A behavioral approach to asset pricing / Hersh Shefrin.
Material type:
TextSeries: Academic Press advanced finance seriesPublisher: Amsterdam ; Boston : Academic Press/Elsevier, [2008]Copyright date: ©2008. Edition: Second editionDescription: xxvii, 604 pages : illustrations ; 24 cmContent type: - text
- unmediated
- volume
- 9780123743565 (hardcover)
- 0123743567 (hardcover)
- 332.63221 22 S.H.B
| Item type | Current library | Collection | Call number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|
Books
|
Main library A5 | Commerce and business administration ( Finance ) | 332.63221 S.H.B (Browse shelf(Opens below)) | Available | 00003500 |
Includes bibliographical references (p. [563]-586) and index.
1. Introduction --
I. Heuristics and representativeness : experimental evidence --
2. Representativeness and Bayes rule : psychological perspective --
3. Representativeness and Bayes rule : economics perspective --
4. simple asset pricing model featuring representativeness --
5. Heterogeneous judgments in experiments --
II. Heuristics and representativeness : investor expectations --
6. Representativeness and heterogeneous beliefs among individual investors, financial executives, and academics --
7. Representativeness and heterogeneity in the judgments of professional investors --
III. Developing behavioral asset pricing models --
8. simple asset pricing model with heterogeneous beliefs --
9. Heterogeneous beliefs and inefficient markets --
10. simple market model of prices and trading volume --
11. Efficiency and entropy : long-run dynamics --
IV. Heterogeneity in risk tolerance and time discounting --
12. CRRA and CARA utility functions --
13. Heterogeneous risk tolerance and time preference --
14. Representative investors in a heterogeneous CRRA model --
V. Sentiment and behavioral SDF --
15. Sentiment --
16. Behavioral SDF and the sentiment premium --
VI. Applications of behavioral SDF --
17. Behavioral betas and mean-variance portfolios --
18. Cross-section of return expectations --
19. Testing for a sentiment premium --
20. behavioral approach to the term structure of interest rates --
21. Behavioral Black-Scholes --
22. Irrational exuberance and option smiles --
23. Empirical evidence in support of behavioral SDF --
VII. Behavioral preferences --
24. Prospect theory : introduction --
25. Prospect theory portfolios --
26. SP/A theory : introduction --
27. SP/A-based behavioral portfolio theory --
28. Equilibrium with behavioral preferences --
29. disposition effect : trading behavior and pricing --
30. Reflections on the equity premium puzzle VIII. Future directions and closing comments --
31. Continuous time behavioral equilibrium models --
32. Conclusion.
"Incorporating the latest theory and empirical research, the second edition of A Behavioral Approach to Asset Pricing provides the most up-to-date and comprehensive discussion of how psychology affects market activity. The key message remains: that the future of asset pricing theory lies in bringing together the powerful SDF-based tools adopted by neoclassical asset pricing theorists and the more realistic assumptions adopted by behavioral asset pricing theorists. The most important equation in the first edition is the decomposition of the log-SDF into sentiment and a fundamental component. In the second edition, Shefrin extends the analysis to demonstrate how this equation can be generalized to encompass the combination of behavioral preferences and behavioral beliefs. This generalization provides a unified approach that ties together the main ideas in the book."--BOOK JACKET.
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