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
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
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) Track citations by RSS feed
Downloads: (external link)
Journal Article: Can behavioral finance models account for historical asset prices? (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://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.
Bibliographic data for series maintained by Yongdeng Xu ().