文件大小:未知
级别评定:★★★★★
添加时间:2015-12-22 18:23:06
最后更新:2015-12-29 08:56:19
下载积分:0分 (只有会员文件下载时才需要相应积分验证)
总浏览:
总下载:19
发布人:george15135
X-CAPM: An Extrapolative Capital Asset Pricing Model
,” Journal of Financial Economics, 115 (1): 1-24
Article
Journal of Financial Economics January 2015Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other investors hold fully rational beliefs. We find that the model captures many features of actual prices and returns; importantly, however, it is also consistent with the survey evidence on investor expectations.
Keywords: capital asset pricing; returns; Investing; Asset Pricing; Investment Return