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)
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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: |
http://orca.cf.ac.uk/id/eprint/77830 |
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