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Stock Price Volatility and Learning by remmyisure is a document available to read on EtoBox.
What is Stock Price Volatility and Learning about?
The paper explores how deviations from rational expectations in consumption-based asset pricing models can generate realistic stock price volatility. By allowing investors to learn from past price observations, the model captures phenomena such as momentum and mean reversion in stock prices, while quantitatively aligning with observed asset pricing facts. The findings suggest that small departures from rational expectations can significantly enhance the model
- Author
- remmyisure
- Language
- EN