@article{Siddiqi:229607,
      recid = {229607},
      author = {Siddiqi, Hammad},
      title = {Anchoring and Adjustment Heuristic: A Unified Explanation  for Asset-Return Puzzles},
      address = {2016-01},
      number = {1744-2016-140880},
      series = {Finance},
      pages = {32},
      year = {2016},
      abstract = {I model a scenario in which investors do not know the  payoff distributions of relatively newer firms and use the  payoff distribution of similar well-established firms as  starting points. The starting distributions are then  adjusted for size, volatility, and other differences.  Anchoring bias implies that such adjustments typically fall  short. I show that incorporating such anchoring and  adjustment heuristic into the standard consumption-based  capital asset pricing model provides a unified explanation  for 9 asset pricing puzzles including the equity premium  puzzle. The anchoring approach achieves these explanations  while maintaining the tractable framework of a  representative agent with time-additive and isoelastic  preferences in a complete market.},
      url = {http://ageconsearch.umn.edu/record/229607},
      doi = {https://doi.org/10.22004/ag.econ.229607},
}