Loss aversion asset pricing model performance

empirical evidence from five pacific-basin countries

David Ng, Mehdi Sadeghi

Research output: Chapter in Book/Report/Conference proceedingChapter

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 languageEnglish
Title of host publicationAsia Pacific Financial Markets in Comparative Perspective
Subtitle of host publicationIssues and Implications for the 21st Century
EditorsThomas A. Fetherston, Jonathan A. Batten
Place of PublicationAmsterdam
PublisherElsevier
Pages235-271
Number of pages37
Volume86
ISBN (Electronic)9781849503778
ISBN (Print)0762312580, 9780762312580
DOIs
Publication statusPublished - 2006

Publication series

NameContemporary Studies in Economic and Financial Analysis
Volume86
ISSN (Print)15693759

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