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The Capital Asset Pricing Model in the 21st Century - Analytical, Empirical, and Behavioral Perspectives (Hardcover, New)
Loot Price: R3,577
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The Capital Asset Pricing Model in the 21st Century - Analytical, Empirical, and Behavioral Perspectives (Hardcover, New)
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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.
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