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| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Behavioral heterogeneity in the CAPM with evolutionary dynamics |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Evolutionary Economics |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0936-9937 |
| Volume | 32 |
| Page Range | 1499 - 1521 |
| Date | 2022 |
| Abstract Text | 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. |
| Free access at | Official URL |
| Official URL | https://doi.org/10.1007/s00191-022-00786-3 |
| Digital Object Identifier | 10.1007/s00191-022-00786-3 |
| Other Identification Number | merlin-id:22862 |
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