I analytically characterize the long-run behavior of an economy with two types of agents who
differ in their beliefs and are endowed with homothetic recursive preferences. Agents with …

This paper studies market selection in an Arrow-Debreu economy with complete markets
where agents learn over misspecified models. In this setting, standard Bayesian learning …

We consider an exchange economy where agents have heterogeneous beliefs and assets
are long-lived, and investigate the coupled dynamics of asset prices and agents' wealth. We …

This paper shows that belief differences have strong effects on asset prices in consumption-
based asset-pricing models with long-run risks. Belief heterogeneity leads to time-varying …

The wisdom of the crowd applied to financial markets asserts that prices represent a
consensus belief that is more accurate than individual beliefs. However, a market selection …

What does it take to survive in the market? Previous literature has proposed sufficient
conditions for a trader to vanish, which depend on pairwise comparisons of traders' …

This paper studies implications of return extrapolation in a consumption-based asset pricing
model. We show that return extrapolation has strong implications for the pricing kernel. The …

In a general equilibrium model with a continuum of traders and bounded aggregate
endowment, I investigate the market selection hypothesis that markets favor traders with …

We construct a incomplete information equilibrium model with heterogeneous beliefs and
herding behaviors to identify their joint effects on the dynamics of asset prices. Herding …

This paper investigates whether short-term momentum and long-term reversal may emerge
from the wealth reallocation process taking place in speculative markets. We assume that …