Matches in SemOpenAlex for { <https://semopenalex.org/work/W2128432845> ?p ?o ?g. }
Showing items 1 to 62 of
62
with 100 items per page.
- W2128432845 abstract "Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The two factors of our model are the stock price and a market polarization variable which determines the level of overreaction. We consider three kinds of market scenarios: Risk-neutral investors, representative Bernoulli investors and myopic Bernoulli investors. In case of the latter two, risk premia provide that herding as well as contrarian investor behaviour may be rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences: Downward overreaction leads to high option prices and upward overreaction results in low option prices." @default.
- W2128432845 created "2016-06-24" @default.
- W2128432845 creator A5017489277 @default.
- W2128432845 creator A5019580199 @default.
- W2128432845 date "2006-01-01" @default.
- W2128432845 modified "2023-09-26" @default.
- W2128432845 title "An Overreaction Implementation of the Coherent Market Hypothesis and Option Pricing" @default.
- W2128432845 cites W1905147732 @default.
- W2128432845 cites W1926706674 @default.
- W2128432845 cites W1976020937 @default.
- W2128432845 cites W2005158847 @default.
- W2128432845 cites W2008205676 @default.
- W2128432845 cites W2010538207 @default.
- W2128432845 cites W2106798814 @default.
- W2128432845 cites W2144487825 @default.
- W2128432845 cites W2158161997 @default.
- W2128432845 cites W3021444882 @default.
- W2128432845 cites W3122264531 @default.
- W2128432845 cites W3122712023 @default.
- W2128432845 cites W3125505968 @default.
- W2128432845 cites W3097267636 @default.
- W2128432845 doi "https://doi.org/10.2139/ssrn.904357" @default.
- W2128432845 hasPublicationYear "2006" @default.
- W2128432845 type Work @default.
- W2128432845 sameAs 2128432845 @default.
- W2128432845 citedByCount "0" @default.
- W2128432845 crossrefType "journal-article" @default.
- W2128432845 hasAuthorship W2128432845A5017489277 @default.
- W2128432845 hasAuthorship W2128432845A5019580199 @default.
- W2128432845 hasBestOaLocation W21284328452 @default.
- W2128432845 hasConcept C106159729 @default.
- W2128432845 hasConcept C149782125 @default.
- W2128432845 hasConcept C162324750 @default.
- W2128432845 hasConcept C177605951 @default.
- W2128432845 hasConcept C205649164 @default.
- W2128432845 hasConcept C2779652781 @default.
- W2128432845 hasConcept C97137747 @default.
- W2128432845 hasConceptScore W2128432845C106159729 @default.
- W2128432845 hasConceptScore W2128432845C149782125 @default.
- W2128432845 hasConceptScore W2128432845C162324750 @default.
- W2128432845 hasConceptScore W2128432845C177605951 @default.
- W2128432845 hasConceptScore W2128432845C205649164 @default.
- W2128432845 hasConceptScore W2128432845C2779652781 @default.
- W2128432845 hasConceptScore W2128432845C97137747 @default.
- W2128432845 hasLocation W21284328451 @default.
- W2128432845 hasLocation W21284328452 @default.
- W2128432845 hasOpenAccess W2128432845 @default.
- W2128432845 hasPrimaryLocation W21284328451 @default.
- W2128432845 hasRelatedWork W1967023780 @default.
- W2128432845 hasRelatedWork W2015502759 @default.
- W2128432845 hasRelatedWork W2026515139 @default.
- W2128432845 hasRelatedWork W2035611246 @default.
- W2128432845 hasRelatedWork W2100209587 @default.
- W2128432845 hasRelatedWork W2467697427 @default.
- W2128432845 hasRelatedWork W3088894296 @default.
- W2128432845 hasRelatedWork W3126289917 @default.
- W2128432845 hasRelatedWork W3206903265 @default.
- W2128432845 hasRelatedWork W4256019515 @default.
- W2128432845 isParatext "false" @default.
- W2128432845 isRetracted "false" @default.
- W2128432845 magId "2128432845" @default.
- W2128432845 workType "article" @default.