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Learning from experience in the stock market

Anton Nakov and Galo Nuño Barrau

No 1132, Working Papers from Banco de España

Abstract: We study the dynamics of a Lucas-tree model with finitely lived agents who “learn from experience.” Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rate.

Keywords: Learning from experience; OLG; asset pricing; bubbles; heterogeneous agents (search for similar items in EconPapers)
JEL-codes: D83 D84 G12 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2011-12
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (1)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /11/Fich/dt1132e.pdf First version, December 2011 (application/pdf)

Related works:
Journal Article: Learning from experience in the stock market (2015) Downloads
Working Paper: Learning from Experience in the Stock Market (2014) Downloads
Working Paper: Learning from experience in the stock market (2012) Downloads
Working Paper: Learning from experience in the stock market (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1132

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