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Can behavioral finance models account for historical asset prices?

  • ap Gwilym, Rhys

I 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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File URL: http://www.sciencedirect.com/science/article/B6V84-502GGY6-7/2/0bc11d685f83696b4ae1c959b51545a8
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 108 (2010)
Issue (Month): 2 (August)
Pages: 187-189

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Handle: RePEc:eee:ecolet:v:108:y:2010:i:2:p:187-189
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Meenagh, David & Minford, Patrick & Peel, David, 2006. "Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency," CEPR Discussion Papers 5614, C.E.P.R. Discussion Papers.
  2. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  3. Shlomo Benartzi & Richard H. Thaler, 1993. "Myopic Loss Aversion and the Equity Premium Puzzle," NBER Working Papers 4369, National Bureau of Economic Research, Inc.
  4. Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, 09.
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