Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/37379
Autoren: 
Ludwig, Alexander
Zimper, Alexander
Datum: 
2010
Schriftenreihe/Nr.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Asset Price Dynamics No. A19-V1
Zusammenfassung: 
Based on the psychological interpretation of conditional non-additive probability measures arising in Choquet expected utility theory we introduce a behavioral model of asset price fluctuations. In this model naive agents are prone to a confirmatory bias in the interpretation of new information about economic fundamentals. As a conceptual advantage over rational expectations asset pricing models our formal approach gives rise to model-endogenous concepts of overpricing and underpricing. As another interesting feature our model generates equilibrium price patterns that reflect underreaction of asset prices with respect to one period good news as well as overreaction with respect to several periods of good news. These empirical phenomena have received signicant attention in the behavioral finance literature. In contrast to our approach, however, previous formal explanations have not been derived from decision-theoretic first principles but were rather ad hoc.
Schlagwörter: 
Choquet Expected Utility Theory
Portfolio Choice
Asset Pricing Puzzles
JEL: 
C62
D81
G12
Dokumentart: 
Conference Paper

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