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

367. Hōsen-jūryō

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 367. Hōsen-jūryō. In: Dictionnaire historique du Japon, volume 8, 1982. Lettre H (2) pp. 99-100

147. Gokakoku jōyaku → Ansei gokakoku jōyaku

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 147. Gokakoku jōyaku → Ansei gokakoku jōyaku. In: Dictionnaire historique du Japon, volume 6, 1981. Lettre G. p. 83

176. Henushi→ Heian-kyō

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 176. Henushi→ Heian-kyō. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 122

76. Genroku-jidai no bunka

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 76. Genroku-jidai no bunka. In: Dictionnaire historique du Japon, volume 6, 1981. Lettre G. p. 39

174. Henjō-hakki shōryō-shū → Shōryō-shū

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 174. Henjō-hakki shōryō-shū → Shōryō-shū. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 122

17. Gakusei kaikaku

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 17. Gakusei kaikaku. In: Dictionnaire historique du Japon, volume 6, 1981. Lettre G. p. 7

192. Goryū shintō → Ryōbu shintō

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 192. Goryū shintō → Ryōbu shintō. In: Dictionnaire historique du Japon, volume 6, 1981. Lettre G. p. 109

79. Haniwa

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 79. Haniwa. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) pp. 48-50

216. Himiko

Iwao Seiichi, Sakamato Tarō, Hōgetsu Keigo, Yoshikawa Itsuji, Akiyama Terukazu, Iyanaga Teizō, Iyanaga Shōkichi, Matsubara Hideichi, Kanazawa Shizue. 216. Himiko. In: Dictionnaire historique du Japon, volume 7, 1981. Lettre H (1) p. 148