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A behavioral approach to asset pricing [electronic resource] / Hersh Shefrin.

By: Shefrin, Hersh, 1948-.
Contributor(s): ScienceDirect (Online service).
Series: Academic Press advanced finance series: Publisher: Amsterdam ; Boston : Academic Press/Elsevier, c2008Edition: 2nd ed.Description: xxvii, 604 p. : ill. ; 24 cm.ISBN: 9780123743565; 0123743567.Subject(s): Capital assets pricing model | Risk managementGenre/Form: Electronic books.Additional physical formats: No titleDDC classification: 332.63/221 Online resources: An electronic book accessible through the World Wide Web; click for information
Contents:
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.
Item type Current location Call number Status Notes Date due Barcode
Main Collection Taylor's Library - Perpetual(TU)
332.63/221 (Browse shelf) e-book TBSxx,44001,03,CL,PPT

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.