9786137339121

From Efficient Market to Behavioral Finance

Fabrizio Di Sciorio
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ISBN-13:

978-613-7-33912-1

ISBN-10:
6137339122
EAN:
9786137339121
Book language:
English
Blurb/Shorttext:
The work is a collection of papers. The main themes are: 1. Efficient Market Hypothesis Some theories of early ‘900, like Bachelier and some others , impose oneself that markets ensue, in their dynamics, a random walk. 2. CAPM and Beta The Capital Asset Pricing Model is one of the most famous models to estimate return in literature. Introduced in the 60s it estimates the return on an asset depending on the investment risk. The main pin of this model is the Beta coefficient, which measures the change of a title in function of the market index return. The focus of this analysis is the conditional Beta estimated, through the use of the covariance and the conditional variance 3. The w(p) in the Financial Markets The aim of the work is to estimate the probability weighting function, starting from the time series of the S&P 500 index. After an introduction to the Efficient Markets Hypothesis (EMH) and the empiri-cal evidence against it, I have introduced the Prospect Theory (PT). Fol-lowing the studies carried out by Gonzalez et al., I have analyzed w(p) and I have proposed a new estimation method with a two-parameters function.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Fabrizio Di Sciorio
Number of pages:
52
Published on:
2018-01-30
Stock:
Available
Category:
Economics
Price:
35.90 €
Keywords:
behavioral finance, Beta, CAPM, efficient market, return, risk

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