A Neoclassical Look at
Behavioral Finance

Neoclassical Finance

Neoclassical Finance

The Behavioral Challenge

Samuelson:

Behavioral Finance

Examples of Anomalies

Anomaly Characteristics

Prices Ļ Fundamentals

Closed End Funds

Example

Discount Life Cycle

Closed End Funds

Closed End Funds

Neoclassical Explanation
(Malkiel [1977])

Behavioral Explanation

Neoclassical Analysis Reprised

Valuing Fees:
Proposition 1

Proposition 2:
Fixed Termination Date

Proposition 3:Dividend Payouts

Proof of Proposition 3:

Capital Gains Distribution Rules

More Extensions: IPO Premiums

Data Set

Theory Meets the Data

Table 1

Discounts, NAVís, and Market Returns

Table 2

Distribution Dynamics

Table 3

Some Further Anomalies

Neoclassical vs. Behavioral

Gratuitous Concluding Remarks