Financial models serve to capture an accurate prediction of a stock’s price. Because these models assume the efficient market hypothesis, they fail when not accounting for irrationality in the market. Using a time series regression analysis, this paper contributes to the literature by modeling irrationality through a price momentum variable. The novelty here is proxying for this price momentum with social media trends, which prove to be statistically significant in financially modeling price changes across multiple sectors.
Mathematics; Business Economics
Myers, Ethan, "A Behavioral Approach To CAPM" (2018). Senior Independent Study Theses. Paper 8001.
Applied Statistics | Behavioral Economics | Business Analytics | Corporate Finance | Econometrics | Finance | Finance and Financial Management | Longitudinal Data Analysis and Time Series | Portfolio and Security Analysis | Statistical Models
Behavioral economics, finance, financial calculus
Bachelor of Arts
Senior Independent Study Thesis
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