X-CAPM: An extrapolative capital asset pricing model

• 成果类型: Article
• 署名作者: Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; Shleifer, Andrei
• 署名单位: Yale University; Harvard University; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.08.007
• 发表日期: 2015
• 页码: 1-24
• 关键词: expectations; Extrapolation; predictability; volatility

摘要

Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. 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; importantly, however, it is also consistent with the survey evidence on investor expectations. (C) 2014 Published by Elsevier B.V.