Learning in Financial Markets

Lubos Pastor and Pietro Veronesi

No 14646, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G0 (search for similar items in EconPapers)
Date: 2009-01
New Economics Papers: this item is included in nep-bec and nep-fmk
Note: AP CF
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Citations: View citations in EconPapers (91)

Published as Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.

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Related works:
Journal Article: Learning in Financial Markets (2009)
Working Paper: Learning in Financial Markets (2009)
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