{"title":"Behavioral heterogeneity in the CAPM with evolutionary dynamics","authors":"Thorsten Hens, Fatemeh Naebi","doi":"10.1007/s00191-022-00786-3","DOIUrl":null,"url":null,"abstract":"<p>\nThe paper shows how the standard two-period CAPM with exogenous wealth and exogenous returns can be extended inter-temporally by including the evolution of wealth from the Evolutionary Finance model of Evstigneev et al., J Math Finance 12:329–339, (2011). The missing link between the two models is the CAPM with heterogeneous behavior derived by Hens and Naebi, J Appl Econ Lett 28:501–507, (2020). The paper delivers theoretical and empirical results for behavioral heterogeneity in the CAPM with evolutionary dynamics. The market selection process results in a beta based on fundamentals to which the standard beta tends to converge asymptotically. The results of our model are confirmed by data from the DJIA.</p>","PeriodicalId":47757,"journal":{"name":"Journal of Evolutionary Economics","volume":"9 1","pages":""},"PeriodicalIF":1.3000,"publicationDate":"2022-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Evolutionary Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s00191-022-00786-3","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 2
Abstract
The paper shows how the standard two-period CAPM with exogenous wealth and exogenous returns can be extended inter-temporally by including the evolution of wealth from the Evolutionary Finance model of Evstigneev et al., J Math Finance 12:329–339, (2011). The missing link between the two models is the CAPM with heterogeneous behavior derived by Hens and Naebi, J Appl Econ Lett 28:501–507, (2020). The paper delivers theoretical and empirical results for behavioral heterogeneity in the CAPM with evolutionary dynamics. The market selection process results in a beta based on fundamentals to which the standard beta tends to converge asymptotically. The results of our model are confirmed by data from the DJIA.
本文通过纳入evstineev等人(J Math Finance)的进化金融模型中的财富演化，展示了具有外生财富和外生收益的标准两期CAPM如何在时间间进行扩展。这两个模型之间缺失的环节是母鸡和Naebi推导的具有异质行为的CAPM, J应用经济学报，28:501-507，(2020)。本文给出了具有演化动力学的CAPM行为异质性的理论和实证结果。市场选择过程产生基于基本面的贝塔，标准贝塔趋于渐近收敛。该模型的结果得到了道琼斯工业平均指数数据的验证。
期刊介绍：
The journal aims to provide an international forum for a new approach to economics. Following the tradition of Joseph A. Schumpeter, it is designed to focus on original research with an evolutionary conception of the economy. The journal will publish articles with a strong emphasis on dynamics, changing structures (including technologies, institutions, beliefs and behaviours) and disequilibrium processes with an evolutionary perspective (innovation, selection, imitation, etc.). It favours interdisciplinary analysis and is devoted to theoretical, methodological and applied work. Research areas include: industrial dynamics; multi-sectoral and cross-country studies of productivity; innovations and new technologies; dynamic competition and structural change in a national and international context; causes and effects of technological, political and social changes; cyclic processes in economic evolution; the role of governments in a dynamic world; modelling complex dynamic economic systems; application of concepts, such as self-organization, bifurcation, and chaos theory to economics; evolutionary games. Officially cited as: J Evol Econ
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