Поведенческий подход к ценообразованию активов: эмпирическое тестирование АСАРМ

Since the development of Capital Asset Pricing Model (CAPM) many alternative asset pricing models have been suggested. One of the new models is Anchoring-Adjusted Capital Asset Pricing Model proposed by Siddiqi (2017). Anchoring-Adjusted Capital Asset Pricing Model (ACAPM) is an adjustment of the standard CAPM for anchoring. Anchoring is a cognitive bias which was first noted by Tversky and Kahneman (1974). This bias implies that judgement under uncertainty tends to yield irrational estimates, which are biased toward the initial and often uninformative values. This paper is the first attempt to empirically test ACAPM model. The main hypothesis was that ACAPM would perform better than CAPM. To test this hypothesis some variables, such as variances of the stocks and their covariance with the market index, were estimated with the use of GARCH models. The hypothesis was rejected due to the poor goodness-of-fit of ACAPM model.