Behavioural Finance Or Efficient Market: Which Is Right?

摘要

Our main is to show that Behavioural Finance and Efficient Market arguments may coincide by using a simple anomaly model. Namely, we consider two identical assets A and B which have not the same price at any time. The asset price A reflects always its fundamental value while asset price B may be mispriced. We show that the mispricing for asset price B can be interpreted as a chance or as a limit of arbitrage explaining why it is difficult to distinguish between the two arguments. So this result gives a reason to find methods which try to reconcile the two theories by using dynamic models.