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
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
收藏
页码:323 / 349
页数:27
相关论文
共 77 条
[1]   NONSTATIONARY EXPECTED RETURNS - IMPLICATIONS FOR TESTS OF MARKET-EFFICIENCY AND SERIAL-CORRELATION IN RETURNS [J].
BALL, R ;
KOTHARI, SP .
JOURNAL OF FINANCIAL ECONOMICS, 1989, 25 (01) :51-74
[4]   THE CRASH OF 87 - WAS IT EXPECTED - THE EVIDENCE FROM OPTIONS MARKETS [J].
BATES, DS .
JOURNAL OF FINANCE, 1991, 46 (03) :1009-1044
[5]   STATE PREFERENCE AND THE RISKLESS INTEREST-RATE - MARKOV MODEL OF CAPITAL-MARKETS [J].
BEJA, A .
REVIEW OF ECONOMIC STUDIES, 1979, 46 (03) :435-446
[6]   REAL AND NOMINAL INTEREST-RATES UNDER UNCERTAINTY - THE FISHER THEOREM AND THE TERM STRUCTURE [J].
BENNINGA, S ;
PROTOPAPADAKIS, A .
JOURNAL OF POLITICAL ECONOMY, 1983, 91 (05) :856-867
[7]  
BENNINGA S, 1993, DYNAMIC WEALTH REDIS
[8]   NOISE [J].
BLACK, F .
JOURNAL OF FINANCE, 1986, 41 (03) :529-543
[9]   EVOLUTION AND MARKET BEHAVIOR [J].
BLUME, L ;
EASLEY, D .
JOURNAL OF ECONOMIC THEORY, 1992, 58 (01) :9-40
[10]   THE TERM STRUCTURE OF REAL INTEREST-RATES AND THE COX, INGERSOLL, AND ROSS MODEL [J].
BROWN, RH ;
SCHAEFER, SM .
JOURNAL OF FINANCIAL ECONOMICS, 1994, 35 (01) :3-42