfield, Robert & Nelson, Mark W., 2002. "Experimental research in financial accounting," Accounting, Organizations and Society, Elsevier, vol. 27(8), pages 775-810, November.
    11. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
    12. O'Connor, Marcus & Lawrence, Michael, 1992. "Time series characteristics and the widths of judgemental confidence intervals," International Journal of Forecasting, Elsevier, vol. 7(4), pages 413-420, March.
    13. Bloomfield, Robert & Libby, Robert & Nelson, Mark W., 2000. "Underreactions, overreactions and moderated confidence," Journal of Financial Markets, Elsevier, vol. 3(2), pages 113-137, May.
    14. Bloomfield, Robert, 1996. " Quotes, Prices, and Estimates in a Laboratory Market," Journal of Finance, American Finance Association, vol. 51(5), pages 1791-1808, December.
    15. O'Connor, Marcus & Remus, William & Griggs, Ken, 1993. "Judgemental forecasting in times of change," International Journal of Forecasting, Elsevier, vol. 9(2), pages 163-172, August.
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    Cited by:
    1. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, vol. 11(3), pages 259-283, August.
    2. 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.
    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. Otwin Becker & Johannes Leitner & Ulrike Leopold-Wildburger, 2009. "Expectation formation and regime switches," Experimental Economics, Springer, vol. 12(3), pages 350-364, September.
    5. Glaser, Markus & Langer, Thomas & Weber, Martin, 2003. "On the Trend Recognition and Forecasting Ability of Professional Traders," CEPR Discussion Papers 3904, C.E.P.R. Discussion Papers.
    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. : Constantinos Antoniou & : Glenn W. Harrison & : Morten I. Lau & : Daniel Read, 2013. "Revealed Preference and the Strength/Weight Hypothesis," Working Papers wpn13-03, Warwick Business School, Finance Group.
    8. Michael W.M. Roos & Ulrich Schmidt, 2011. "The importance of time series extrapolation for macroeconomic expectations," Kiel Working Papers 1723, Kiel Institute for the World Economy.
    9. Alwathainani, Abdulaziz M., 2012. "Consistent winners and losers," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 210-220.
    10. 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.
    11. Jing Chen, 2005. "Information Theory and Market Behavior," Finance 0503009, EconWPA.
    12. 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.

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