Heterogeneity of Beliefs and Trading Behavior: A Reexamination

Sascha Füllbrunn; Christoph Huber; Utz Weitzel; Catherine Eckel

doi:10.1017/S002210902300011X

Heterogeneity of Beliefs and Trading Behavior: A Reexamination

Sascha Füllbrunn, Christoph Huber^*, Utz Weitzel, Catherine Eckel

^*Corresponding author for this work

Institute for Markets and Strategy

Publication: Scientific journal › Journal article › peer-review

Abstract

Combining experimental data sets from seven individual studies, including 255 asset markets with 2,031 participants, and 36,326 short-Term price forecasts, we analyze the role of heterogeneity of beliefs in the organization of trading behavior by reproducing and reconsidering earlier experimental findings. Our results confirm prior evidence that price expectations affect trading behavior. However, heterogeneity in beliefs does not seem to drive overpricing and asset market bubbles, as suggested by earlier studies, and we find no indication of short-Term beliefs being better determinants of trading behavior than longer-Term beliefs.

Original language	English
Journal	Journal of Financial and Quantitative Analysis (JFQA)
Early online date	Apr 2023
DOIs	https://doi.org/10.1017/S002210902300011X
Publication status	E-pub ahead of print - Apr 2023

Access to Document

10.1017/S002210902300011XLicence: CC BY

Cite this

@article{6e95394038de44f0a71033be695edc57,

title = "Heterogeneity of Beliefs and Trading Behavior: A Reexamination",

abstract = "Combining experimental data sets from seven individual studies, including 255 asset markets with 2,031 participants, and 36,326 short-Term price forecasts, we analyze the role of heterogeneity of beliefs in the organization of trading behavior by reproducing and reconsidering earlier experimental findings. Our results confirm prior evidence that price expectations affect trading behavior. However, heterogeneity in beliefs does not seem to drive overpricing and asset market bubbles, as suggested by earlier studies, and we find no indication of short-Term beliefs being better determinants of trading behavior than longer-Term beliefs.",

author = "Sascha F{\"u}llbrunn and Christoph Huber and Utz Weitzel and Catherine Eckel",

year = "2023",

month = apr,

doi = "10.1017/S002210902300011X",

language = "English",

journal = "Journal of Financial and Quantitative Analysis (JFQA)",

issn = "0022-1090",

publisher = "Cambridge University Press",

}

TY - JOUR

T1 - Heterogeneity of Beliefs and Trading Behavior: A Reexamination

AU - Füllbrunn, Sascha

AU - Huber, Christoph

AU - Weitzel, Utz

AU - Eckel, Catherine

PY - 2023/4

Y1 - 2023/4

N2 - Combining experimental data sets from seven individual studies, including 255 asset markets with 2,031 participants, and 36,326 short-Term price forecasts, we analyze the role of heterogeneity of beliefs in the organization of trading behavior by reproducing and reconsidering earlier experimental findings. Our results confirm prior evidence that price expectations affect trading behavior. However, heterogeneity in beliefs does not seem to drive overpricing and asset market bubbles, as suggested by earlier studies, and we find no indication of short-Term beliefs being better determinants of trading behavior than longer-Term beliefs.

AB - Combining experimental data sets from seven individual studies, including 255 asset markets with 2,031 participants, and 36,326 short-Term price forecasts, we analyze the role of heterogeneity of beliefs in the organization of trading behavior by reproducing and reconsidering earlier experimental findings. Our results confirm prior evidence that price expectations affect trading behavior. However, heterogeneity in beliefs does not seem to drive overpricing and asset market bubbles, as suggested by earlier studies, and we find no indication of short-Term beliefs being better determinants of trading behavior than longer-Term beliefs.

U2 - 10.1017/S002210902300011X

DO - 10.1017/S002210902300011X

M3 - Journal article

SN - 0022-1090

JO - Journal of Financial and Quantitative Analysis (JFQA)

JF - Journal of Financial and Quantitative Analysis (JFQA)

ER -