A behavioral approach to asset pricing [electronic resource] /
Hersh Shefrin.
- 2nd ed.
- Amsterdam ; Boston : Academic Press/Elsevier, c2008.
- xxvii, 604 p. : ill. ; 24 cm.
- Academic Press advanced finance series .
- Academic Press advanced finance series. .
Includes bibliographical references (p. [563]-586) and index.
Preface -- Preface to the Second Edition -- Introduction -- I 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 -- II 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 -- III 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 -- IV 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 -- VI 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 -- VII 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.
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on Dec. 9, 2008). Access may be restricted to users at subscribing institutions.