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Dynamics of behavioral heterogeneity in asset prices
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| 1.8 MB | Adobe PDF |
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This study examines the factors that influence returns in different industry portfolios, with a
specific focus on fundamentalist and chartist factors. The analysis is conducted using time series
regression analysis. The research covers the period from July 1990 to July 2021, examining the
Fama and French five-factor model, which is based on fundamental analysis, and comparing it
to a chartist method that incorporates momentum and carry factors. The findings indicate that
fundamentalist components have a major impact on asset returns in various industries, while
the chartist model is constantly influenced by momentum. The Fama and French model is
widely recognized in asset pricing literature for its strong theoretical foundations and empirical
support. It is firmly founded in the concepts of the Capital Asset Pricing Model (CAPM) and is
considered a fundamental framework in this field.
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Behavioral finance Investor heterogeneity Momentum belief Volatility Carry factor Momentum everywhere Fama french