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

• Autore: Shefrin Hersh <1948->
• Pubblicazione: Amsterdam ; ; Boston, : Elsevier Academic Press, c2005
• Descrizione fisica: 1 online resource (513 p.)
• Disciplina: 332.63/221
• Soggetto topico: Capital assets pricing model; Risk management
• Soggetto genere / forma: Electronic books.
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references (p. [457]-471) and index.
• Nota di contenuto: 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 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 ; 13.4 Summary
• Sommario/riassunto: 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
• Titolo autorizzato: A behavioral approach to asset pricing
• ISBN: 1-281-00836-2; 9786611008369; 0-08-047603-1
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910458130803321
• Lo trovi qui: Univ. Federico II
• Serie: Academic Press advanced finance series.