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Natural Selection in Financial Markets: Does it Work?

Citations

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Cited by:

  1. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
  2. Cvitanic, Jaksa & Malamud, Semyon, 2011. "Price impact and portfolio impact," Journal of Financial Economics, Elsevier, vol. 100(1), pages 201-225, April.
  3. repec:dau:papers:123456789/3495 is not listed on IDEAS
  4. Beddock, Arthur, 2021. "Asset pricing with heterogeneous agents and non-normal return distributions," Other publications TiSEM eeaf2925-4cc0-4fe1-8008-6, Tilburg University, School of Economics and Management.
  5. Massari, Filippo, 2019. "Market selection in large economies: a matter of luck," Theoretical Economics, Econometric Society, vol. 14(2), May.
  6. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
  7. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
  8. Adem Atmaz & Huseyin Gulen & Stefano Cassella & Fangcheng Ruan, 2024. "Contrarians, Extrapolators, and Stock Market Momentum and Reversal," Management Science, INFORMS, vol. 70(9), pages 5949-5984, September.
  9. Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
  10. Malliaris, Steven & Malliaris, A.G., 2021. "Delegated asset management and performance when some investors are unsophisticated," Journal of Banking & Finance, Elsevier, vol. 133(C).
  11. Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
  12. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does It Work?," Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
  13. Ani Guerdjikova & John Quiggin, 2018. "Heuristic Modes of Decision Making and Survival in Financial Markets," Post-Print hal-02086267, HAL.
  14. Roman Muraviev, 2013. "Market selection with learning and catching up with the Joneses," Finance and Stochastics, Springer, vol. 17(2), pages 273-304, April.
  15. Christian Heyerdahl-Larsen & Johan Walden, 2022. "Distortions and Efficiency in Production Economies with Heterogeneous Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 35(4), pages 1775-1812.
  16. Arthur Beddock & Elyès Jouini, 2021. "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 961-996, April.
  17. Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
  18. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
  19. Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Scholarly Articles 5027955, Harvard Kennedy School of Government.
  20. Leyla Jianyu Han & Kenneth Kasa, 2019. "Ambiguity and Information Processing in a Model of Intermediary Asset Pricing," Discussion Papers dp19-04, Department of Economics, Simon Fraser University.
  21. Branger, Nicole & Schlag, Christian & Wu, Lue, 2015. "‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 303-333.
  22. Yao, Jing & Li, Duan, 2013. "Bounded rationality as a source of loss aversion and optimism: A study of psychological adaptation under incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 18-31.
  23. Condie, Scott S. & Phillips, Kerk L., 2016. "Can irrational investors survive in the long run? The role of generational type transmission," Economics Letters, Elsevier, vol. 139(C), pages 40-42.
  24. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
  25. Suleyman Basak & Hongjun Yan, 2010. "Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(3), pages 914-936.
  26. Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2011. "Financial Markets Equilibrium with Heterogeneous Agents," Review of Finance, European Finance Association, vol. 16(1), pages 285-321.
  27. Mikhail Zhitlukhin, 2022. "Optimal growth strategies for a representative agent in a continuous-time asset market," Papers 2211.05316, arXiv.org.
  28. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off," Review of Finance, European Finance Association, vol. 15(3), pages 575-601.
  29. Bottazzi, Giulio & Giachini, Daniele & Ottaviani, Matteo, 2023. "Market selection and learning under model misspecification," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
  30. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2189-2224.
  31. Kogan, Leonid & Ross, Stephen A. & Wang, Jiang & Westerfield, Mark M., 2017. "Market selection," Journal of Economic Theory, Elsevier, vol. 168(C), pages 209-236.
  32. Driouchi, Tarik & So, Raymond H.Y. & Trigeorgis, Lenos, 2020. "Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail," Journal of Corporate Finance, Elsevier, vol. 62(C).
  33. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
  34. Easley, David & Yang, Liyan, 2015. "Loss aversion, survival and asset prices," Journal of Economic Theory, Elsevier, vol. 160(C), pages 494-516.
  35. Chabakauri, Georgy & Han, Brandon Yueyang, 2020. "Collateral constraints and asset prices," Journal of Financial Economics, Elsevier, vol. 138(3), pages 754-776.
  36. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
  37. Ma, T. & Fraser-Mackenzie, P.A.F. & Sung, M. & Kansara, A.P. & Johnson, J.E.V., 2022. "Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate," European Journal of Operational Research, Elsevier, vol. 299(1), pages 330-345.
  38. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
  39. Andrew W. Lo & H. Allen Orr & Ruixun Zhang, 2018. "The growth of relative wealth and the Kelly criterion," Journal of Bioeconomics, Springer, vol. 20(1), pages 49-67, April.
  40. Jaroslav Borovička, 2020. "Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences," Journal of Political Economy, University of Chicago Press, vol. 128(1), pages 206-251.
  41. Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  42. Guerdjikova, Ani & Sciubba, Emanuela, 2015. "Survival with ambiguity," Journal of Economic Theory, Elsevier, vol. 155(C), pages 50-94.
  43. Elyès Jouini & Clotilde Napp, 2016. "Live fast, die young," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 265-278, June.
  44. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
