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A Behavioral Approach to Asset Pricing - Hersh Shefrin

A Behavioral Approach to Asset Pricing


Published: 19th May 2008
Format: PDF
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Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. A companion website contains these examples worked out as Excel spreadsheets so that readers can input their own data to test the results.

* The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
* A companion website contains a series of examples worked out as Excel spreadsheets so that readers can input their own data to test the results

Preface to the Second Edition
Chapter 1- Introduction
I Heuristics and Representativeness: Experimental Evidence
Chapter 2- Representativeness and Bayes Rule: Psychological Perspective
Chapter 3- Representativeness and Bayes Rule: Economics Perspective
Chapter 4- A Simple Asset Pricing Model Featuring Representativeness
Chapter 5- Heterogeneous Judgements in Experiments
II Heuristics and Representativeness: Investor Expectations
Chapter 6- Representativeness and Heterogeneous Beliefs Among Individual Investors, Financial Executives, and Academics
Chapter 7- Representativeness and Heterogeneity in the Judgements of Professional Investors
III Developing Behavioral Asset Pricing Models
Chapter 8- A Simple Asset Pricing Model with Heterogeneous Beliefs
Chapter 9- Heterogeneous Beliefs and Inefficient Markets
Chapter 10- A Simple Market Model of Prices and Trading Volume
Chapter 11- Efficiency and Entropy: Long-run Dynamics
IV Heterogeneity in Risk Tolerance and Time Discounting
Chapter 12- CRRA and CARA Utility Functions
Chapter 13- Heterogeneous Risk Tolerance and Time Preference
Chapter 14- Representative Investors in a Heterogeneous CRRA Model
IV Sentiment and Behavioral SDF
Chapter 15- Sentiment
Chapter 16- Behavioral SDF and the Sentiment Premium
VI Applications and Behavioral SDF
Chapter 17- Behavioral Betas and Mean-Variance Portfolios
Chapter 18- Cross-section of Return Expectations
Chapter 19- Testing for a Sentiment Premium
Chapter 20- A Behavioral Approach to the Term Structure of Interest Rates
Chapter 21- Behavioral Black-Scholes
Chapter 22- Irrational Exuberance and Option Smiles
Chapter 23- Empirical Evidence in Support of Behavioral SDF
VII Prospect Theory
Chapter 24- Prospect Theory: Introduction
Chapter 25- Behavioral Portfolios
Chapter 26- Equilibrium with Behavioral Preferences
Chapter 27- Pricing and Prospect Theory: Empirical Studies
Chapter 28- Reflections on the Equity Premium Puzzle
Chapter 29- Continuous Time Behavioral Equilibrium Models
Chapter 30 Conclusion

ISBN: 9780080482248
ISBN-10: 0080482244
Format: PDF
Language: English
Number Of Pages: 604
Published: 19th May 2008
Publisher: Elsevier Science
Edition Number: 2