Can behavioral finance models account for historical asset prices?

Rhys ap Gwilym

No E2009/17, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: 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.

Keywords: Behavioral finance; Asset pricing (search for similar items in EconPapers)
JEL-codes: D03 G12 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2009-09
New Economics Papers: this item is included in nep-cba, nep-cbe, nep-cfn and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Can behavioral finance models account for historical asset prices? (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2009/17

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