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Patience is a Virtue - In Value Investing

Author

Listed:
  • Thorsten Hens

    (University of Zurich, Norwegian School of Economics and Business Administration, and Swiss Finance Institute)

  • Klaus Reiner Schenk-Hoppé

    (University of Manchester and Norwegian School of Economics (NHH))

Abstract

This note illustrates a simple but important insight for financial investment. In a heterogeneous agent-based evolutionary finance market model with long-lived assets, markets are stable if clients of fundamental ('value') investment funds are more patient than clients of other funds.

Suggested Citation

  • Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2018. "Patience is a Virtue - In Value Investing," Swiss Finance Institute Research Paper Series 18-26, Swiss Finance Institute, revised Apr 2018.
    • Handle: RePEc:chf:rpseri:rp1826
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    References listed on IDEAS

    as
    1. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner & Wang, Tongya, 2016. "Itchy feet vs cool heads: Flow of funds in an agent-based financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 53-68.
    2. Hommes,Cars, 2015. "Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems," Cambridge Books, Cambridge University Press, number 9781107564978.
    3. 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.
    4. Igor Evstigneev & Thorsten Hens & Klaus Schenk-Hoppé, 2006. "Evolutionary stable stock markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(2), pages 449-468, January.
    5. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    6. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02312186, HAL.
    7. Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.
    8. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02000726, HAL.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Gur, Nurullah, 2022. "Patience and financial development," Finance Research Letters, Elsevier, vol. 44(C).
    2. Eduard Krkoska & Klaus Reiner Schenk-Hoppé, 2019. "Herding in Smart-Beta Investment Products," JRFM, MDPI, vol. 12(1), pages 1-14, March.
    3. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    4. Ali Taherizadeh & Shiva Zamani, 2023. "Winner Strategies in a Simulated Stock Market," IJFS, MDPI, vol. 11(2), pages 1-17, May.

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    More about this item

    Keywords

    Financial market stability; delegated fund management; investor patience; agent-based modeling; evolutionary finance;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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