Alfarano, S., Lux, T., Wagner, F., 2000. Estimation of agent-based models: the case of an asymmetric herding model. Computational Economics 26, 19-49.
- Anderson, S., de Palma, A., Thisse, J., 1993. Discrete choice theory of product differentiation. MIT Press, Cambridge.
Paper not yet in RePEc: Add citation now
Baak, S.J., 1999. Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations. Journal of Economic Dynamics and Control 23, 1017-1043.
Barberis, N., Shleifer, A., Vishny, R. 1998.. A model of investor sentiment. Journal of Financial Economics 49, 307-343.
Barberis, N., Thaler, R. 2003. A survey of behavioral finance, in: Constantinides, G.M., Harris, M., Stulz, R. (Eds.), Handbook of the Economics of Finance, Elsevier.
Barsky, R.B., deLong, J.B., 1993. Why does the stock market fluctuate?. Quarterly Journal of Economics 08, 291-311.
Biais, B., Bossaerts, P., Spatt, C., 2003. Equilibrium asset pricing under heterogeneous information. mimeo.
Blanchard, O.J., Watson, M.W., 1982. Bubbles, rational expectations and financial markets, in: Wachtel, P. (Eds.), Crisis in the Economic and Financial System, Lexington Books, pp. 290-310.
Blume, L., Easley, D., OHara, M., 1994. Market statistics and technical analysis: The role of volume. Journal of Finance 49, 103-181.
Brock, W.A., Hommes, C.H., 1997. A rational route to randomness. Econometrica 60, 1009-1090.
Brock, W.A., Hommes, C.H., 1998. Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control 22, 1230-1274.
Brooks, C., Katsaris, A., 2000. A three-regime model of speculative behaviour: Modelling the evolution of the S&P000 Composite Index. Economic Journal 110, 767-797.
Campbell, J.Y., Shiller, R.J., 2001. Valuation ratios and the long-run stock market outlook: an update. NBER working paper 8221.
Chavas, J.P., 2000. On information and market dynamics: the case of the U.S. beef market. Journal of Economic Dynamics and Control, 24 , 833-803.
Chen, J., Hong, H., Stein, J.C., 2002. Breadth of ownership and stock returns. Journal of Financial Economics 66, 171-200.
Cutler, D., Poterba, J., Summers, L., 1991. Speculative dynamics. Review of Economic Studies 08, 029-046.
Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor psychology and security market under- and overreactions. Journal of Finance 03, 1839-1880.
Diether, K.B., Malloy, C.J., Scherbina, A., 2002. Differences of opinion and the cross section of stock returns. Journal of Finance 07(0), 2113-2141.
European Economic Review 00, 1-33. Diba, B.T., Grossman, H.I., 1988. Explosive rational bubbles in stock prices?. American Economic Review 78, 020-030.
Evans, G.W., 1991. Pitfalls in testing for explosive bubbles in asset prices. American Economic Review8l, 922-930.
Fama, E.F., French, K.R., 2001. (2001). Disappearing dividends: Changing firm characteristics or lower propensity to pay?. Journal of Financial Economics 60, 3-43.
Fama, E.F., French, K.R., 2002. The equity premium. Journal of Finance 07, 637-609.
- Fisher, K.L., Statman, M., 2002. Blowing bubbles. Journal of Psychology and Financial Markets 3, 03-60.
Paper not yet in RePEc: Add citation now
Flood, R.P., Hodrick, R.J., 1990. On testing for speculative bubbles. Journal of Economic Perspectives 4, 80-lOl.
Frankel, J.A., Froot, K.A., 1987. Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review 77, 133-103.
Frankel, J.A., Froot, K.A., 1990. Chartists, fundamentalists, and trading in the foreign exchange market. American Economic Review 80, 181-180.
Gilli, M., Winker, P., 2003. A global optimization heuristic for estimating agent based models. Computational Statistics &t Data Analysis 42, 299-312.
- Gordon, M., 1962. The Investment Financing and Valuation of the Corporation. Irwin.
