A behavioral approach to asset pricing:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Acad. Press
2008
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. [563] - 586 |
| Beschreibung: | XXVII, 604 S. graph. Darst. |
| ISBN: | 9780123743565 0123743567 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV023474461 | ||
| 003 | DE-604 | ||
| 005 | 20210430 | ||
| 007 | t | ||
| 008 | 080804s2008 xxud||| |||| 00||| eng d | ||
| 020 | |a 9780123743565 |c hardcover : alk. paper |9 978-0-12-374356-5 | ||
| 020 | |a 0123743567 |9 0-12-374356-7 | ||
| 035 | |a (OCoLC)316047871 | ||
| 035 | |a (DE-599)BVBBV023474461 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c US | ||
| 049 | |a DE-92 |a DE-355 |a DE-945 |a DE-739 |a DE-703 |a DE-384 |a DE-11 |a DE-188 | ||
| 050 | 0 | |a HG4637 | |
| 082 | 0 | |a 332.63221 | |
| 084 | |a QK 622 |0 (DE-625)141669: |2 rvk | ||
| 100 | 1 | |a Shefrin, Hersh |d 1948- |e Verfasser |0 (DE-588)122258665 |4 aut | |
| 245 | 1 | 0 | |a A behavioral approach to asset pricing |c Hersh Shefrin |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Amsterdam [u.a.] |b Acad. Press |c 2008 | |
| 300 | |a XXVII, 604 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Academic Press advanced finance series | |
| 500 | |a Literaturverz. S. [563] - 586 | ||
| 650 | 4 | |a aCapital assets pricing model | |
| 650 | 4 | |a aRisk management | |
| 650 | 0 | 7 | |a Kapitalanlage |0 (DE-588)4073213-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Anlageverhalten |0 (DE-588)4214003-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikoverhalten |0 (DE-588)4050133-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |D s |
| 689 | 0 | 1 | |a Kapitalanlage |0 (DE-588)4073213-7 |D s |
| 689 | 0 | 2 | |a Anlageverhalten |0 (DE-588)4214003-1 |D s |
| 689 | 0 | 3 | |a Risikoverhalten |0 (DE-588)4050133-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-0-08-048224-8 |w (DE-604)BV039829993 |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016656734&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016656734 | ||
Datensatz im Suchindex
| _version_ | 1804137897781100544 |
|---|---|
| adam_text | Contents
Preface to Second Edition xix
Preface to First Edition xxiii
About the Author xxix
Introduction 1
1.1 Why Read This Book?.................... 2
1.1.1 Value to Proponents of Traditional Asset Pricing . 2
1.1.2 Value to Proponents of Behavioral Asset Pricing . . 5
1.2 Organization: How the Ideas in This Book Tie Together . . 6
1.2.1 Heuristics and Representativeness: Experimental
Evidence....................... 7
1.2.2 Heuristics and Representativeness: Investor
Expectations..................... 7
1.2.3 Developing Behavioral Asset Pricing Models .... 7
1.2.4 Heterogeneity in Risk Tolerance and Time
Discounting...................... 8
1.2.5 Sentiment and Behavioral SDF........... 9
1.2.6 Applications of Behavioral SDF........... 9
1.2.7 Behavioral Preferences................ 11
1.2.8 Future Directions and Closing Comments ..... 13
1.3 Summary........................... 13
vi Contents
1 Heuristics and Representativeness:
Experimental Evidence 15
2 Representativeness and Bayes Rule: Psychological
Perspective 17
2.1 Explaining Representativeness................ 18
2.2 Implications for Bayes Rule................. 18
2.3 Experiment.......................... 18
2.3.1 Three Groups..................... 19
2.3.2 Bayesian Hypothesis................. 20
2.3.3 Results........................ 20
2.4 Representativeness and Prediction ............. 20
2.4.1 Two Extreme Cases................. 22
2.4.2 Representativeness and Regression to the Mean . . 23
2.4.3 Results for the Prediction Study .......... 23
2.4.4 Strength of Relationship Between Signal and
Prediction....................... 23
2.4.5 How Regressive?................... 24
2.5 Summary........................... 25
3 Representativeness and Bayes Rule: Economics
Perspective 27
3.1 The Grether Experiment................... 27
3.1.1 Design......................... 27
3.1.2 Experimental Task: Bayesian Approach....... 28
