Learning in Financial Markets

Lubos Pastor () and Pietro Veronesi ()
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Pietro Veronesi: Booth School of Business, University of Chicago, Chicago, Illinois 60637

Annual Review of Financial Economics, 2009, vol. 1, issue 1, pages 361-381

Abstract: 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.

Keywords: Bayesian; uncertainty; bubble; volatility; predictability (search for similar items in EconPapers)
JEL-codes: D83 G11 G12 G23 L25 (search for similar items in EconPapers)
Date: 2009
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Related works:
Working Paper: Learning in Financial Markets (2009)
Working Paper: Learning in Financial Markets (2009)
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