I am currently an associate professor of finance in the Parker College of Business at Georgia Southern University and a research associate for the Institute for New Economic Thinking (INET) program on Knightian Uncertainty Economics (KUE). My research focuses on testing the implications of macro-finance models based on KUE by investigating the relative roles and dynamics between market fundamentals, psychology, and social context in explaining instability in stock price fluctuations. I earned my doctoral degree at the University of New Hampshire. My research has received attention from financial press outlets such as The Economist and Bloomberg News and has been featured prominently in the book Beyond Mechanical Markets: Asset Price Swings, Risk, and the Role of the State - a 2011 finalist for the Paul Samuelson Prize.
Nicholas Mangee
By this expert
How Market Sentiment Underpins Knightian Uncertainty
We find empirical evidence that changes in market sentiment drive unforeseeable change in how stock returns unfold over time, thereby engendering Knightian uncertainty.
How Market Sentiment Drives Forecasts of Stock Returns
We reveal a novel channel through which market participants’ sentiment influences how they forecast stock returns: their optimism (pessimism) affects the weights they assign to fundamentals.
New Evidence for the Present-Value Model of Stock Prices: Why the REH Version Failed Empirically
Shiller (1981) and others have shown that the quantitative predictions of the REH present-value model are inconsistent with time-series data on stock prices and dividends. In this paper, we assess the empirical relevance of the model without explicitly representing how a rational market participant forecasts dividends and interest rates.
Rationality in the Present-Value Model of Stock Prices: Fundamentals, Psychology, and Structural Change
The present-value model of stock prices is a workhorse in financial economics. The model relates today’s price of a stock (or a basket of stocks) to the market’s forecasts of next-period’s price and dividend, appropriately discounted.
Featuring this expert
INET Announces Program on Knightian Uncertainity Economics
Rethinking the role of markets and government policy in light of our inherently limited ability to foresee economic and social outcomes
Knightian Uncertainty Economics (KUE)
Rethinking the role of markets and government policy in light of our inherently limited ability to foresee economic and social outcomes