GENERALIZED BEHAVIORAL ASSET PRICING MODEL .pdf

《GENERALIZED BEHAVIORAL ASSET PRICING MODEL .pdf》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、GENERALIZEDBEHAVIORALASSETPRICINGMODELAdamSzyszkaPoznańUniversityofEconomicsadam.szyszka@ae.poznan.plAbstractBehavioralfinanceisanareawithinfinancedisciplinethatfocusesoninvestors’behavioranddecisionmakingprocessinordertounderstandanomalouspricingofassetsandotherpuzzlingobservationstakenempiricall

2、yfromthecapitalmarket.Ithasemergedintheresponsetothedifficultiesfacedbythetraditionalfinancialtheoryinexplainingsomefinancialphenomena.Inthecontrarytotheclassicalparadigm,behavioralfinanceassumesthatagentsmaybeirrationalintheirreactionstonewinformationandinvestmentdecisions.Thesourcesofirrationali

3、tyarepsychologicalbiasesandheuristicsofahumanmind.Astheresult,themarketwillnotalwaysbeefficientandassetpricingmaydeviatefrompredictionsoftraditionalmarketmodels.ThepaperpresentstheGeneralizedBehavioralModel(GBM)thatdescribeshowassetpricesmaybeinfluencedbyvariousbehavioralheuristicsandhowthepricesm

4、aydeviatefromfundamentalvaluesduetoinvestors’irrationalbehavior.Themodeldistinguishesthreebehavioralvariablesthatarelinkedtoerrorsinunderstandingandtransforminginformationsignals,problemswithrepresentativeness,andunstablepreferences.TheultimatescaleofbehavioralmispricingdependsonameasureA–theabili

5、tyofthemarketforself-correction.Thediscussiononfactorsinfluencingeachofmodel’svariablesispresentedandillustratedwithexamples.Themodeliscapableofexplainingavastarrayofmarketanomalies,includingmarketunder-andoverreaction,continuationsandreversalsofstockreturns(momentum&contrarianstrategies),highvola

6、tilitypuzzle,smallsizeandbook-to-marketeffects,calendaranomalies,andothers.Concludingremarksincludediscussiononmodel’sadvantagesandlimitations,aswellaspotentialdirectionsforfuturedevelopmentandresearch.1.IntroductionItisformorethantwodecadesnowthatintheworld’sliteratureastormydiscussionhasbeentaki

7、ngplacebetweenfollowersoftheneoclassicalcapital1Electroniccopyavailableat:http://ssrn.com/abstract=1298910markettheoryandrepresentativesofanewtrendreferredtoasbehavioralfinance.Theneoclassicalfinancialtheoryisbas