Anchoring Adjusted Capital Asset Pricing Model
Copyright policy )Anchoring Adjusted Capital Asset Pricing Model
Empirical evidence on the behavioral of professional stock analysts suggest that they form qualitatively correct judgments within the same sector, and that they spend most of their research time on sector leaders. This suggest a role for the anchoring and adjustment of Tversky and Kahneman (1974). The surprising finding is that adjusting CAPM for anchoring-influenced judgments provides a plausible unified framework for understanding almost all of the key cross-sectional anomalies facing CAPM. The market equity premium is also larger with anchoring.
- University of Queensland Australia
- University of Queensland Australia
- University of the Sunshine Coast Australia
- University of Queensland Australia
Size premium, 330, Anchoring and adjustment heuristic, Low volatility anomaly, Momentum effect, FoR 1502 (Banking, Equity premium puzzle, behavioral finance, equity premium puzzle, Auditing and Accountability), CAPM, Stock splits, size premium, value premium, Value premium, accrual anomaly, low-beta-high-alpha, Accrual anomaly, Low-beta-high-alpha, stock splits, 3205 Experimental and Cognitive Psychology, asset pricing, Asset pricing, anchoring and adjustment heuristic, low volatility anomaly, Behavioral finance, 2003 Finance, FoR 1501 (Accounting, momentum effect, Finance and Investment)
Size premium, 330, Anchoring and adjustment heuristic, Low volatility anomaly, Momentum effect, FoR 1502 (Banking, Equity premium puzzle, behavioral finance, equity premium puzzle, Auditing and Accountability), CAPM, Stock splits, size premium, value premium, Value premium, accrual anomaly, low-beta-high-alpha, Accrual anomaly, Low-beta-high-alpha, stock splits, 3205 Experimental and Cognitive Psychology, asset pricing, Asset pricing, anchoring and adjustment heuristic, low volatility anomaly, Behavioral finance, 2003 Finance, FoR 1501 (Accounting, momentum effect, Finance and Investment)
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