3.2 Representativeness...................... 30
3.3 Results............................ 30
3.3.1 Underweighting Base Rate Information....... 33
3.4 Summary........................... 34
4 A Simple Asset Pricing Model Featuring
Representativeness 35
4.1 First Stage, Modified Experimental Structure....... 36
4.2 Expected Utility Model................... 36
4.2.1 Bayesian Solution .................. 38
4.3 Equilibrium Prices...................... 39
4.4 Representativeness...................... 40
4.5 Second Stage: Signal-Based Market Structure....... 42
4.6 Sentiment, State Prices, and the Pricing Kernel...... 44
4.7 Summary........................... 46
5 Heterogeneous Judgments in Experiments 47
5.1 Grether Experiment..................... 47
5.2 Heterogeneity in Predictions of GPA............ 48
Contents vii
5.3 The De Bondt Experiment.................. 50
5.3.1 Forecasts of the S P Index: Original Study .... 50
5.3.2 Replication of De Bondt Study........... 56
5.3.3 Overconfidence.................... 58
5.4 Why Some Commit Hot Hand Fallacy and Others
Commit Gambler sFallacy.................. 59
5.5 Summary........................... 61
II Heuristics and Representativeness: Investor
Expectations 63
6 Representativeness and Heterogeneous Beliefs
Among Individual Investors, Financial Executives,
and Academics 65
6.1 Individual Investors ..................... 65
6.1.1 Bullish Sentiment and Heterogeneity........ 66
6.1.2 The UBS/Gallup Survey............... 67
6.1.3 Heterogeneous Beliefs................ 67
6.1.4 Hot Hand Fallacy .................. 68
6.1.5 The Impact of Demographic Variables....... 70
6.1.6 Own Experience: Availability Bias......... 71
6.1.7 Do Individual Investors Bet on Trends? Perceptions
and Reactions to Mispricing............. 72
6.2 The Expectations of Academic Economists......... 73
6.2.1 Heterogeneous Beliefs................ 74
6.2.2 Welch s 1999 and 2001 Surveys........... 76
6.3 Financial Executives..................... 77
6.3.1 Volatility and Overconfidence............ 78
6.4 Summary........................... 78
7 Representativeness and Heterogeneity in the Judgments
of Professional Investors 79
7.1 Contrasting Predictions: How Valid?............ 79
7.2 Update to Livingston Survey ................ 80
7.2.1 Heterogeneity..................... 81
7.3 Individual Forecasting Records............... 84
7.3.1 Frank Cappiello ................... 86
7.3.2 Ralph Acampora................... 91
7.4 Gambler sFallacy...................... 93
7.4.1 Forecast Accuracy.................. 93
7.4.2 Excessive Pessimism................. 94
7.4.3 Predictions of Volatility............... 94
Contents
7.5 Why Heterogeneity Is Time Varying............ 97
7.5.1 Heterogeneity and Newsletter Writers........ 98
7.6 Summary........................... 99
III Developing Behavioral Asset Pricing Models 101
8 A Simple Asset Pricing Model with Heterogeneous
Beliefs 103
8.1 A Simple Model with Two Investors ............ 103
8.1.1 Probabilities..................... 104
8.1.2 Utility Functions................... 104
8.1.3 State Prices...................... 104
8.1.4 Budget Constraint.................. 105
8.1.5 Expected Utility Maximization........... 105
8.2 Equilibrium Prices...................... 106
8.2.1 Formal Argument .................. 107
8.2.2 Representative Investor............... 108
8.3 Fixed Optimism and Pessimism............... 108
8.3.1 Impact of Heterogeneity............... Ill
8.4 Incorporating Representativeness.............. Ill
8.5 Summary........................... 113
9 Heterogeneous Beliefs and Inefficient Markets 115
9.1 Defining Market Efficiency.................. 115
9.1.1 Riskless Arbitrage.................. 117
9.1.2 Risky Arbitrage ................... 117
9.1.3 Fundamental Value.................. 118
9.1.4 When n Is Nonexistent ............... 118
9.2 Market Efficiency and Logarithmic Utility......... 119
9.2.1 Example of Market Inefficiency........... 119
9.2.2 Sentiment and the Log-Pricing Kernel....... 120
9.3 Equilibrium Prices as Aggregators.............. 122
