This paper seeks to examine the unidirectional versus bidirectional Granger causality
between investors' sentiment and momentum strategies. It is based on the full sample …

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 …

In this paper, I consider an exchange economy with complete markets where agents have
heterogeneous beliefs and, possibly, preferences, and investigate the Market Selection …

Evolutionary finance focuses on questions of “survival and extinction” of investment
strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of …

This paper studies the occurrence of price momentum and reversal in a general equilibrium
setting, with complete markets and expected utility maximizing agents. We show that price …

In this paper I study the relationship between rationality and asset prices when agents have
heterogeneous and incorrect beliefs about future events. Using as a benchmark the pricing …

In this paper, we investigate the relationship between individual rationality and price
informative efficiency studying a prediction market model where agents repeatedly bet on …

This chapter investigates whether a behaviourally biased agent is able to persistently
maintain a positive consumption share when trading in the market with a Bayesian agent …

We consider a market economy where two rational agents are able to learn the distribution
of future events. In this context, we study whether moving away from the standard Bayesian …

We investigate the emergence of momentum and reversal anomalies in a general
equilibrium model with complete markets and cognitively biased agents, accounting for the …