The Research and Analysis of Behavioral Finance on the Asset Price Bubbles
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| Title | The Research and Analysis of Behavioral Finance on the Asset Price Bubbles |
| Authors | |
| Abstract | In the paper, we will use the Behavioral Finance (BF) to analyze the influence of rational investors and noise investors on the price dynamics of risky assets, and research the endogenous factors of the bubbles. The rational investors use utility maximization as their investment strategy. They will make allocation of their risky assets and risk-free assets, according to the continuously evolving expectations on the future return and risk of these assets. As for the noise investors, they will be more likely to invest in what most people choose, and put more emphasis on the past return and risk of assets. The implementation of rational strategy can stabilize price, while the noise one may increase the volatility of price. Through the stability analysis of the price system, we will find that the different relative influence between rational and noise investors will result in different kinds of price dynamics, even an explosive bubble. |
| Publisher | World Science Publisher |
| Date | 2012-11-06 |
| Source | 2167-6348 |
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