Fund Choice Behavior and Estimation of Switching Models: An Experiment
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mathias Drehmann & Jörg Oechssler & Andreas Roider, 2005.
"Herding and Contrarian Behavior in Financial Markets: An Internet Experiment,"
American Economic Review, American Economic Association, vol. 95(5), pages 1403-1426, December.
- Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Experimental 0210001, University Library of Munich, Germany.
- Mathias Drehmann & Jörg Oechssler, 2004. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Econometric Society 2004 North American Winter Meetings 55, Econometric Society.
- Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2004. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 7, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series qt6zf5469f, Department of Economics, UC Santa Barbara.
- Drehmann, Mathias & Oechssler, Jörg & Roider, Andreas, 2002. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," Bonn Econ Discussion Papers 25/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Roider, Andreas & Mathias Drehmann & Jorg Oechssler, 2003. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Royal Economic Society Annual Conference 2003 177, Royal Economic Society.
- Mathias Drehmann & Joerg Oechssler & Andreas Roider, 2002. "Herding and Contrarian Behavior in Financial Markets - An Internet Experiment," Finance 0210005, University Library of Munich, Germany.
- Audretsch, David B. & Stadtmann, Georg, 2005.
"Biases in FX-forecasts: Evidence from panel data,"
Global Finance Journal, Elsevier, vol. 16(1), pages 99-111, August.
- Audretsch, David B. & Stadtmann, Georg, 2005. "Biases in FX-Forecasts: Evidence from Panel Data," Research Notes 19, Deutsche Bank Research.
- Anufriev, Mikhail & Bao, Te & Sutan, Angela & Tuinstra, Jan, 2019.
"Fee structure and mutual fund choice: An experiment,"
Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 449-474.
- Mikhail Anufriev & Te Bao & Angela Sutan & Jan Tuinstra, 2018. "Fee Structure and Mutual Fund Choice: An Experiment," Working Paper Series 45, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Peter Bossaerts & Charles Plott & William R. Zame, 2007.
"Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments,"
Econometrica, Econometric Society, vol. 75(4), pages 993-1038, July.
- Peter Bossaerts & Charles Plott & William R. Zame, 2007. "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Swiss Finance Institute Research Paper Series 07-05, Swiss Finance Institute.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010.
"Behavioral heterogeneity in the option market,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
- Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010. "Behavioral heterogeneity in the option market," Post-Print hal-00736742, HAL.
- Albert Marcet & Juan P. Nicolini, 2003.
"Recurrent Hyperinflations and Learning,"
American Economic Review, American Economic Association, vol. 93(5), pages 1476-1498, December.
- Albert Marcet & Juan P. Nicolini, 1995. "Recurrent hyperinflations and learning," Economics Working Papers 244, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2001.
- Marcet, A. & Nicolini, J.P., 1997. "Recurrent Hyperinflations and Learning," Papers 9721, Centro de Estudios Monetarios Y Financieros-.
- Albert Marcet & Juan Pablo Nicolini, 1997. "Recurrent Hyperinflations and Learning," Working Papers wp1997_9721, CEMFI.
- Marcet, Albert & Nicolini, Juan Pablo, 1998. "Recurrent Hyperinflations and Learning," CEPR Discussion Papers 1875, C.E.P.R. Discussion Papers.
- William A. Branch, 2004. "The Theory of Rationally Heterogeneous Expectations: Evidence from Survey Data on Inflation Expectations," Economic Journal, Royal Economic Society, vol. 114(497), pages 592-621, July.
- Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007.
"Behavioral heterogeneity in stock prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
- Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute.
- Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Adriana Cornea-Madeira & Cars Hommes & Domenico Massaro, 2019.
"Behavioral Heterogeneity in U.S. Inflation Dynamics,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 288-300, April.
- Cornea, A. & Hommes, C.H. & Massaro, D., 2012. "Behavioral Heterogeneity in U.S. Inflation Dynamics," CeNDEF Working Papers 12-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Adriana Cornea & Cars Hommes & Domenico Massaro, 2013. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Tinbergen Institute Discussion Papers 13-015/II, Tinbergen Institute.
- Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
- Colin Camerer & Teck-Hua Ho, 1999. "Experience-weighted Attraction Learning in Normal Form Games," Econometrica, Econometric Society, vol. 67(4), pages 827-874, July.
- Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
- Brock, W.A. & Hommes, C.H., 1996. "Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model," Working papers 9621, Wisconsin Madison - Social Systems.
- Goldbaum, David & Mizrach, Bruce, 2008.
"Estimating the intensity of choice in a dynamic mutual fund allocation decision,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3866-3876, December.
- David Goldbaum & Bruce Mizrach, 2004. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Departmental Working Papers 200414, Rutgers University, Department of Economics.
- David Goldbaum & Bruce Mizrach, 2005. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Computing in Economics and Finance 2005 295, Society for Computational Economics.
- Heemeijer, Peter & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2009.
"Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1052-1072, May.
- Heemeijer, P. & Hommes, C.H. & Sonnemans, J. & Tuinstra, J., 2006. "Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation," CeNDEF Working Papers 06-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Jonathan E. Alevy & Michael S. Haigh & John A. List, 2007.
"Information Cascades: Evidence from a Field Experiment with Financial Market Professionals,"
Journal of Finance, American Finance Association, vol. 62(1), pages 151-180, February.
- Alevy, Jonathan E. & Haigh, Michael S. & List, John A., 2003. "Information Cascades: Evidence From A Field Experiment With Financial Market Professionals," Working Papers 28608, University of Maryland, Department of Agricultural and Resource Economics.
- Jonathan Alevy & Michael Haigh & John List, 2005. "Information cascades: Evidence from a field experiment with financial market professionals," Framed Field Experiments 00116, The Field Experiments Website.
- de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2009. "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1929-1944, November.
- 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.
- Erev, Ido & Bereby-Meyer, Yoella & Roth, Alvin E., 1999. "The effect of adding a constant to all payoffs: experimental investigation, and implications for reinforcement learning models," Journal of Economic Behavior & Organization, Elsevier, vol. 39(1), pages 111-128, May.
- Prem C. Jain & Joanna Shuang Wu, 2000. "Truth in Mutual Fund Advertising: Evidence on Future Performance and Fund Flows," Journal of Finance, American Finance Association, vol. 55(2), pages 937-958, April.
- Peng Fei & Philippe Wanner & Stephane Cotter, 1997. "Approche dynamique de la différence d'espérance de vie entre hommes et femmes en Suisse, entre 1910/11 et 1988/93. Une application des méthodes de décomposition de POLLARD et D'ARRIAGA," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(IV), pages 741-754, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Schmitt, Noemi & Westerhoff, Frank, 2015.
"Managing rational routes to randomness,"
Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 157-173.
- Schmitt, Noemi & Westerhoff, Frank, 2015. "Managing rational routes to randomness," BERG Working Paper Series 96, Bamberg University, Bamberg Economic Research Group.
- Anufriev, Mikhail & Kopányi, Dávid & Tuinstra, Jan, 2013.
"Learning cycles in Bertrand competition with differentiated commodities and competing learning rules,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2562-2581.
- Anufriev, M. & Tuinstra, J. & Kopányi, D., 2012. "Learning Cycles in Bertrand Competition with Differentiated Commodities and Competing Learning Rules," CeNDEF Working Papers 12-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Mikhail Anufriev & D?�vid Kop?�nyiz & Jan Tuinstra, 2013. "Learning Cycles in Bertrand Competition with Differentiated Commodities and Competing Learning Rules," Working Paper Series 8, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Anufriev, Mikhail & Bao, Te & Tuinstra, Jan, 2016.
"Microfoundations for switching behavior in heterogeneous agent models: An experiment,"
Journal of Economic Behavior & Organization, Elsevier, vol. 129(C), pages 74-99.
- Anufriev, M. & Bao, T. & Tuinstra, J., 2015. "Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment," CeNDEF Working Papers 15-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Mikhail Anufriev & Te Bao & Jan Tuinstra, 2015. "Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment," Working Paper Series 31, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Hommes, Cars, 2011.
