Heterogeneity, Bounded Rationality and Market Dysfunctionality

Preprint OPEN
Xue-Zhong He; Lei Shi;
(2008)
  • Subject: heterogeneity; bounded rationality; heterogeneous CAPM; mean-variance efficiency; Sharpe and Treynor ratios
    • jel: jel:G12 | jel:D84

As the main building blocks of the modern finance theory, homogeneity and rational expectation have faced difficulty in explaining many market anomalies, stylized factors, and market inefficiency in empirical studies. As a result, heterogeneity and bounded rationality h... View more
  • References (24)
    24 references, page 1 of 3

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