DSpace - Tor Vergata >
Facoltà di Economia >
CEIS - Centre for International Studies on Economic Growth >
Research papers >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/68

Title: Asset price anomalies under bounded rationality
Authors: Barucci, Emilio
Monte, Roberto
Reno, Roberto
Keywords: asset prices
returns correlation
bounded rationality
dividends
diffusion processes
Issue Date: Jun-2003
Publisher: CEIS
Series/Report no.: CEIS Tor Vergata Research Paper
19
Abstract: We analyze the classical asset pricing model assuming non fully rational agents. Agents forecast future prices cum dividend through an adaptive learning rule. This assumption provides an explanation of some anomalies encountered in the empirical analysis of asset prices under full rationality: Returns are serially correlated (positively over a short horizon and negatively over a longer horizon) and the dividend yield predicts future returns (positive correlation). Considering the continuous time limit process, the same regularities are established analytically for price increments.
URI: http://ssrn.com/abstract=414080
http://hdl.handle.net/2108/68
Appears in Collections:Research papers

Files in This Item:

File Description SizeFormat
ssrn-id414080.pdf373KbAdobe PDFView/Open

Show full item record

All items in DSpace are protected by copyright, with all rights reserved.