Dean, Warren; Faff, Robert - In: Applied Financial Economics 21 (2011) 22, pp. 1665-1678
In this article we develop a 'behavioural' Intertemporal Capital Asset Pricing Model (ICAPM) in which the behavioural impetus comes from the feedback trading implications for the autocorrelation of returns. We apply the model in a setting of paired equity and bond investments, employing a...