Template-Type: ReDIF-Article 1.0
Author-Name: Yury V. Eltsov
Author-Email: eltsov.yu@gmail.com
Author-Workplace-Name: National Research University Higher School of Economics, Moscow 119571, Russia
Title: Rationality of the Portfolio Investor: Behavioural Features of Formation of Expectations
Abstract: We provide the results of massive field experiments aimed at identifying the mechanisms of investors’ decision making. We explore the way rational subjective expectations are translated into asymmetric distributed rates of return. Special emphasis is placed upon behavioural phenomena such as over- and underreaction, narrow framing, and bounded rationality. The mathematical model of investors’ expectations extrapolation based on Gram — Charlier expansion is suggested and proved empirically by retrospective investment strategies testing.
Classification-JEL: D81, O16, E22
Keywords: behavioural finance, decision making, pricing process modeling, bounded rationality, overreaction, underreaction, narrow framing
Journal: Finansovyj žhurnal — Financial Journal
Pages: 81-94
Issue: 1
Year: 2013
Month: March
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2013/1/statii/2013_01_10.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:130110:p:81-94