异质信念下的动量机制

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-10-01 DOI:10.1016/j.najef.2024.102262

Yu Yan , Yan Tong , Yiming Wang

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引用次数: 0

摘要

我们建立了一个连续时间异质信念模型来讨论动量和反转的机制。价格学习、信息传递和外推预期被纳入动量与反转的统一框架。SP500 指数的校准结果表明，外推者和信息驱动交易者的存在是动量和反转在所有阶段的重要影响因素。我们还发现，当信念权重接近真实信念权重时，动量和反转会变得明显更强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Momentum mechanisms under heterogeneous beliefs

We establish a continuous-time heterogeneous beliefs model to discuss the mechanisms of Momentum and Reversal. Price learning, information transmission and extrapolative expectation are incorporated into a unified framework for the Momentum and Reversal. The calibration results from SP500 show that the presence of Extrapolators and Information-driven Traders are important influences of Momentum and Reversal in all phases. We also find that momentum and reversal become significantly stronger as belief weights approach true belief weights.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.