Irrational Exuberance: Momentum Crashes and Speculative Bubbles

James Ming Chen
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James Ming Chen: Michigan State University

Chapter Chapter 12 in Finance and the Behavioral Prospect, 2016, pp 301-322 from Palgrave Macmillan

Abstract: Abstract The ψ statistic described in Sect. 11.4 is specific to a particular investment vehicle, such as a mutual fund or a hedge fund, whose net inflows and outflows of cash enable us to quantify the gap between hypothetical investment returns and the actual returns that real-life investors realized in fact. Unlike other anomalous departures from hypothetically efficient markets and capital asset pricing, however, the effect that ψ measures is almost entirely an artifact of investor behavior. Indeed, among the many phenomena documented in this book, the performance gap may be the purest example of a behavioral departure from perfect efficiency, rational expectations, and platonically maximized utility.

Keywords: Stock Price; Asset Price; Supra Note; Mutual Fund; Trading Volume (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:pal:qpochp:978-3-319-32711-2_12

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DOI: 10.1007/978-3-319-32711-2_12

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