Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37379
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dc.contributor.authorLudwig, Alexanderen_US
dc.contributor.authorZimper, Alexanderen_US
dc.date.accessioned2010-08-11T09:03:30Z-
dc.date.available2010-08-11T09:03:30Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37379-
dc.description.abstractBased 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.en_US
dc.language.isoengen_US
dc.publisher|aVerein für Socialpolitik |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Asset Price Dynamics |xA19-V1en_US
dc.subject.jelC62en_US
dc.subject.jelD81en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordChoquet Expected Utility Theoryen_US
dc.subject.keywordPortfolio Choiceen_US
dc.subject.keywordAsset Pricing Puzzlesen_US
dc.titleA decision-theoretic model of asset price fluctuationsen_US
dc.typeConference Paperen_US
dc.identifier.ppn655214917-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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