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Learning in Financial Markets

31 citations0/0 files storedNational Bureau of Economic Research

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

We survey the recent literature on learning in financial markets.Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning.We discuss phenomena related to the volatility and predictability of asset returns, stock price bubbles, portfolio choice, mutual fund flows, trading volume, and firm profitability, among others.

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1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985Continuous Auctions and Insider Trading 1962The Economic Implications of Learning by Doing 1971Optimum consumption and portfolio rules in a continuous-time model 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1988A Theory of Intraday Patterns: Volume and Price Variability 2003Overconfidence and Speculative Bubbles 1993Differences of Opinion Make a Horse Race

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