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A Behavioral Approach to Asset Pricing

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  • Àú : Shefrin, Hersh
  • ÃâÆÇ»ç : Academic
  • ¹ßÇà : 2008³â 05¿ù 19ÀÏ
  • Âʼö : 0
  • ISBN : 9780123743565
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Preface Preface to the Second Edition
Introduction
Heuristics and Representativeness: Experimental Evidence
Representativeness and Bayes Rule: Psychological Perspective
Representativeness and Bayes Rule: Economics Perspective
A Simple Asset Pricing Model Featuring Representativeness
Heterogeneous Judgements in Experiments
Heuristics and Representativeness: Investor Expectations
Representativeness and Heterogeneous Beliefs Among Individual Investors, Financial Executives, and Academics
Representativeness and Heterogeneity in the Judgements of Professional Investors
Developing Behavioral Asset Pricing Models
A Simple Asset Pricing Model with Heterogeneous Beliefs
Heterogeneous Beliefs and Inefficient Markets
A Simple Market Model of Prices and Trading Volume
Efficiency and Entropy: Long-run Dynamics
Heterogeneity in Risk Tolerance and Time Discounting
CRRA and CARA Utility Functions
Heterogeneous Risk Tolerance and Time Preference
Representative Investors in a Heterogeneous CRRA Model IV Sentiment and Behavioral SDF
Sentiment
Behavioral SDF and the Sentiment Premium
Applications and Behavioral SDF
Behavioral Betas and Mean-Variance Portfolios
Cross-section of Return Expectations
Testing for a Sentiment Premium
A Behavioral Approach to the Term Structure of Interest Rates
Behavioral Black-Scholes
Irrational Exuberance and Option Smiles
Empirical Evidence in Support of Behavioral SDF
Prospect Theory
Prospect Theory: Introduction
Behavioral Portfolios
Equilibrium with Behavioral Preferences
Pricing and Prospect Theory: Empirical Studies
Reflections on the Equity Premium Puzzle
Continuous Time Behavioral Equilibrium Models
Conclusion
References
Table of Contents provided by Publisher. All Rights Reserved.

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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. In this 2nd Edition Hersh Shefrin examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. In other words, he takes the traditional tools in asset pricing and behavioralizes them. He 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, Shefrin's book takes the discussion to the next step. He 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, based on all the latest research and theory. * 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

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Shefrin, Hersh [Àú] ½ÅÀ۾˸² SMS½Åû
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Hersh Shefrin, Ph.D., holds the Mario L. Belotti Chair in the Department of Finance at the Leavey School of Business at Santa Clara University. One of the pioneers of behavioral finance, he has published scholarly articles in the "Journal of Finance, Journal of Financial Economics, Review of Financial Studies", and many other journals. Dr. Shefrin is also the author of "Beyond Greed and Fear".

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