BEHAVIORAL CAPITAL-ASSET PRICING THEORY

被引：238

作者：

SHEFRIN, H

STATMAN, M

机构：

[1] Leavey School of Business, Santa Clara University, Santa Clara

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1994年 / 29卷 / 03期

基金：

美国国家科学基金会;

关键词：

D O I：

10.2307/2331334

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper develops a capital asset pricing theory in a market where noise traders interact with information traders. Noise traders are traders who commit cognitive errors while information traders are free of cognitive errors. The theory includes the determination of the mean-variance efficient frontier, the return on the market portfolio, the term structure, and option prices. The paper derives a necessary and sufficient condition for the existence of price efficiency in the presence of noise traders and analyzes the effects of noise traders on price efficiency, volatility, return anomalies, volume, and noise trader survival.

引用

页码：323 / 349

页数：27

共 77 条

[1] NONSTATIONARY EXPECTED RETURNS - IMPLICATIONS FOR TESTS OF MARKET-EFFICIENCY AND SERIAL-CORRELATION IN RETURNS [J].