"The heterogeneous expectations hypothesis: Some evidence from the lab,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
- Hommes, C.H., 2010. "The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab," CeNDEF Working Papers 10-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes, 2010. "The heterogeneous expectations hypothesis: some evidence from the lab," Post-Print hal-00753041, HAL.
- Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017.
"Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises,"
Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
- Assenza, T. & Brock, W.A. & Hommes, C.H., 2012. "Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises," CeNDEF Working Papers 12-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- repec:ctc:serie1:def7 is not listed on IDEAS
- Goldbaum, David & Zwinkels, Remco C.J., 2014. "An empirical examination of heterogeneity and switching in foreign exchange markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 667-684.
- Tiziana Assenza & William A. Brock & Cars H. Hommes, 2013.
"Animal Spirits, Heterogeneous Expectations and the Emergence of Booms and Busts,"
Tinbergen Institute Discussion Papers
13-205/II, Tinbergen Institute.
- Tiziana Assenza & William Brock & Cars Hommes, 2013. "Animal Spirits, Heterogeneous Expectations and the Emergence of Booms and Busts," DISCE - Working Papers del Dipartimento di Economia e Finanza def007, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Kukacka, Jiri & Barunik, Jozef, 2017.
"Estimation of financial agent-based models with simulated maximum likelihood,"
Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
- Kukacka, Jiri & Barunik, Jozef, 2016. "Estimation of financial agent-based models with simulated maximum likelihood," FinMaP-Working Papers 63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Saskia ter Ellen & Willem F.C. Verschoor, 2017. "Heterogeneous beliefs and asset price dynamics: a survey of recent evidence," Working Paper 2017/22, Norges Bank.
- Anufriev, Mikhail & Chernulich, Aleksei & Tuinstra, Jan, 2018. "A laboratory experiment on the heuristic switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 21-42.
- Hommes, Cars & in ’t Veld, Daan, 2017.
"Booms, busts and behavioural heterogeneity in stock prices,"
Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
- Hommes, C.H. & in 't Veld, D., 2014. "Booms, busts and behavioural heterogeneity in stock prices," CeNDEF Working Papers 14-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes & Daan in't Veld, 2015. "Booms, Busts and Behavioural Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 15-088/II, Tinbergen Institute.
- Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
- Saskia ter Ellen & Willem F. C. Verschoor, 2018. "Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence," Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79, Springer.
- Yamamoto, Ryuichi & Hirata, Hideaki, 2013.
"Strategy switching in the Japanese stock market,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
- Ryuichi Yamamoto & Hideaki Hirata, "undated". "Strategy Switching in the Japanese Stock Market," Working Paper 164466, Harvard University OpenScholar.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009.
"More hedging instruments may destabilize markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1912-1928, November.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2006. "More hedging instruments may destabilize markets," CeNDEF Working Papers 06-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008. "More hedging instruments may destabilize markets," CeNDEF Working Papers 08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008.
- ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021.
"Comparing behavioural heterogeneity across asset classes,"
Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 747-769.
- Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017. "Comparing behavioural heterogeneity across asset classes," Working Paper 2017/12, Norges Bank.
- Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019.
"Identifying booms and busts in house prices under heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," Tinbergen Institute Discussion Papers 14-157/II, Tinbergen Institute.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying booms and busts in house prices under heterogeneous expectations," DNB Working Papers 450, Netherlands Central Bank, Research Department.
- Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," CeNDEF Working Papers 14-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Wilko Bolt & Maria Demertzis & Cees Diks & Cars Hommes & Marco van der Leij, 2014. "Identifying Booms and Busts in House Prices under Heterogeneous Expectations," European Economy - Economic Papers 2008 - 2015 540, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
- Lines Marji & Westerhoff Frank, 2012.
"Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-30, October.
- Lines, Marji & Westerhoff, Frank, 2009. "Effects of inflation expectations on macroeconomic dynamics: Extrapolative versus regressive expectations," BERG Working Paper Series 68, Bamberg University, Bamberg Economic Research Group.
- Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
- 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.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ams:ndfwpp:13-04. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Cees C.G. Diks (email available below). General contact details of provider: https://edirc.repec.org/data/cnuvanl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.