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Title:Can behavioral finance models account for historical asset prices? PDF Logo
Authors:ap Gwilym, Rhys
Issue Date:2009
Series/Report no.:Cardiff Economics Working Papers E2009/17
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.
Subjects:Behavioral finance
Asset pricing
JEL:G12
D03
Document Type:Working Paper
Appears in Collections:Cardiff Economics Working Papers, Cardiff Business School, Cardiff University

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