Inefficient Markets: An Introduction to Behavioural Finance
OUP Oxford, 9 mar 2000 - 224 pagine
The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
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abnormal returns arbitrageurs average returns behavioral finance capital cash flows Chapter closed end funds closed-end comovement companies correlated creditors decile demand discounts on closed dividend earnings announcements earnings shock efficient markets efficient markets hypothesis empirical end fund puzzle equilibrium equity evidence expected return explanation extreme Fama Financial Economics financial markets firms fundamental risk fundamental value future hedge funds hold horizons hypothesis Index individual investors inefficiency initial public offerings investor sentiment Journal of Finance Lakonishok limited arbitrage liquidation market efficiency market to book misperceptions mispricing negative net asset value noise trader risk overpriced overreaction percent perfect substitutes performance positive feedback traders positive shock predictions price bubbles Proposition random walk rational regime relative representativeness heuristic return following risky asset Royal Dutch security prices Shiller Shleifer stock funds stock market stock prices stock returns strategies Thaler theory underreaction valuation value-weighted Vishny