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Asset price anomalies under bounded rationality

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(1)CEIS Tor Vergata RESEARCH PAPER SERIES Working Paper No. 19. June 2003. “ASSET PRICE ANOMALIES UNDER BOUNDED RATIONALITY” EMILIO BARUCCI, ROBERTO MONTE AND ROBERTO RENÒ. CEIS Tor Vergata - Research Paper Series, Vol. 7, No. 19 June 2003. This paper can be downloaded without charge from the Social Science Research Network Electronic Paper Collection: http://ssrn.com/abstract=414080.

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(38) Ía¢Ê|U‡‚‡-ó&÷fU£óÿ. Õ:CFB×ÖSBDGo s oqBt‚ê.  Ü\|ÄÝ . Ì ß. ë ^ìvg±ìiXgƒìda+ì%÷fgƒì0í2a+ìygƒì ~ vœyå ~ þ dè.±f» þ ìda+ìí½ Ó Ò X° dè.±pa+ì Ó þ õ þ Ò ñ° ï   Z ‚  v & Z ñX¶ ~ å  ²´šaì Ó þ ñ° o»lè.±5í¢´š½0ì Ò ° .è ±pa+ì  Ó Ò y° ² ´8a+ì Ó ñ õ þ `Ò X°  þ Z þ &¶ þ b  v & Z ñX¶ ~ å  dè.±p+a ì Ó þ ñY° o»lè.±5í¢´š½0ì Ò ° » ît‰îT½za+ì  Ó Ò X ñ õ þ `Ò X°  ° dè.±pa+ì Ó  þ Z þ &¶ þ b å þ D ²´P» þ ìd+a ìí½ Ó Ò X° ²´8+a ì Ó þ   õ þ Ò ñ° v ‚]‚]~ ‚ ¶. ë. ë. ë. ë. ë. ë. ë. ë. ë. ûd\ NMTUOLN#”ƒ_`NVW. ë ë ë ë. ë. å. . ÷ v‚ ~ v Z ñX¶ ~ v Z y¶ ~ þ ¡1”-T;U”¢T;K•D\]KMT0N#T;g LT[4c-LV•DLV[-c4LV[N#^0eœ\][N#”4LKMT— [\  › å'juª>\]R5LV\g]LORVWƒ\][¢_ UOUV\]Z4[N1\`›v ‚ ~ _`[-c¯v ‚ ~ * W ¡·L.  þ Z þ y¶ þ. ï. Së. U_`[¢¡1R5T;N#L. ë ^ìvg±ìiXgƒìda+ì%÷fgƒì0í2a+ìiXgƒì ~ v X Z ñX¶ ~ þ þ Ò ñ° dè.±«» þ ìda+ìí½ Ó Ò X° dè.±pa+ì Ó þ ï   Z ‚ ï X Z ñ¶ þ `Ò X° ²´8a+ì Ó þ ñY° o»Àè.±Mí¢´š½0ì Ò ° è.±pa+ì  Ó Ò y  ° ² ´šaì Ó ñ  Z ñ¶ ï b X Z ñ¶ a ì Ó þ ñY° o»Àè.±5í¢´~½ì Ò ° ´8a+ì  Ó Ò y þ ` Ò X° dè.±p+  ° d è.±pa+ì Ó ñ  Z ñ¶ ï b a ìí½ Ó Ò X° o»S´š½ð+a ì Ó þ ÷ þ Ò ñY° o»Å´š½» þ ìd  ‚ ¶ ï. ë. ë. ë ë. ë. ë. ë. ë. ëë ë. ë ë. ë. ¡1”-LORML. ï. þ µ. ë ë. Qþ#õ+þ  v  Z y¶ ~ þ. ûd\ NMTUOL³_ ^K5\NM”ƒ_`N8¡·L2”-_g L2UO^LV_ RM^0e. ë ^Mì Ò  ì  ìda+ì¨÷  ì0í2a+ì  ì Ó ï ë ^Mìvgƒìyg±ìdaì ÷fg±ì0í2aìXgƒì ~  À%[>_ c-c-T0N#T\ [AW*›qR5\ Ÿ. ë. v ‚]~ W4˜eNMT Ÿ LRMLOKMUV_ ^T;[-—¦T;N8›q\]^;^\¡1K ì. ìdaì´ïE°. ²±pa+ì Ò  ì  ìda+ì Ó . ë€. v‚ † ~. v ‚]}]~.

