A Behavioral Approach to Asset Pricing
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A Behavioral Approach to Asset Pricing: (Academic Press Advanced Finance)

A Behavioral Approach to Asset Pricing: (Academic Press Advanced Finance)

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About the Book

"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 efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author 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. The book develops a series of examples to illustrate the theoretical results. The CD-ROM contains most of the examples, worked out as Excel spreadsheets, so that a diligent reader can follow them through. Instructors might also want to use the examples to assign class exercises, asking students to modify the numbers and see what happens. This is the first book to focus completely on how behavioral finance principles affect asset pricing. Hersh Shefrin is a recognized expert in behavioral finance. Behavioral finance is a growth area in finance scholarship and moving more and more into practice.

Table of Contents:
Chapter 1- Introduction 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 Chapter 6- Representativeness and Heterogeneous Beliefs Among Individual Investors, Financial Executives and Academics Chapter 7- Representativeness and Heterogeneity in the Judgements of Professional Investors 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 Chapter 12- CRRA and CARA Utility Functions Chapter 13- Heterogeneous Risk Tolerance and Time Preference Chapter 14- Representative Investors in a Heterogeneous CRRA Model Chapter 15- Sentiment Chapter 16- Behavioral SDF and the Sentiment Premium 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 Chapter 24- Prospect Theory: Introduction Chapter 25- Behavioral Portfolios Chapter 26- Prospect Theory Equilibrium Chapter 27- Pricing and Prospect Theory: Empirical Studies Chapter 28- Reflections on the Equity Premium Puzzle Chapter 29- Conclusion


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Product Details
  • ISBN-13: 9780126393712
  • Publisher: Elsevier Science Publishing Co Inc
  • Publisher Imprint: Academic Press Inc
  • Height: 229 mm
  • Returnable: N
  • Weight: 1000 gr
  • ISBN-10: 0126393710
  • Publisher Date: 21 Jan 2005
  • Binding: CD-ROM
  • Language: English
  • Series Title: Academic Press Advanced Finance
  • Width: 152 mm


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A Behavioral Approach to Asset Pricing: (Academic Press Advanced Finance)
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A Behavioral Approach to Asset Pricing: (Academic Press Advanced Finance)
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