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Tesi etd-06162014-184441


Thesis type
Tesi di laurea magistrale
Author
FUSILLO, FABRIZIO
URN
etd-06162014-184441
Title
Behavioral finance: a representative agent model
Struttura
ECONOMIA E MANAGEMENT
Corso di studi
BANCA, FINANZA AZIENDALE E MERCATI FINANZIARI
Commissione
relatore Prof. Bottazzi, Giulio
Parole chiave
  • Nessuna parola chiave trovata
Data inizio appello
07/07/2014;
Consultabilità
completa
Riassunto analitico
The efficient market hypothesis (EMH) has been the central proposition of finance since its identification in the middle seventies. According to the EMH, a market can be defined efficient when security prices always ‘fully reflect’ all the available information. Although the EMH has governed the academic world for a long time, such a strong statement has been challenged at both theoretical and empirical ground during the last thirty years. A series of so-called market anomalies have been observed in real-world financial markets, and such strong evidence has brought about the birth of a new field of study. Behavioral Finance is a new approach to financial market that, being inspired by works and findings of psychologist and sociologist, can be viewed as an interdisciplinary approach that merges foundations of economy, finance, psychology, sociology and other social sciences, to better understand financial markets mechanisms and psychological processes of individuals under uncertainty. The aim of this work it to provide a detailed representative agent model, in order to study and analyze how and to what extent, under clear assumptions, the risk-aversion of the agent, solely, can determine deviations of prices from its fundamental value and produce the emergence of any known market anomalies, such as momentum and returns autocorrelations.
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