Behavioral Asset Pricing Model

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1、BehavioralAssetPricingSeminarPapertobepresentedattheBehaviouralFinance-WorkshopSupervisor:Prof.Dr.JensCarstenJackwerthOliverFeixPeter-Rosegger-Weg2378464Konstanz24.06.2002Contents1Introduction12TheEfficientMarketHypothesis23DoestheEMH(Still)Hold?43.1TheBadNewsfortheEMHSuppo

2、rters................53.2TheGoodNewsfor(andof)EMHSupporters............84BehavioralAssetPricing:AWayOut?95BehavioralAssetPricingandPracticalApplications136Conclusion14iOvertimeIbelievethatthepurelyrationalparadigmwillbesubsumedbyabroaderpsychologicalparadigmthatincludesfu

3、llrationalityasasignificantcase.-DavidHirshleifer(2001)Intheend,Ithinkwecanhopeforacoherentstorythat(i)relatesthecross-sectionpropertiesofexpectedreturnstothevariationofexpectedreturnsthroughtime,and(ii)relatesthebehaviorofexpectedreturnstotherealeconomyinaratherdetailedwa

4、y.Orwecanhopetoconvinceourselvesthatnosuchstoryispossible.-EugeneF.Fama(1991)1IntroductionInarecentFinancialTimesarticletitled”Academiarunsoutofblockbusters”1itwasmentionedthataftertheCapitalAssetPricingModel(CAPM)andtheBlack-ScholesOptionPricingModelthereisalackofnewidea

5、sinthefinancialworld.20yearsago”BehavioralFinance”appearedontheinvestmentscene.Butsincethentheacademicaswellasthepracticalworldoffinancehavefacedthemajordifficultyhowtomakemoneyoutofit.However,”BehavioralFinance”isveryhelpfulinunderstandingwhypricesareastheyareorinotherwordsi

6、nunderstandingmarketanomalies.DuetothejointhypothesisproblemasproposedbyFama(1970),onecannotbutrelatetheefficientmarkethypothesistoanunderlyingassetpricingmodelwhichhastoresultinarationalequilibrium.Manyofthoseequilibriummodelshavebeenproposedandhaveworkedratherwellbutthere

7、arestillalotofpuzzlesandmarketanomaliesremainingwhichcouldnotbesolvedbyusageofrationalbehavior-basedmodels.The”Rationalists”stillinsistontheirpointofviewthattheseanomaliesareduetostatisticalerrorsorwrongriskmeasuring.The”Behavioralists”believethatthereisenoughempiricalasw

8、ellastheoreticalevidencetostatethatmarketsarenotalwaysefficient.TheytrytooverthrowtheCAPManditspro