TAILIEUCHUNG - Stock Market Volatility and Learning∗

At the time of the survey, twenty nine sites were identified as offering online trading in Australia and surveyed over a three day period. The websites were reviewed against a range of disclosure related criteria, including best practice benchmarks and standards. The survey determined that, on the whole, the online trading industry in Australia is an effective and efficient e-commerce industry. It has provided retail investors with a cheap, efficient and convenient process of buying and selling securities in Australia. Many of the online trading sites also allow clients to access quality and timely financial and. | Stock Market Volatility and Learning Klaus Adam Albert Marcet Juan Pablo Nicolini January 25 2008 Abstract Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility persistence of price-dividend ratios long-horizon return predictability and a risk premium as in the habit model of Campbell and Cochrane 1999 but for lower risk aversion. This is obtained even though our learning scheme introduces just one free parameter and we only consider learning schemes that imply small deviations from full rationality. The findings are robust to the learning rule used and other model features. What is key is that agents forecast future stock prices using past information on prices. JEL Class. No. G12 D84 Thanks go to Luca Dedola George Evans Katharina Greulich Seppo Honkapohja Ricardo Lagos Bruce McGough Bruce Preston Jaume Ventura Joachim Voth and Raf Wouters for interesting comments and suggestions. We particularly thank Philipp e Weil for a very interesting and stimulating discussion. Thanks go also to seminar participants at CERGE-EI in Prague U. Autònoma de Barcelona New York Fed Fed. Reserve Bank of Minneapolis NYU MIT Board of Governors C arnegie-Mellon U. U. of Pennsylvania and Cambridge U and to conference participants at CREI-CEPR Conference on Bubbles - Theory and Policy Implications at U. Pompeu Fabra ESSIM 2006 in Tarragona Econometric Society European Meeting 2006 4th IMOP Conference on Dynamic Macroeconomics in Hydra SCE 2006 Conference St. Louis Learning Workshop 2006 2007 Dynare Conference in Paris 1st Swiss National Bank Research Conference in Zurich 2007 Bank of Finland - CEPR Conference in Helsinki AEA Meetings 2008 in New Orleans. Davide Debortoli has supported us with outstanding research assistance and many suggestions. Marcet acknowledges supp ort from C IRIT Generalitat de .

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