Abstract
The ψ statistic described in Sect. 11.4 is specific to a particular investment vehicle, such as a mutual fund or a hedge fund, whose net inflows and outflows of cash enable us to quantify the gap between hypothetical investment returns and the actual returns that real-life investors realized in fact. Unlike other anomalous departures from hypothetically efficient markets and capital asset pricing, however, the effect that ψ measures is almost entirely an artifact of investor behavior. Indeed, among the many phenomena documented in this book, the performance gap may be the purest example of a behavioral departure from perfect efficiency, rational expectations, and platonically maximized utility.
Keywords
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2016 The Author(s)
About this chapter
Cite this chapter
Chen, J.M. (2016). Irrational Exuberance: Momentum Crashes and Speculative Bubbles. In: Finance and the Behavioral Prospect. Quantitative Perspectives on Behavioral Economics and Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-32711-2_12
Download citation
DOI: https://doi.org/10.1007/978-3-319-32711-2_12
Published:
Publisher Name: Palgrave Macmillan, Cham
Print ISBN: 978-3-319-32710-5
Online ISBN: 978-3-319-32711-2
eBook Packages: Economics and FinanceEconomics and Finance (R0)