Belief biases and volatility of assets

Based on an overlapping generation model, this paper introduces the noise traders with belief biases and rational traders. With an equilibrium analysis, this paper examines the volatility of risky asset. The results show that the belief biases, the probability of economy state, and the domain capabi...

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Bibliographic Details
Main Authors: Lei-Sun, Wen-Zou, Hui
Format: Conference Proceeding
Language:English
Subjects:
Economic models
Equilibrium analysis
Volatility
Online Access:Get full text
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Summary:Based on an overlapping generation model, this paper introduces the noise traders with belief biases and rational traders. With an equilibrium analysis, this paper examines the volatility of risky asset. The results show that the belief biases, the probability of economy state, and the domain capability are all the factors that have effects on the volatility of the market.
ISSN:0094-243X
1551-7616
DOI:10.1063/1.4897768