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1、GENERALIZEDBEHAVIORALASSETPRICINGMODELAdamSzyszkaPoznańUniversityofEconomicsadam.szyszka@ae.poznan.plAbstractBehavioralfinanceisanareawithinfinancedisciplinethatfocusesoninvestors’behavioranddecisionmakingprocessinordertounderstandanomalouspricingofassetsandotherpuzzlingobservationstakenempiricall
2、yfromthecapitalmarket.Ithasemergedintheresponsetothedifficultiesfacedbythetraditionalfinancialtheoryinexplainingsomefinancialphenomena.Inthecontrarytotheclassicalparadigm,behavioralfinanceassumesthatagentsmaybeirrationalintheirreactionstonewinformationandinvestmentdecisions.Thesourcesofirrationali
3、tyarepsychologicalbiasesandheuristicsofahumanmind.Astheresult,themarketwillnotalwaysbeefficientandassetpricingmaydeviatefrompredictionsoftraditionalmarketmodels.ThepaperpresentstheGeneralizedBehavioralModel(GBM)thatdescribeshowassetpricesmaybeinfluencedbyvariousbehavioralheuristicsandhowthepricesm
4、aydeviatefromfundamentalvaluesduetoinvestors’irrationalbehavior.Themodeldistinguishesthreebehavioralvariablesthatarelinkedtoerrorsinunderstandingandtransforminginformationsignals,problemswithrepresentativeness,andunstablepreferences.TheultimatescaleofbehavioralmispricingdependsonameasureA–theabili
5、tyofthemarketforself-correction.Thediscussiononfactorsinfluencingeachofmodel’svariablesispresentedandillustratedwithexamples.Themodeliscapableofexplainingavastarrayofmarketanomalies,includingmarketunder-andoverreaction,continuationsandreversalsofstockreturns(momentum&contrarianstrategies),highvola
6、tilitypuzzle,smallsizeandbook-to-marketeffects,calendaranomalies,andothers.Concludingremarksincludediscussiononmodel’sadvantagesandlimitations,aswellaspotentialdirectionsforfuturedevelopmentandresearch.1.IntroductionItisformorethantwodecadesnowthatintheworld’sliteratureastormydiscussionhasbeentaki
7、ngplacebetweenfollowersoftheneoclassicalcapital1Electroniccopyavailableat:http://ssrn.com/abstract=1298910markettheoryandrepresentativesofanewtrendreferredtoasbehavioralfinance.Theneoclassicalfinancialtheoryisbas
