Learning in Financial Markets

By Ľuboš Pástor, Pietro Veronesi. 2009

316 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f48921b930e6579dfeb8cb2361613b42be2b0f1e

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Citations in the corpus

CISS - A Composite Indicator of Systemic Stress in the Financial System (2012, unknown): “For instance, in Pastor and Veronesi (2009) volatility increases caused by a higher “news elasticity” of asset prices when investors’ uncertainty about the asset’s underlying fundamentals has increased. Veronesi (2004) furthermore shows that a small probability of a long recession can induce volatil”
Bayesian Portfolio Analysis (2010, background): “Pástor & Veronesi (2009) comprehensively survey the literature on learning in financial markets.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “…ratio predicts subsequent 3On rare disasters, see Gabaix (2012) and Wachter (2013); on long-run risk, see Bansal and Yaron (2004) and Bansal et al. (2012); on changing risk aversion, see Campbell and Cochrane (1999); and on rational learning, see Timmermann (1993) and Pastor and Veronesi (2009).”
Good and bad uncertainty: Macroeconomic and financial market implications ☆ (2015, background): “This is distinct from other aspects of uncertainty, such as parameter uncertainty, learning, robust-control, and ambiguity (see discussions in Pastor and Veronesi (2009), Hansen and Sargent (2010), Epstein and Schneider (2010)).”
Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence (2012, unknown): “We therefore abstract from learning, doubt, and fragile beliefs (Timmermann, 1993; Pastor and Veronesi, 2009; Hansen, 2007; Hansen and Sargent, 2010; Croce, Lettau, and Ludvigson, 2010).”
On the unstable relationship between exchange rates and macroeconomic fundamentals (2013, unknown): “There are two important features to notice from (26).”
Self-Exciting Jumps, Learning, and Asset Pricing Implications (2015, background): “A recent survey has been provided by Pastor and Veronesi (2009).”
Informational Holdup and Performance Persistence in Venture Capital (2014, unknown): “Sharpe (1990), Rajan (1992), von Thadden (2004)), and to the literature on learning more generally in financial markets (see Pastor and Veronesi (2009) for a recent survey).”
Diagnostic Expectations and Stock Returns (2019, background): “Pastor and Veronesi (2003, 2005, 2009) present rational learning models in which uncertainty about the fundamentals of some firms can yield predictability in aggregate stock returns.”