LEADER 05438nam 2200661Ia 450 001 9910784562703321 005 20230617005221.0 010 $a1-281-00836-2 010 $a9786611008369 010 $a0-08-047603-1 035 $a(CKB)1000000000363633 035 $a(EBL)232108 035 $a(OCoLC)467150296 035 $a(SSID)ssj0000109996 035 $a(PQKBManifestationID)11142687 035 $a(PQKBTitleCode)TC0000109996 035 $a(PQKBWorkID)10063935 035 $a(PQKB)10292250 035 $a(MiAaPQ)EBC232108 035 $a(Au-PeEL)EBL232108 035 $a(CaPaEBR)ebr10127967 035 $a(CaONFJC)MIL100836 035 $a(OCoLC)936898068 035 $a(EXLCZ)991000000000363633 100 $a20040728d2005 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 12$aA behavioral approach to asset pricing$b[electronic resource] /$fHersh Shefrin 210 $aAmsterdam ;$aBoston $cElsevier Academic Press$dc2005 215 $a1 online resource (513 p.) 225 1 $aAcademic Press advanced finance series 300 $aDescription based upon print version of record. 311 $a0-12-639371-0 320 $aIncludes bibliographical references (p. [457]-471) and index. 327 $aCover; 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 327 $a4.1 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 327 $a6.1 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 327 $a8.4 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 327 $a11.3 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 Function; 12.6 Representative Investor; 12.7 Example; 12.8 CARA Utility; 12.9 Summary; 13 Heterogeneous Risk Tolerance and Time Preference; 13.1 Survey Evidence; 13.2 Extended Survey; 13.3 Time Preference 327 $a13.4 Summary 330 $aA Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It constructs a solid, intact structure that challenges classic assumptions and at the same time provides a strong theory and efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author provides a general behaviorally based intertemporal treatment of asset pricing theory 410 0$aAcademic Press advanced finance series. 606 $aCapital assets pricing model 606 $aRisk management 615 0$aCapital assets pricing model. 615 0$aRisk management. 676 $a332.63/221 700 $aShefrin$b Hersh$f1948-$0281036 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910784562703321 996 $aA behavioral approach to asset pricing$93708339 997 $aUNINA