Behavioral Capital Asset Pricing Theory
构建了一个噪声交易者与信息交易者互动的市场中的资本资产定价理论，分析了噪声交易者对价格效率、波动性、收益异常、交易量及生存的影响。
This paper develops a capital asset pricing theory in a market where noise traders interact with information traders. Noise traders are traders who commit cognitive errors while information traders are free of cognitive errors. The theory includes the determination of the mean-variance efficient frontier, the return on the market portfolio, the term structure, and option prices. The paper derives a necessary and sufficient condition for the existence of price efficiency in the presence of noise traders and analyzes the effects of noise traders on price efficiency, volatility, return anomalies, volume, and noise trader survival.