7,986 research outputs found
An overreaction implementation of the coherent market hypothesis and option pricing
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
317. Honsaroku
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 317. Honsaroku. In: Dictionnaire historique du Japon, volume 8, 1982. Lettre H (2) p. 64
65. Hampō
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 65. Hampō. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 41
306. Honda Yōichi (1849-1912)
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 306. Honda Yōichi (1849-1912). In: Dictionnaire historique du Japon, volume 8, 1982. Lettre H (2) pp. 56-57
55. Gendai
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 55. Gendai. In: Dictionnaire historique du Japon, volume 6, 1981. Lettre G. pp. 24-27
220. Hinamori
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 220. Hinamori. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 150
129. Godai-san (chin. Wou-t'ai-chan)
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 129. Godai-san (chin. Wou-t'ai-chan). In: Dictionnaire historique du Japon, volume 6, 1981. Lettre G. pp. 69-70
76. Han'ei-kōgyō
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 76. Han'ei-kōgyō. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 47
197. Higashiyama bunka
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 197. Higashiyama bunka. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 135
22. Haihan chiken
Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 22. Haihan chiken. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 12
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