Can behavioral finance models account for historical asset prices?

Ap Gwilym, Rhys 2009. Can behavioral finance models account for historical asset prices? [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

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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.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	06 Oct 2015 14:21
URI:	https://orca.cardiff.ac.uk/id/eprint/77830

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