A Behavioral Approach to Asset Pricing

Other | February 1, 2005

byShefrin, Hersh, Hersh Shefrin

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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 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.

* 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

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From the Publisher

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 o...

Hersh Shefrin holds the Mario L. Belotti Chair in the Department of Finance at Santa Clara University's Leavey School of Business. He is a pioneer of behavioral finance, and has worked on behavioral issues for over thirty years.A Behavioral Approach to Asset Pricingis the first behavioral treatment of the pricing kernel. His bookBehavi...

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Format:OtherDimensions:496 pages, 1 × 1 × 1 inPublished:February 1, 2005Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0080476031

ISBN - 13:9780080476032

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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