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- W132043927 abstract "Publisher Summary This chapter explores the role of rational diverse beliefs in explaining market dynamics and volatility. Rational expectations and irrational behavior are extreme hypotheses; with rational expectations equilibria one cannot explain the observed data on market dynamics and with irrational behavior one can prove anything. All they learn are the empirical frequencies from which emerges a common knowledge of a stationary probability reflecting the long-term dynamics. Belief rationality requires agents to hold only beliefs that are not contradicted by the empirical evidence. But since it is irrational to believe in a fixed deviation from the stationary probability, such belief rationality implies belief dynamics. Individual beliefs must be time varying, and correlation across agents generates a new aggregate force in market dynamics, which is the dynamics of market belief. A rational market makes forecasting mistakes, and rational investors are not infallible. They may use wrong forecasting models. One can recognize that being rational and being wrong are not incompatible and that no psychological impulses are needed for this proposition. This paradigm provides a coherent explanation to most dynamical phenomena of interest." @default.
- W132043927 created "2016-06-24" @default.
- W132043927 creator A5059350950 @default.
- W132043927 date "2009-01-01" @default.
- W132043927 modified "2023-09-24" @default.
- W132043927 title "Rational Diverse Beliefs and Market Volatility" @default.
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- W132043927 doi "https://doi.org/10.1016/b978-012374258-2.50012-9" @default.
- W132043927 hasPublicationYear "2009" @default.
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