(39) “8”-LORMLO›q\ RML WJySÁZƒ_`NMT\][Ãv ‚ † ~ •4RM\ghTc-LOKZ-K¡1T;NM”¬_ ^^'RMLO^LOg`_ [N³T;[4›q\]R Ÿ _`NMT\][>_ ˜D\]Z4NNM”-L¦•-RMT;UVL£•4RM\hUVLVK5K UV\g`_ R5T_ [-UOL j. ë%$  Z„ò ë$ ¶–›qRM\ Ÿ. ûd\¡³Wƒ¡1”-LV[ U£ó8TK8K Ÿ _ ^;^xWAvU£ó¥ñ. _UV\ Ÿ •-Z*N_`NMT\][ƒ_`^+•D\]T[N1\ ›Qg*T;LO¡ ~ W-N#”-LO[©T;N. TK8LV_ KMT;^;eKMLVLO[>NM”ƒ_`N2v ‚ † ~ —]T;g LVK. ë ^ìvg±ìygƒìda+ì ÷fgƒì0í2a+ìiygƒì ~  ï ñ. . ë  Z v ë y Z ñX¶ ~ þ þ Ò ë ñY°  þ è.± ì Ó vU£ó ~ þ ‚ ë y Z ñ¶ þ Ò  þ Z ï þ ñ ‚  Z ¶¢° o»Sè.±5í¢´~½ì ñX¶ þ Ó  Z ñ¶ ï ë ¶ þ Ò ë ñY°  þ ´ì Ó vU£ó ~ þ ‚ ï. v³U¦ó ~ þ. ñ’^ Ò vU£ó ~ þ Ó ÷. v ‚ €~. _ [-c¢T;NTK8[-\ NYc-T0Ò UVZ-^0NN#\ KM”-\¡¼N#”ƒ_`N1NM”-L³RMT— ”N¤%”ƒ_`[-cKMT;c-L³T[¯v ‚ €]~ TK8•D\]KMT0N#T;g L›q\]R8LOg LVReóù Ì j À%[-c-LOLVcAW±KML!NMNMT[-—. ó vqó ~.  µ ñ. . ë  Z v ë X Z ñ¶ ~ þ Ò ë ñ°  þ è.±ì Ó ‚ ë X Z ñ¶ Ò  þ Z þ ñ ‚  Z ¶¢° o»Sè.±5í¢´~½ì ñX¶ þ Ó  Z ñ¶ ë ¶ Ò ë ñY°  þ ´ì Ó ÷ ‚. ¡·L2”ƒ_g L. ë. ó v Ì~ ïÐv y Z ~ v¶Æ& Z ~ þ ÷ _ [-c. ë. óiô vqó ~ ïrÒ~ Z v & Z ñ¶ ~ ° dè.±ì &¶@° ²´5ì Ó þ  ËdLO[-UVL`W¡bL>U_ [ÃUV\][-UO^Z-c4L>N#”-_`NWu›q\]R–K Ÿ _`^^bg`_ ^;Z-LVK \ ›’U£ó¦NM”-L>•4RMTUOL!¤¨•-RM\hUVLOKMKT;[-UVR5L Ÿ LV[N#K–_ R5L. •D\]KMT0N#T;g LV^0e¬UV\]R5RMLV^_`N#LOcž_`N£_ [e®NMT Ÿ L–T;[-K5N#_ [N3ó&WŒ•4RM\ghTc-LOc¸_©•-^_`Z-KMT;˜-^L¦g`_ ^Z4L\ › Z j Å[¯N#”-Lœ\`N#”-LOR ”ƒ_ [4cAWA¡1”-LV[ÔU£óT;K^_ R5—]L$vU¦ó„õ _ [-c+W-›qRM\ Ÿ. v ‚ † ~ W4¡·L2\]˜*N_ T;[. ë%$  Z3ö ë$ v ë .ô ~5~ WAN#”4LV[¬óT;K_ ^K5\[-LVUOLVK5K#_ R5T^;e ^_ R5—]L$vóÿU£ó ~ ë v ë y Z. ë ^ìvg±ìygƒìda+ì ÷fgƒì0í2a+ìiygƒì ~ †  ‚(÷. ë#.  Z. ñ¶ ~ þ. š†. ë. ë. X Z ñX¶ þ ñ  Z ñY¶ ¶ø ï. v‚ # ~.

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