  45. Roman Kräussl & Tobi Oladiran & Denitsa Stefanova, 2024. "A review on ESG investing: Investors’ expectations, beliefs and perceptions," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 476-502, April.
  46. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  47. Jingxian Gan & Yong Qi & Chen Tian, 2019. "The Construction and Evolution of Technological Innovation Ecosystem of Chinese Firms: A Case Study of LCD Technology of CEC Panda," Sustainability, MDPI, vol. 11(22), pages 1-30, November.
  48. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
  49. Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "Economic Uncertainty, Disagreement, and Credit Markets," Management Science, INFORMS, vol. 60(5), pages 1281-1296, May.
  50. Dindo, Pietro, 2019. "Survival in speculative markets," Journal of Economic Theory, Elsevier, vol. 181(C), pages 1-43.
  51. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
  52. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Long-run heterogeneity in an exchange economy with fixed-mix traders," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 407-447, August.
  53. He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
  54. Xi Chen & Robert Kohn, 2011. "Asset price bubbles from heterogeneous beliefs about mean reversion rates," Finance and Stochastics, Springer, vol. 15(2), pages 221-241, June.
  55. Guo, Jing & He, Xue Dong, 2017. "Equilibrium asset pricing with Epstein-Zin and loss-averse investors," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 86-108.
  56. Ani Guerdjikova & John Quiggin, 2018. "Intertemporal Portfolio Choice with Incorrect Beliefs and Aversion to Surprise," Post-Print hal-02086151, HAL.
  57. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
  58. Han, Kookyoung, 2021. "Self-enforcement, heterogeneous agents, and long-run survival," Economics Letters, Elsevier, vol. 204(C).
  59. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
  60. Zongxia Liang & Qi Ye, 2024. "Despite Absolute Information Advantages, All Investors Incur Welfare Loss," Papers 2405.08822, arXiv.org.
  61. Benjamin Croitoru & Lei Lu, 2015. "Asset Pricing in a Monetary Economy with Heterogeneous Beliefs," Management Science, INFORMS, vol. 61(9), pages 2203-2219, September.
  62. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
  63. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
  64. Branger, Nicole & Konermann, Patrick & Schlag, Christian, 2019. "Optimists and pessimists in (in)complete markets," SAFE Working Paper Series 252, Leibniz Institute for Financial Research SAFE.
  65. Jose A. Scheinkman, 2013. "Speculation, Trading and Bubbles Third Annual Arrow Lecture," Working Papers 1458, Princeton University, Department of Economics, Econometric Research Program..
  66. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 101-126, June.
  67. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
  68. Sihvonen, Markus, 2019. "Market selection with idiosyncratic uncertainty," Journal of Economic Theory, Elsevier, vol. 182(C), pages 143-160.
  69. Jouini, Elyès & Marin, Jean-Michel & Napp, Clotilde, 2010. "Discounting and divergence of opinion," Journal of Economic Theory, Elsevier, vol. 145(2), pages 830-859, March.
  70. Malliaris, Steven & Malliaris, A.G., 2022. "Reprint of: Delegated asset management and performance when some investors are unsophisticated," Journal of Banking & Finance, Elsevier, vol. 140(C).
  71. Ngoc-Khanh Tran, 2019. "The Functional Stochastic Discount Factor," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-49, December.
  72. Wan, Junmin, 2018. "Prevention and landing of bubble," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 190-204.
  73. Guidolin, Massimo & Ricci, Andrea, 2020. "Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 1-11.
  74. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
  75. Peter A. F. Fraser‐Mackenzie & Tiejun Ma & Ming‐Chien Sung & Johnnie E. V. Johnson, 2019. "Let's Call it Quits: Break‐Even Effects in the Decision to Stop Taking Risks," Risk Analysis, John Wiley & Sons, vol. 39(7), pages 1560-1581, July.
  76. Mikhail Zhitlukhin, 2022. "A continuous-time asset market game with short-lived assets," Finance and Stochastics, Springer, vol. 26(3), pages 587-630, July.
  77. David Hirshleife, 2015. "Behavioral Finance," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 133-159, December.
  78. Panageas, Stavros, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," Foundations and Trends(R) in Finance, now publishers, vol. 12(3), pages 199-275, November.
  79. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
  80. Harjoat S. Bhamra & Raman Uppal, 2014. "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 519-580.
  81. Bottazzi, Giulio & Dindo, Pietro, 2022. "Drift criteria for persistence of discrete stochastic processes on the line," Journal of Mathematical Economics, Elsevier, vol. 101(C).
  82. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
  83. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 37(1), pages 35-43.
  84. Liang, Hanchao & Yang, Chunpeng & Zhang, Rengui & Cai, Chuangqun, 2017. "Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 85-102.
  85. Hongjun Yan, 2010. "Is Noise Trading Cancelled Out by Aggregation?," Management Science, INFORMS, vol. 56(7), pages 1047-1059, July.
  86. Massari, Filippo, 2017. "Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 190-205.
  87. Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
  88. Darong Dai, 2014. "The Long-Run Behavior of Consumption and Wealth Dynamics in Complete Financial Market with Heterogeneous Investors," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-16, July.
  89. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
  90. Mikhail Zhitlukhin, 2021. "Capital growth and survival strategies in a market with endogenous prices," Papers 2101.09777, arXiv.org.
  91. Fu, Jie & Zhang, Xiaoqi & Zhou, Wenyuan & Lyu, Yang, 2024. "A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 267-283.
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