A decision-theoretic model of asset-price underreaction and overreaction to dividend news
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- Alexander Ludwig & Alexander Zimper, 2013. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Annals of Finance, Springer, vol. 9(4), pages 625-665, November.
- Alexander Ludwig & Alexander Zimper, 2012. "A decision-theoretic model of asset-price underreaction and overreaction to dividend news," Working Papers 296, Economic Research Southern Africa.
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- Zimper, Alexander, 2023. "Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes," Mathematical Social Sciences, Elsevier, vol. 125(C), pages 27-41.
- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019.
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- Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," LEM Papers Series 2018/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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Working Papers
291, Economic Research Southern Africa.
- Alexander Zimper, 2012. "The emergence of "fifty-fifty" probability judgements in a conditional Savage world," Working Papers 201221, University of Pretoria, Department of Economics.
- Karni, Edi & Maccheroni, Fabio & Marinacci, Massimo, 2015. "Ambiguity and Nonexpected Utility," Handbook of Game Theory with Economic Applications,, Elsevier.
- Daniel Heyen, 2018. "Ambiguity aversion under maximum-likelihood updating," Theory and Decision, Springer, vol. 84(3), pages 373-386, May.
More about this item
Keywords
Choquet Expected Utility Theory; Portfolio Choice; Asset Pricing Puzzles;All these keywords.
JEL classification:
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2012-07-14 (Financial Markets)
- NEP-NEU-2012-07-14 (Neuroeconomics)
- NEP-UPT-2012-07-14 (Utility Models and Prospect Theory)
Statistics
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