Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/37379 
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dc.contributor.authorLudwig, Alexanderen
dc.contributor.authorZimper, Alexanderen
dc.date.accessioned2010-08-11T09:03:30Z-
dc.date.available2010-08-11T09:03:30Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aVerein für Socialpolitik |cFrankfurt a. M.en
dc.relation.ispartofseries|aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Asset Price Dynamics |xA19-V1en
dc.subject.jelC62en
dc.subject.jelD81en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordChoquet Expected Utility Theoryen
dc.subject.keywordPortfolio Choiceen
dc.subject.keywordAsset Pricing Puzzlesen
dc.titleA decision-theoretic model of asset price fluctuations-
dc.typeConference Paperen
dc.identifier.ppn655214917en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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