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Title :CCAPM: How we end up in the behavioral model and how we can formally estimate it
Creator :Giannoulakis, Michail
Γιαννουλάκης, Μιχαήλ
Contributor :Athens University of Economics and Business, Department of Economics (Degree granting institution)
Type :Text
Extent :52p.
Language :en
Abstract :Behavioral Theory is one of the main realms that Economic Research continues to exist for today. The poor performance of Consumption Based Asset Pricing has lead theorists to explore new disciplines in their effort to explain how the prices of assets are formed. In this direction, psychological effects made their presence loud the past twenty years. The heterogeneity between investors’ opinion about various assets’ characteristic and their sentimental situation are some of those. These effects were incorporated in Asset Pricing Models resulting in The Behavioral Models. This thesis has as main purpose to familiarize the reader with the idea that some components may be missing when writing the traditional pricing equations; components that connect the heterogeneity of investors and try to model their feelings and how much of an optimist they are. In order for the reader to deeply comprehend thealteration between Traditional and Behavioral Theory, this dissertation presents both theories and how we can analytically jump from one to another by adding some extra heterogeneity in the Traditional Model. Finally, a method of estimation of the Behavioral Model and some findings are stated to make even clearer to the reader that the existence of Behavioral effects are of great empirical interest.
Subject :Behavioral Asset Pricing
Risk Premia
Date :30-11-2015
Licence :

File: Giannoulakis_2015.pdf

Type: application/pdf