Can behavioral finance models account for historical asset prices?

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Cardiff Economics Working Papers ; No. E2009/17

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: Behavioral finance ; Asset pricing ; Finanzmarkt ; Kapitalanlage ; Verhaltensökonomik ; Wirtschaftsprognose ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): ap Gwilym, Rhys
• Event: Veröffentlichung
• (who): Cardiff University, Cardiff Business School
• (where): Cardiff
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/65836
• Last update: 10.03.2025, 11:42 AM CET