A Behavioral Approach to Asset Pricing

Hersh Shefrin

• Publisher: Academic Press
• Year: 2005
• Print ISBN:
  9780126393712
• eBook ISBN:
  9780080476032
• Topic: Business
• Subtopic: Finance
• Index: Business

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

Table of contents

• Cover
• Contents
• 1 Introduction
• Part I - Heuristics and Representativeness: Experimental Evidence
• Part II - Heuristics and Representativeness: Investor Expectations
• Part III - Developing Behavioral Asset Pricing Models
• Part IV - Heterogeneity in Risk Tolerance and Time Discounting
• Part V - Sentiment and Behavioral SDF
• Part VI - Applications of Behavioral SDF
• Part VII - Prospect Theory
• Part VIII - Closure
• References
• Index