Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65836
Authors: 
ap Gwilym, Rhys
Year of Publication: 
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

Files in This Item:
File
Size
359.64 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.