TY - CHAP
T1 - Loss aversion asset pricing model performance
T2 - empirical evidence from five pacific-basin countries
AU - Ng, David
AU - Sadeghi, Mehdi
PY - 2006
Y1 - 2006
N2 - 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.
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.
UR - http://www.scopus.com/inward/record.url?scp=33645900574&partnerID=8YFLogxK
U2 - 10.1016/S1569-3759(05)86012-7
DO - 10.1016/S1569-3759(05)86012-7
M3 - Chapter
SN - 0762312580
SN - 9780762312580
VL - 86
T3 - Contemporary Studies in Economic and Financial Analysis
SP - 235
EP - 271
BT - Asia Pacific Financial Markets in Comparative Perspective
A2 - Fetherston, Thomas A.
A2 - Batten, Jonathan A.
PB - Elsevier
CY - Amsterdam
ER -