Abstract
We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent’s choices. In this note, we discuss the main idea behind the proposed approach.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Barberis, N., Thaler, R.: A survey of behavioral finance. In: Constantinides, G.M., Harris, M., Stulz, G.M. (eds.) Financial Markets and Asset Pricing. Handbook of the Economics of Finance, pp. 1053–1128. Elsevier, Amsterdam (2003)
DeMiguel, V., Garlappi, L., Uppal, R.: Optimal versus naive diversification: how inefficient is the 1/n portfolio strategy? Rev. Financ. Stud. 22(5), 1915–1953 (2009)
Hommes, C.H.: Heterogeneous agent models in economics and finance. In: Tesfatsion, L., Judd, K.L. (eds.) Handbook of Computational Economics, vol. 2, pp. 1109–1186. Elsevier, Amsterdam (2006)
Kahneman, D., Tversky, A.: Prospect theory: an analysis of decision under risk. Econometrica 47(2), 263–292 (1979)
LeRoy, S.F., Werner, J.: Principles of Financial Economics. Cambridge University Press, Cambridge (2000)
Zakamouline, V.: Portfolio performance evaluation with loss aversion. Quant. Finance 1–12 (2011)
Zakamouline, V., Koekebakker, S.: Portfolio performance evaluation with generalized Sharpe ratios: beyond the mean and variance. J. Bank. Finance 33(7), 1242–1254 (2009)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this chapter
Cite this chapter
Caporin, M., Corazzini, L., Costola, M. (2014). Measuring the Impact of Behavioural Choices on the Market Prices. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-05014-0_12
Download citation
DOI: https://doi.org/10.1007/978-3-319-05014-0_12
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-05013-3
Online ISBN: 978-3-319-05014-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)