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A Behavioral Approach to Asset Pricing
1st Edition - January 21, 2005
Author: Hersh Shefrin
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A Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It… Read more
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A Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It constructs a solid, intact structure that challenges classic assumptions and at the same time provides a strong theory and efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author provides a general behaviorally based intertemporal treatment of asset pricing theory that extends to the discussion of derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio.The book develops a series of examples to illustrate the theoretical results. The CD-ROM contains most of the examples, worked out as Excel spreadsheets, so that a diligent reader can follow them through.Instructors might also want to use the examples to assign class exercises, asking students to modify the numbers and see what happens.
* The first book to focus completely on how behavioral finance principles affect asset pricing* Hersh Shefrin is a recognized expert in behavioral finance* Behavioral finance is a growth area in finance scholarship and moving more and more into practice
Graduate students and professors in finance, and professionals working with investment tools such as financial analysts and portfolio managers.
Chapter 1- IntroductionChapter 2- Representativeness and Bayes Rule: Psychological PerspectiveChapter 3- Representativeness and Bayes Rule: Economics PerspectiveChapter 4- A Simple Asset Pricing Model Featuring RepresentativenessChapter 5- Heterogeneous Judgements in ExperimentsChapter 6- Representativeness and Heterogeneous Beliefs Among Individual Investors, Financial Executives and AcademicsChapter 7- Representativeness and Heterogeneity in the Judgements of Professional InvestorsChapter 8- A Simple Asset Pricing Model with Heterogeneous BeliefsChapter 9- Heterogeneous Beliefs and Inefficient MarketsChapter 10- A Simple Market Model of Prices and Trading VolumeChapter 11- Efficiency and Entropy: Long-run DynamicsChapter 12- CRRA and CARA Utility FunctionsChapter 13- Heterogeneous Risk Tolerance and Time PreferenceChapter 14- Representative Investors in a Heterogeneous CRRA ModelChapter 15- SentimentChapter 16- Behavioral SDF and the Sentiment PremiumChapter 17- Behavioral Betas and Mean-Variance PortfoliosChapter 18- Cross-section of Return ExpectationsChapter 19- Testing for a Sentiment PremiumChapter 20- A Behavioral Approach to the Term Structure of Interest RatesChapter 21- Behavioral Black-ScholesChapter 22- Irrational Exuberance and Option SmilesChapter 23- Empirical Evidence In Support of Behavioral SDFChapter 24- Prospect Theory: IntroductionChapter 25- Behavioral PortfoliosChapter 26- Prospect Theory EquilibriumChapter 27- Pricing and Prospect Theory: Empirical StudiesChapter 28- Reflections on the Equity Premium PuzzleChapter 29- Conclusion
No. of pages: 496
Published: January 21, 2005
Imprint: Academic Press
eBook ISBN: 9780080476032
Hersh Shefrin holds the Mario L. Belotti Chair in the Department of Finance at Santa Clara University's Leavey School of Business. He is a pioneer of behavioral finance, and has worked on behavioral issues for over thirty years. A Behavioral Approach to Asset Pricing is the first behavioral treatment of the pricing kernel. His book Behavioral Corporate Finance is the first textbook dedicated to the application of behavioral concepts to corporate finance. His book Beyond Greed and Fear was the first comprehensive treatment of the field of behavioral finance. A 2003 article appearing in The American Economic Review included him among the top fifteen theorists to have influenced empirical work in microeonomics. One of his articles is among the all time top ten papers to be downloaded from SSRN. He holds a Ph.D. from the London School of Economics, and an honorary doctorate from the University of Oulu in Finland.
Affiliations and expertise
Mario L. Belotti Professor of Finance, Leavey School of Business, Santa Clara University, CA, USA