Comparing Behavioural Heterogeneity Across Asset Classes

Saskia ter Ellen, Cars Hommes, Remco Zwinkels

Research output: Contribution to JournalArticleAcademicpeer-review


We estimate an endowment-based asset pricing model in which agents have heterogeneous and time-varying beliefs about the future price on a range of asset classes. This gives insight into the extent behaviour differs across assets, and what this implies for market stability. We find evidence for behavioural heterogeneity for all asset classes but equity. Heterogeneity is especially large and persistent in asset classes for which limits to arbitrage are more binding. In less constrained (financial) markets, agents update their beliefs more frequently. Consequently, the probability of behavioural bubbles and crashes is substantially higher in macroeconomic asset classes than in financial asset classes.

Original languageEnglish
Pages (from-to)747-769
Number of pages23
JournalJournal of Economic Behavior and Organization
Early online date5 Feb 2020
Publication statusE-pub ahead of print - 5 Feb 2020

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