Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500

C Chiarella, X He, Remco Zwinkels

Research output: Contribution to journalArticleAcademicpeer-review

41 Citations (Scopus)


This paper empirically assesses heterogeneous expectations in asset pricing. We use a maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical results are consistent with a market populated with fundamentalists and chartists. In addition, agents switch between these groups conditional on their previous performance. The results imply that the model can explain the inflation and deflation of bubbles. Finally, the model is shown to be in the deterministically stable region, but produces stochastic bubbles of similar length and magnitude as empirically observed.
Original languageEnglish
Pages (from-to)1-16
Number of pages16
JournalJournal of Economic Behavior and Organization
Issue numberseptember
Publication statusPublished - 2013


Dive into the research topics of 'Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500'. Together they form a unique fingerprint.

Cite this