Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries

David Ng; Mehdi Sadeghi

doi:10.1016/S1569-3759(05)86012-7

Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries

David Ng, Mehdi Sadeghi

Macquarie Business School

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

This paper studies the empirical application of an asset pricing model derived from the irrational individual behavior of loss aversion. Previous research using loss aversion asset pricing finds conclusive evidence that estimations match market equity premium and volatility using simulation data. We find that within its empirical application, the estimated errors are comparable to errors estimated from the capital asset pricing model. This study of the correlations between rational and irrational asset pricing model from the empirical results finds validity for both estimated values. Finally, we see the importance of cultures, economic development and financial development on asset pricing through an empirical examination of five pacific-basin countries in the estimation of asset pricing models.

Original language	English
Title of host publication	Asia Pacific Financial Markets in Comparative Perspective
Subtitle of host publication	Issues and Implications for the 21st Century
Editors	Thomas A. Fetherston, Jonathan A. Batten
Place of Publication	Amsterdam
Publisher	Elsevier
Pages	235-271
Number of pages	37
Volume	86
ISBN (Electronic)	9781849503778
ISBN (Print)	0762312580, 9780762312580
DOIs	https://doi.org/10.1016/S1569-3759(05)86012-7
Publication status	Published - 2006

Publication series

Name	Contemporary Studies in Economic and Financial Analysis
Volume	86
ISSN (Print)	15693759

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10.1016/S1569-3759(05)86012-7

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Ng, D., & Sadeghi, M. (2006). Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries. In T. A. Fetherston, & J. A. Batten (Eds.), Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century (Vol. 86, pp. 235-271). (Contemporary Studies in Economic and Financial Analysis; Vol. 86). Elsevier. https://doi.org/10.1016/S1569-3759(05)86012-7

Ng, David ; Sadeghi, Mehdi. / Loss aversion asset pricing model performance : empirical evidence from five pacific-basin countries. Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century. editor / Thomas A. Fetherston ; Jonathan A. Batten. Vol. 86 Amsterdam : Elsevier, 2006. pp. 235-271 (Contemporary Studies in Economic and Financial Analysis).

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abstract = "This paper studies the empirical application of an asset pricing model derived from the irrational individual behavior of loss aversion. Previous research using loss aversion asset pricing finds conclusive evidence that estimations match market equity premium and volatility using simulation data. We find that within its empirical application, the estimated errors are comparable to errors estimated from the capital asset pricing model. This study of the correlations between rational and irrational asset pricing model from the empirical results finds validity for both estimated values. Finally, we see the importance of cultures, economic development and financial development on asset pricing through an empirical examination of five pacific-basin countries in the estimation of asset pricing models.",

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Ng, D & Sadeghi, M 2006, Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries. in TA Fetherston & JA Batten (eds), Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century. vol. 86, Contemporary Studies in Economic and Financial Analysis, vol. 86, Elsevier, Amsterdam, pp. 235-271. https://doi.org/10.1016/S1569-3759(05)86012-7

Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries. / Ng, David; Sadeghi, Mehdi.
Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century. ed. / Thomas A. Fetherston; Jonathan A. Batten. Vol. 86 Amsterdam: Elsevier, 2006. p. 235-271 (Contemporary Studies in Economic and Financial Analysis; Vol. 86).

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

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AB - This paper studies the empirical application of an asset pricing model derived from the irrational individual behavior of loss aversion. Previous research using loss aversion asset pricing finds conclusive evidence that estimations match market equity premium and volatility using simulation data. We find that within its empirical application, the estimated errors are comparable to errors estimated from the capital asset pricing model. This study of the correlations between rational and irrational asset pricing model from the empirical results finds validity for both estimated values. Finally, we see the importance of cultures, economic development and financial development on asset pricing through an empirical examination of five pacific-basin countries in the estimation of asset pricing models.

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Ng D, Sadeghi M. Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries. In Fetherston TA, Batten JA, editors, Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century. Vol. 86. Amsterdam: Elsevier. 2006. p. 235-271. (Contemporary Studies in Economic and Financial Analysis). doi: 10.1016/S1569-3759(05)86012-7

Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries

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