Learning in Financial Markets

Pietro Veronesi and Pástor, Luboš
Authors registered in the RePEc Author Service: Lubos Pastor

No 7127, CEPR Discussion Papers from Centre for Economic Policy Research

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; Bubble; Predictability; Uncertainty; Volatility (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
Date: 2009-01
New Economics Papers: this item is included in nep-bec and nep-fmk
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Citations: View citations in EconPapers (128)

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Related works:
Journal Article: Learning in Financial Markets (2009)
Working Paper: Learning in Financial Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:7127

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