作者：Pohl, Walter; Schmedders, Karl; Wilms, Ole
作者单位：Norwegian School of Economics (NHH); University of Zurich; Tilburg University
摘要：This paper shows that the latest generation of asset pricing models with long-run risk exhibit economically significant nonlinearities, and thus the ubiquitous Campbell-Shiller log-linearization can generate large numerical errors. These errors translate in turn to considerable errors in the model predictions, for example, for the magnitude of the equity premium or return predictability. We demonstrate that these nonlinearities arise from the presence of multiple highly persistent processes, w...
作者：Corgnet, Brice; Desantis, Mark; Porter, David
作者单位：Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; emlyon business school; Chapman University System; Chapman University
摘要：Using laboratory experiments, we provide evidence on three factors influencing trader performance: fluid intelligence, cognitive reflection, and theory of mind (ToM). Fluid intelligence provides traders with computational skills necessary to draw a statistical inference. Cognitive reflection helps traders avoid behavioral biases and thereby extract signals from market orders and update their prior beliefs accordingly. ToM describes the degree to which traders correctly assess the informational...
