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Who Killed the Random Walk? How Extrapolators Create Booms, Busts, Trends, and Opportunity

https://doi.org/10.2139/ssrn.6062494
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Manias, Panics and Crashes
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On the structure and diversity of rational beliefs
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An artificial stock market
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Optimum consumption and portfolio rules in a continuous-time model
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The equity premium: A puzzle
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Seasoned equity offerings, market timing, and the corporate lifecycle
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Time Series Momentum
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X-CAPM: An extrapolative capital asset pricing model
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Time series properties of an artificial stock market
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Chapter 24 Agent-based Computational Finance
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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Noise Trader Risk in Financial Markets
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Overconfidence and Speculative Bubbles
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Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
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Corporate Cash Shortfalls and Financing Decisions
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Equity Return Expectations and Portfolios: Evidence from Large Asset Managers
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Expectations of Returns and Expected Returns
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Large Bets and Stock Market Crashes
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Market Timing and Capital Structure
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A Theory of Trading Volume
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Positive Feedback Investment Strategies and Destabilizing Rational Speculation
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Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
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Are Stocks Really Less Volatile in the Long Run?
inferredcites →https://doi.org/10.1111/jofi.12018openalex-snapshot
Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
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Value and Momentum Everywhere
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Bond-Stock Comovements
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Disagreement and the Stock Market
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The Noise Trader Approach to Finance
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Some A Posteriori Probabilities in Stock Market Action
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An Intertemporal Capital Asset Pricing Model
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Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
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Smart Money, Noise Trading and Stock Price Behaviour
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Dynamic Strategies for Asset Allocation
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Speculation, Trading, and Bubbles
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