Paper not yet in RePEc: Add citation now
Grundy, B.D., Kim, Y., 2002. Stock market volatility in an heterogeneous information economy. Journal of Financial and Quantitative Analysis 37, 1-27.
Hansen, B., 1996. Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica 64, 41 3-430.
Harris, M., Raviv, A., 1993. (1993). Differences of opinion make a horse race. Review of Financial Studies 6, 473-006.
Heaton, J., Lucas, D., 1999. Stock prices and fundamentals. NBER Macroeconomic Annual, 213-241.
Hellwig, M.F., 1982. Rational expectations equilibrium with conditioning on past prices: a mean-variance example. Journal of Economic Theory 26, 279-312.
Hommes, C.H., Sonnemans, J., Tuinstra, J., van de Velden, H., 2000. Coordination of expectations in asset pricing experiments. Review of Financial Studies 18, 900-980.
Hong, H., Stein, J., 1999. A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance 54, 2143-2184.
Hong, H., Stein, J.C., 2003. Differences of opinion, short-sales constraints, and market crashes. Review of Financial Studies 16(2), 487-525.
Jagannathan, R., McGrattan, E.R., Scherbina, A., 2000. The declining U.S. equity premium. Federal Reserve Bank of Minneapolis Quarterly Review 24, 3-19.
Jegadeesh, N., Titman, 5., 1993. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48, 65-91.
Kandel, E., Pearson, N.D., 1995. Differential interpretation of public signals and trade in speculative markets. Journal of Political Economy 103, 831-872.
- Kirman, A., 1991. Epidemics of opinion and speculative bubbles in financial markets, in: Taylor, M.P. (Eds.), Money and Financial Markets, MacMillan.
Paper not yet in RePEc: Add citation now
Kirman, A., 1993. Ants, rationality and recruitment. Quarterly Journal of Economics 108, 137-156.
LeRoy, S.F., Porter, R.D., 1981. The present-value relation: Tests based on implied variance bounds. Econometrica 49, 97-113.
Ofek, E., Richardson, M., 2002. The valuation and market rationality of internet stock prices. Oxford Review of Economic Policy 18, 265-287.
Ofek, E., Richardson, M., 2003. Dotcom mania: The rise and fall of internet stock prices. Journal of Finance 53, 1113-1137.
Poterba, J.M., Summers, L.H., 1988. Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics 22, 27-59.
Shiller, R.J., 1981. Do stock prices move too much to be justified by subsequent changes in dividends?. American Economic Review 71, 421-436.
Shiller, R.J., 1984. Stock prices and social dynamics. Brookings Papers in Economic Activity 2, 457-Sb.
- Shiller, R.J., 1989. Market Volatility. MIT Press, Cambridge.
Paper not yet in RePEc: Add citation now
- Shiller, R.J., 2000. Measuring bubble expectations and investor confidence. Journal of Psychology and Financial Markets 1, 49-60.
Paper not yet in RePEc: Add citation now
Smith, V., Suchanek, G.L., Williams, A.W., 1988. Bubbles, crashes and endogenous expectations in experimental spot asset markets. Econometrica 06, 1119-Si.
Summers, L.H., 1986. Does the stock market rationally reflect fundamental values?. Journal of Finance 41, 591-602.
- Vissing-Jorgensen, A., 2003. Perspectives on behavioral finance: Does irrationality disappear with wealth? evidence from expectations and actions, in: Gertler, M., Rogoff, K. (Eds.), NBER Macroeconomics Annual, MIT Press.
Paper not yet in RePEc: Add citation now
West, K.D., 1987. A specification test for speculative bubbles. Quarterly Journal of Economics 102, 553-580.
Westerhoff, F.H., Reitz, 5., 2003. Nonlinearities and cyclical behavior: the role of chartists and fundamentalists. Studies in Nonlinear Dynamics &t Econometrics 7(4).
Winker, P., Gilli, M., 2001. Indirect estimation of the parameters of agent based models of financial markets. FAME Research Paper, University of Geneva, number 38.