A BEHAVIORAL APPROACH TO ASSET PRICING
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Second Edition

By
Hersh Shefrin, Mario L. Belotti Professor of Finance, Leavey School of Business, Santa Clara University, CA, USA

Included in series
Academic Press Advanced Finance ,

Description
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Audience
Graduate students and professors in finance, and professionals working with investment tools such as financial analysts and portfolio managers.

Contents
Preface Preface to the Second Edition Chapter 1- Introduction I Heuristics and Representativeness: Experimental Evidence 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 II Heuristics and Representativeness: Investor Expectations Chapter 6- Representativeness and Heterogeneous Beliefs Among Individual Investors, Financial Executives, and Academics Chapter 7- Representativeness and Heterogeneity in the Judgements of Professional Investors III Developing Behavioral Asset Pricing Models 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 IV Heterogeneity in Risk Tolerance and Time Discounting Chapter 12- CRRA and CARA Utility Functions Chapter 13- Heterogeneous Risk Tolerance and Time Preference Chapter 14- Representative Investors in a Heterogeneous CRRA Model IV Sentiment and Behavioral SDF Chapter 15- Sentiment Chapter 16- Behavioral SDF and the Sentiment Premium VI Applications and Behavioral SDF 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 VII Prospect Theory Chapter 24- Prospect Theory: Introduction Chapter 25- Behavioral Portfolios Chapter 26- Equilibrium with Behavioral Preferences Chapter 27- Pricing and Prospect Theory: Empirical Studies Chapter 28- Reflections on the Equity Premium Puzzle Chapter 29- Continuous Time Behavioral Equilibrium Models Chapter 30 Conclusion References

Bibliographic details Hardbound, 618 pages, publication date: MAY-2008
ISBN-13: 978-0-12-374356-5
Imprint: ACADEMIC PRESS

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Last update: 5 Mar 2009