Comparing Behavioural Heterogeneity Across Asset Classes

Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

“…Heterogeneous agent models perform very well in describing, explaining, and often forecasting (financial) markets dynamics: they have been used to explain asset price dynamics in equities, foreign exchange, bonds, housing, derivatives, commodities, and even macroeconomic variables. 1 In order to make the results comparable, ter Ellen et al (2017) estimate a generic heterogeneous agent model on a variety of asset classes and find support for heterogeneity of market participants for all asset classes but equities. Moreover, they find that heterogeneity is more pronounced for macroeconomic variables and that these are more prone to behavioural bubbles than financial assets.…”