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 simulate the model in order to test its efficacy in explaining the moments and time series properties of the FTSE All-Share index, and find that the model cannot be rejected as the data generating process.
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Bibliographic InfoPaper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2009/17.
Length: 10 pages
Date of creation: Sep 2009
Date of revision:
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More information through EDIRC
Behavioral finance; Asset pricing;
Other versions of this item:
- ap Gwilym, Rhys, 2010. "Can behavioral finance models account for historical asset prices?," Economics Letters, Elsevier, vol. 108(2), pages 187-189, August.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- D03 - Microeconomics - - General - - - Behavioral Economics; Underlying Principles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-03 (All new papers)
- NEP-CBA-2009-10-03 (Central Banking)
- NEP-CBE-2009-10-03 (Cognitive & Behavioural Economics)
- NEP-CFN-2009-10-03 (Corporate Finance)
- NEP-FOR-2009-10-03 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:CitEc Project, subscribe to its RSS feed for this item.
- ap Gwilym, Rhys, 2009.
"The Monetary Policy Implications of Behavioral Asset Bubbles,"
Cardiff Economics Working Papers
E2009/18, Cardiff University, Cardiff Business School, Economics Section.
- Rhys ap Gwilym, 2010. "The Monetary Policy Implications of Behavioural Asset Bubbles," Working Papers 10011, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
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