Can behavioral finance models account for historical asset prices?
I 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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"Simulating stock returns under switching regimes - A new test of market efficiency,"
Elsevier, vol. 94(2), pages 235-239, February.
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