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Learning in Financial Markets

  • Lubos Pastor
  • Pietro Veronesi

    ()

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

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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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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