The capital asset pricing model in the 21st century: analytical, empirical, and behavioral perspectives
The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges th...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2012
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| Schlagworte: | |
| Online-Zugang: | BSB01 UBG01 UBR01 UBT01 UBY01 Volltext |
| Zusammenfassung: | The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (xiii, 442 pages) |
| ISBN: | 9781139017459 |
| DOI: | 10.1017/CBO9781139017459 |
Internformat
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Datensatz im Suchindex
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:38:42Z |
| institution | BVB |
| isbn | 9781139017459 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029332998 |
| oclc_num | 843422342 |
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| physical | 1 online resource (xiii, 442 pages) |
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| publishDate | 2012 |
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| spelling | Levy, Haim 1939- Verfasser (DE-588)170156605 aut The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy Cambridge Cambridge University Press 2012 1 online resource (xiii, 442 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms Capital asset pricing model Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Empirische Wirtschaftsforschung (DE-588)4014609-1 s 1\p DE-604 Erscheint auch als Druckausgabe 978-0-521-18651-3 Erscheint auch als Druckausgabe 978-1-107-00671-3 https://doi.org/10.1017/CBO9781139017459 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Levy, Haim 1939- The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Capital asset pricing model Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4014609-1 (DE-588)4121078-5 |
| title | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives |
| title_auth | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives |
| title_exact_search | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives |
| title_full | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy |
| title_fullStr | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy |
| title_full_unstemmed | The capital asset pricing model in the 21st century analytical, empirical, and behavioral perspectives Haim Levy |
| title_short | The capital asset pricing model in the 21st century |
| title_sort | the capital asset pricing model in the 21st century analytical empirical and behavioral perspectives |
| title_sub | analytical, empirical, and behavioral perspectives |
| topic | Capital asset pricing model Empirische Wirtschaftsforschung (DE-588)4014609-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Capital asset pricing model Empirische Wirtschaftsforschung Capital-Asset-Pricing-Modell |
| url | https://doi.org/10.1017/CBO9781139017459 |
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