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  • 2022

My paper on a microstructural interpretation of Gabaix & Koijen’s Inelastic Market Hypothesis came out last week

Why do prices move? Whereas Fama argues that markets are efficient and prices faithfully reflect fundamental values, Shiller insists on the role of behavioural biases as a source of excess volatility and price anomalies

https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0139356&type=printable