Behavioral Capital Asset Pricing Theory

@article{Shefrin1994BehavioralCA,
  title={Behavioral Capital Asset Pricing Theory},
  author={H. Shefrin and M. Statman},
  journal={Journal of Financial and Quantitative Analysis},
  year={1994},
  volume={29},
  pages={323-349}
}
This paper develops a capital asset pricing theory in a market where noise traders interact with information traders. Noise traders are traders who commit cognitive errors while information traders are free of cognitive errors. The theory includes the determination of the mean-variance efficient frontier, the return on the market portfolio, the term structure, and option prices. The paper derives a necessary and sufficient condition for the existence of price efficiency in the presence of noise… Expand
Heterogeneous Beliefs and Price Efficiency
Study on noise trading in Chinese stock market based on BAPM model
  • Li Wei, Wang Su-sheng
  • Business
  • 2012 International Conference on Information Management, Innovation Management and Industrial Engineering
  • 2012
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