EconPapers    
Economics at your fingertips  
 

Structural Estimation of Behavioral Heterogeneity

Zhentao Shi and Huanhuan Zheng

Papers from arXiv.org

Abstract: We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information about the fundamental value, the agents form different evaluations about heterogeneous strategies. We exploit a thin set---a small sub-population---to pointly identify this nonlinear model, and estimate the structural parameters using extended method of moments. Based on the estimated parameters, the model produces return time series that emulate the moments of the real data. These results are robust across different sample periods and estimation methods.

Date: 2018-02, Revised 2018-06
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Journal of Applied Econometrics 33, no. 5 (2018): 690-707

Downloads: (external link)
http://arxiv.org/pdf/1802.03735 Latest version (application/pdf)

Related works:
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:arx:papers:1802.03735

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-05-02
Handle: RePEc:arx:papers:1802.03735