Learning in Financial Markets

被引：118
作者：
Pastor, Lubos [1 ]
Veronesi, Pietro [1 ]
机构：
[1] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA
来源：
ANNUAL REVIEW OF FINANCIAL ECONOMICS | 2009年 / 1卷
关键词：
Bayesian; uncertainty; bubble; volatility; predictability; OPTIMAL PORTFOLIO CHOICE; STOCK RETURN PREDICTABILITY; ASSET PRICING-MODELS; MUTUAL FUND PERFORMANCE; HETEROGENEOUS BELIEFS; INCOMPLETE INFORMATION; PARAMETER UNCERTAINTY; CREDIT SPREADS; SPECULATIVE BUBBLES; EXCESS VOLATILITY;
D O I：
10.1146/annurev.financial.050808.114428
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：361 / 381
页数：21
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