A behavioral approach to asset pricing /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Shefrin, Hersh, 1948-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Elsevier Academic Press, ©2005.
Colección:Academic Press advanced finance series.
Temas:
Capital assets pricing model.
Risk management.
Modèle d'évaluation des actifs financiers.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Investments & Securities > Stocks.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover
  • Contents
  • 1 Introduction
  • 1.1 Why Read This Book?
  • 1.2 Organization: How the Ideas in This Book Tie Together
  • 1.3 Summary
  • Part I
  • Heuristics and Representativeness: Experimental Evidence
  • 2 Representativeness and Bayes Rule: Psychological Perspective
  • 2.1 Explaining Representativeness
  • 2.2 Implications for Bayes Rule
  • 2.3 Experiment
  • 2.4 Representativeness and Prediction
  • 2.5 Summary
  • 3 Representativeness and Bayes Rule: Economics Perspective
  • 3.1 The Grether Experiment
  • 3.2 Representativeness
  • 3.3 Results
  • 3.4 Summary
  • 4 A Simple Asset Pricing Model Featuring Representativeness
  • 4.1 First Stage, Modified Experimental Structure
  • 4.2 Expected Utility Model
  • 4.3 Equilibrium Prices
  • 4.4 Representativeness
  • 4.5 Second Stage: Signal-Based Market Structure
  • 4.6 Summary
  • 5 Heterogeneous Judgments in Experiments
  • 5.1 Grether Experiment
  • 5.2 Heterogeneity in Predictions of GPA
  • 5.3 The De Bondt Experiment
  • 5.4 Why Some Bet on Trends and Others Commit Gambler's Fallacy
  • 5.5 Summary
  • Part II
  • Heuristics and Representativeness: Investor Expectations
  • 6 Representativeness and Heterogeneous Beliefs Among Individual Investors, Financial Executives, and Academics
  • 6.1 Individual Investors
  • 6.2 The Expectations of Academic Economists
  • 6.3 Financial Executives
  • 6.4 Summary
  • 7 Representativeness and Heterogeneity in the Judgments of Professional Investors
  • 7.1 Contrasting Predictions: How Valid?
  • 7.2 Update to Livingston Survey
  • 7.3 Individual Forecasting Records
  • 7.4 Gambler's Fallacy
  • 7.5 Why Heterogeneity Is Time Varying
  • 7.6 Summary
  • Part III
  • Developing Behavioral Asset Pricing Models
  • 8 A Simple Asset Pricing Model with Heterogeneous Beliefs
  • 8.1 A Simple Model with Two Investors
  • 8.2 Equilibrium Prices
  • 8.3 Fixed Optimism and Pessimism
  • 8.4 Incorporating Representativeness
  • 8.5 Summary
  • 9 Heterogeneous Beliefs and Inefficient Markets
  • 9.1 Defining Market Efficiency
  • 9.2 Market Efficiency and Logarithmic Utility
  • 9.3 Equilibrium Prices as Aggregators
  • 9.4 Market Efficiency: Necessary and Sufficient Condition
  • 9.5 Interpreting the Efficiency Condition
  • 9.6 Summary
  • 10 A Simple Market Model of Prices and Trading Volume
  • 10.1 The Model
  • 10.2 Analysis of Returns
  • 10.3 Analysis of Trading Volume
  • 10.4 Example
  • 10.5 Arbitrage
  • 10.6 Summary
  • 11 Efficiency and Entropy: Long-Run Dynamics
  • 11.1 Introductory Example
  • 11.2 Entropy
  • 11.3 Numerical Illustration
  • 11.4 Markov Beliefs
  • 11.5 Heterogeneous Time Preference, Entropy, and Efficiency
  • 11.6 Entropy and Market Efficiency
  • 11.7 Summary
  • Part IV
  • Heterogeneity in Risk Tolerance and Time Discounting
  • 12 CRRA and CARA Utility Functions
  • 12.1 Arrow-Pratt Measure
  • 12.2 Proportional Risk
  • 12.3 Constant Relative Risk Aversion
  • 12.4 Logarithmic Utility
  • 12.5 CRRA Demand.

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