EconPapers    
Economics at your fingertips  
 

Pricing anomalies in a general equilibrium model with biased learning

Andrea Antico, Giulio Bottazzi and Daniele Giachini

Journal of Behavioral and Experimental Finance, 2025, vol. 45, issue C

Abstract: We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents. General equilibrium and market completeness avoid spurious effects due to portfolio composition or price stickiness. Taking inspiration from and merging different strands of empirical literature, we try to identify anomalies in the most general way, studying return autocorrelation patterns, price gaps following sequences of specific events, and relative performances of suitably defined portfolios. We show that these three characterizations are not equivalent. They capture different aspects of mispricing and relate differently to the behavioral characteristics of the agents. Often, similar anomalous patterns struggle to coexist under seemingly related biases. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that subsequently revert.

Keywords: Momentum; Reversal; Biased learning; Bayesian learning; Model misspecification (search for similar items in EconPapers)
JEL-codes: D53 G12 G14 G41 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2214635025000085

Related works:
Working Paper: Pricing anomalies in a general equilibrium model with biased learning (2024) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:45:y:2025:i:c:s2214635025000085

DOI: 10.1016/j.jbef.2025.101027

Access Statistics for this article

Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

More articles in Journal of Behavioral and Experimental Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-24
Handle: RePEc:eee:beexfi:v:45:y:2025:i:c:s2214635025000085