| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19189 |
| 来源ID | Working Paper 19189 |
| X-CAPM: An Extrapolative Capital Asset Pricing Model | |
| Nicholas Barberis; Robin Greenwood; Lawrence Jin; Andrei Shleifer | |
| 发表日期 | 2013-06-28 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns: they expect the stock market to perform well (poorly) in the near future if it performed well (poorly) in the recent past. 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, but is also consistent with the survey evidence on investor expectations. This suggests that the survey evidence does not need to be seen as an inconvenient obstacle to understanding the stock market; on the contrary, it is consistent with the facts about prices and returns, and may be the key to understanding them. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19189 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576862 |
| 推荐引用方式 GB/T 7714 | Nicholas Barberis,Robin Greenwood,Lawrence Jin,et al. X-CAPM: An Extrapolative Capital Asset Pricing Model. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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