Ambiguity in Financial Markets: Herding and Contrarian Behaviour
Download full text from publisher
References listed on IDEAS
- Tallon, Jean-Marc, 1998.
"Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(2), pages 329-342, May.
- Jean-Marc Tallon, 1998. "Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example," Post-Print halshs-00502491, HAL.
- Wakker, Peter P, 2001. "Testing and Characterizing Properties of Nonadditive Measures through Violations of the Sure-Thing Principle," Econometrica, Econometric Society, vol. 69(4), pages 1039-1059, July.
- Eichberger, Jurgen & Kelsey, David, 1996. "Uncertainty Aversion and Dynamic Consistency," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(3), pages 625-640, August.
- Sarin, Rakesh K & Wakker, Peter, 1992. "A Simple Axiomatization of Nonadditive Expected Utility," Econometrica, Econometric Society, vol. 60(6), pages 1255-1272, November.
- Vives, Xavier, 1996. "Social learning and rational expectations," European Economic Review, Elsevier, vol. 40(3-5), pages 589-601, April.
- Jean-Paul Decamps & Stefano Lovo, 2002.
"Risk Aversion and Herd Behavior in Financial Markets,"
- LOVO, Stefano & DECAMPS, Jean-Paul, 2002. "Risk aversion and herd behavior in financial markets," HEC Research Papers Series 758, HEC Paris.
- Décamps, Jean-Paul & Lovo, Stefano, 2003. "Risk Aversion and Herd Behavior in Financial Markets," IDEI Working Papers 246, Institut d'Économie Industrielle (IDEI), Toulouse.
- Chari, V. V. & Kehoe, Patrick J., 2004.
"Financial crises as herds: overturning the critiques,"
Journal of Economic Theory,
Elsevier, vol. 119(1), pages 128-150, November.
- V. V. Chari & Patrick J. Kehoe, 2003. "Financial crises as herds: overturning the critiques," Staff Report 316, Federal Reserve Bank of Minneapolis.
- V. V. Chari & Patrick J. Kehoe, 2003. "Financial Crises as Herds: Overturning the Critiques," NBER Working Papers 9658, National Bureau of Economic Research, Inc.
- Gilboa, Itzhak, 1987.
"Expected utility with purely subjective non-additive probabilities,"
Journal of Mathematical Economics,
Elsevier, vol. 16(1), pages 65-88, February.
- Gilboa, Itzhak, 1985. "Expected Utility with Purely Subjective Non-Additive Probabilities," Foerder Institute for Economic Research Working Papers 275389, Tel-Aviv University > Foerder Institute for Economic Research.
- Avery, Christopher & Zemsky, Peter, 1998. "Multidimensional Uncertainty and Herd Behavior in Financial Markets," American Economic Review, American Economic Association, vol. 88(4), pages 724-748, September.
- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometric Society, vol. 57(3), pages 571-587, May.
- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Kelsey, David, 1995. "Dutch Books Arguments and Learning in a Nonexpected Utility Framework," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(1), pages 187-206, February.
- David Hirshleifer & Siew Hong Teoh, 2003.
"Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis,"
European Financial Management,
European Financial Management Association, vol. 9(1), pages 25-66, March.
- Hirshleifer, David & Teoh, Siew Hong, 2001. "Herd Behavior and Cascading in Capital Markets: A Review and Synthesis," MPRA Paper 5186, University Library of Munich, Germany.
- Michael Kilka & Martin Weber, 2001.
"What Determines the Shape of the Probability Weighting Function Under Uncertainty?,"
INFORMS, vol. 47(12), pages 1712-1726, December.
- Kilka, Michael & Weber, Martin, 1998. "What Determines the Shape of the Probability Weighting Function under Uncertainty?," Sonderforschungsbereich 504 Publications 98-11, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Bikhchandani, Sushil & Hirshleifer, David & Welch, Ivo, 1992.
"A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades,"
Journal of Political Economy,
University of Chicago Press, vol. 100(5), pages 992-1026, October.
- Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 2010. "A theory of Fads, Fashion, Custom and cultural change as informational Cascades," Levine's Working Paper Archive 1193, David K. Levine.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Craig S. Webb, 2017. "Piecewise linear rank-dependent utility," Theory and Decision, Springer, vol. 82(3), pages 403-414, March.
- Craig Webb, 2015. "Piecewise additivity for non-expected utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 60(2), pages 371-392, October.
- Eduardo Corso, 2015. "Ambiguity and portfolio decisions," BCRA Working Paper Series 201567, Central Bank of Argentina, Economic Research Department.
More about this item
KeywordsAmbiguity; Choquet Expected Utility; Generalized Bayesian update; Optimism; Herding; Contrarian behaviour;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2005-07-25 (Financial Markets)
StatisticsAccess and download statistics
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:bir:birmec:05-11. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oleksandr Talavera). General contact details of provider: http://edirc.repec.org/data/debhauk.html .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.