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Learning from experience in the stock market

Anton Nakov and Galo Nuño Barrau

No 1396, Working Paper Series from European Central Bank

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. JEL Classification: G12, D83, D84

Keywords: assett pricing; bubbles; heterogeneous agents; Learning from experience; OLG (search for similar items in EconPapers)
Date: 2011-11
New Economics Papers: this item is included in nep-cba, nep-dge and nep-fmk
Note: 374708
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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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:ecb:ecbwps:20111396

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