Can behavioral finance models account for historical asset prices?
AbstractI construct a behavioral model of asset pricing in which agents choose whether to base their expectations on chartist or fundamental forecasts. I find that the model cannot be rejected as the data generating process for the FTSE All-Share Index.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 108 (2010)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
Behavioral finance Asset pricing;
Other versions of this item:
- ap Gwilym, Rhys, 2009. "Can behavioral finance models account for historical asset prices?," Cardiff Economics Working Papers E2009/17, Cardiff University, Cardiff Business School, Economics Section.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D03 - Microeconomics - - General - - - Behavioral Microeconomics; Underlying Principles
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