Caporin, Massimiliano; Corazzini, Luca; Costola, Michele - School of Economics and Management, University of Aarhus - 2014
We study the evolution of the behavioral component of the financial market by estimating a Bayesian mixture model in which two types of investors coexist: one rational, with standard subjective expected utility theory (SEUT) preferences, and one behavioral, endowed with an S-shaped utility...