行为金融中的一本名著

作者：Hersh Shefrin
Mario L. Belotti Professor of Finance
Leavey School of Business
Santa Clara University

Copyright c
2005, Elsevier Inc. All rights reserved.

contents

Preface

1 Introduction

I Heuristics and Representativeness: Experimental Evidence

2 Representativeness and Bayes Rule: Psychological Perspective

3 Representativeness and Bayes Rule: Economics Perspective

4 A Simple Asset Pricing Model Featuring Representativeness

5 Heterogeneous Judgments in Experiments

II Heuristics and Representativeness: Investor Expectations

6 Representativeness and Heterogeneous Beliefs Among Individual Investors, Financial Executives, and Academics

7 Representativeness and Heterogeneity in the Judgments of Professional Investors

III Developing Behavioral Asset Pricing Models

8 A Simple Asset Pricing Model with Heterogeneous Beliefs

9 Heterogeneous Beliefs and Inefficient Markets

10 A Simple Market Model of Prices and Trading Volume

11 Efficiency and Entropy: Long-Run Dynamics

IV Heterogeneity in Risk Tolerance and Time Discounting

12 CRRA and CARA Utility Functions

13 Heterogeneous Risk Tolerance and Time Preference

14 Representative Investors in a Heterogeneous CRRA Model

V Sentiment and Behavioral SDF

15 Sentiment

16 Behavioral SDF and the Sentiment Premium

VI Applications of Behavioral SDF

17 Behavioral Betas and Mean-Variance Portfolios

18 Cross-section of Return Expectations

19 Testing for a Sentiment Premium

20 A Behavioral Approach to the Term Structure of Interest Rates

21 Behavioral Black–Scholes

22 Irrational Exuberance and Option Smiles

23 Empirical Evidence in Support of Behavioral SDF

VII Prospect Theory 363

24 Prospect Theory: Introduction

25 Behavioral Portfolios

26 Prospect Theory Equilibrium

27 Pricing and Prospect Theory: Empirical Studies

28 Reflections on the Equity Premium Puzzle

VIII Closure

29 Conclusion

References

Index