Measurement, dynamics, and implications of heterogeneous beliefs in financial markets Defended on Thursday, 28 May 2015

This dissertation is part of a growing research field in which the heterogeneity of economic actors is incorporated. It bundles four studies that consider the measurement, dynamics and implications of heterogeneous beliefs in financial markets, using a variety of datasets. The studies show that investors are not only heterogeneous, they also do not use stable, unconditional, forecasting rules to form their expectation on future movements of financial markets. Instead, they may change the way they form expectations based on various factors, such as the past performance of different forecasting rules or the horizon for which they form their expectations. The dynamics between the different types of investors can cause periods of severe mispricing and disruption of financial markets. Survey datasets that contain analysts’ forecast are important tools to unravel investor expectation mechanisms and dynamics that can otherwise not always be directly observed in the data. They can also reveal why investors sometimes disagree more with each other than at other times and how these underlying reasons can be of crucial importance for market dynamics.


Foreign exchange, sovereign credit risk, financial markets, expectations, heterogeneous agent models, uncertainty, disagreement.

Preferred reference

ter Ellen, S. (2015, May 28). Measurement, Dynamics, and Implications of Heterogeneous Beliefs in Financial Markets (No. EPS-2015-343-F&A). ERIM Ph.D. Series Research in Management. Erasmus Research Institute of Management. Retrieved from

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