A Behavioral Approach to Asset Pricing

Hersh Shefrin 지음

elsevier 2005년 02월 03일 출간

작품소개

책소개

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

목차

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

출판사 서평

"Students and researchers interested in this important and burgeoning field of finance should read [this book]." - Financial Analysts Journal"I highly recommend Shefrin's book to anyone who wants to probe into the implications of behavioral finance for asset pricing. Shefrin builds rigorous theoretical models that integrate investor heterogeneity and psychological biases into the traditional stochastic discount factor framework. The text contains a wealth of original ideas, and provides new modeling tools. The results are convincing and thought provoking. I believe Shefrin's book will help revolutionize our thinking about asset pricing and stimulate more work along its line." -Bing Han, Assistant Professor of Finance, the Ohio State University

작가정보

저자(글) Hersh Shefrin