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: G12 D03 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-cbe, nep-cfn and nep-for
Date: 2009-09
View list of references

Downloads: (external link)
http://www.cardiff.ac.uk/carbs/econ/workingpapers/papers/E2009_17.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cdf:wpaper:2009/17

Access Statistics for this paper

More papers in Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section
Contact information at EDIRC.
Series data maintained by Bruce Webb ().