9.4 Market Efficiency: Necessary and Sufficient Condition . . . 123
9.5 Interpreting the Efficiency Condition............ 125
9.5.1 When the Market Is Naturally Efficient....... 125
9.5.2 Knife-Edge Efficiency ................ 126
9.5.3 When the Market Is Naturally Inefficient...... 128
9.6 Summary........................... 129
10 A Simple Market Model of Prices and Trading
Volume 131
10.1 The Model.......................... 131
10.1.1 Expected Utility Maximization........... 131
Contents ix
10.2 Analysis of Returns ..................... 134
10.2.1 Market Portfolio................... 134
10.2.2 Risk-Free Security.................. 135
10.3 Analysis of Trading Volume................. 136
10.3.1 Theory........................ 137
10.4 Example ........................... 139
10.4.1 Stochastic Processes................. 140
10.4.2 Available Securities ................. 140
10.4.3 Initial Portfolios................... 141
10.4.4 Equilibrium Portfolio Strategies........... 142
10.4.5 Markov Structure, Continuation, and Asymmetric
Volatility....................... 146
10.5 Arbitrage........................... 147
10.5.1 State Prices...................... 148
10.6 Summary........................... 148
11 Efficiency and Entropy: Long-Run Dynamics 149
11.1 Introductory Example.................... 150
11.1.1 The Market...................... 151
11.1.2 Budget Share Equations............... 152
11.1.3 Portfolio Relationships................ 152
11.1.4 Wealth Share Equations............... 153
11.2 Entropy............................ 155
11.3 Numerical Illustration.................... 156
11.4 Markov Beliefs........................ 157
11.5 Heterogeneous Time Preference, Entropy, and Efficiency . 158
11.5.1 Modeling Heterogeneous Rates of Time
Preference....................... 159
11.5.2 Market Portfolio................... 160
11.5.3 Digression: Hyperbolic Discounting......... 161
11.5.4 Long-Run Dynamics When Time Preference Is
Heterogeneous.................... 162
11.6 Entropy and Market Efficiency............... 163
11.7 Summary........................... 166
IV Heterogeneity in Risk Tolerance and Time
Discounting 167
12 CRRA and CARA Utility Functions 169
12.1 Arrow-Pratt Measure.................... 169
12.2 Proportional Risk ...................... 170
12.3 Constant Relative Risk Aversion.............. 170
12.3.1 Graphical Illustration................ 171
12.3.2 RiskPremia..................... 171
x Contents
12.4 Logarithmic Utility...................... 172
12.4.1 Risk Premium in a Discrete Gamble........ 172
12.5 CRRA Demand Function.................. 173
12.6 Representative Investor ................... 174
12.7 Example ........................... 175
12.7.1 Aggregation and Exponentiation.......... 177
12.8 CARA Utility......................... 178
12.8.1 CARA Demand Function.............. 180
12.8.2 Aggregate Demand and Equilibrium........ 180
12.9 Summary........................... 182
13 Heterogeneous Risk Tolerance and Time Preference 183
13.1 Survey Evidence....................... 183
13.1.1 Questions to Elicit Relative Risk Aversion..... 184
13.1.2 Two Waves...................... 185
13.1.3 Status Quo Bias................... 186
13.1.4 Risky Choice..................... 187
13.2 Extended Survey....................... 188
13.3 Time Preference....................... 190
13.4 Summary........................... 191
14 Representative Investors in a Heterogeneous CRRA
Model 193
14.1 Relationship to Representative Investor Literature..... 194
14.1.1 Additional Literature ................ 196
14.2 Modeling Preliminaries.................... 197
14.3 Efficient Prices........................ 198
14.4 Representative Investor Characterization Theorem..... 199
14.4.1 Discussion ...................... 203
14.4.2 Nonuniqueness.................... 205
14.5 Comparison Example..................... 205
14.6 Pitfall: The Representative Investor Theorem Is False ... 208
14.6.1 Argument Claiming That Theorem 14.1 Is False . . 209
14.6.2 Identifying the Flaw................. 210
14.7 Summary........................... 210
V Sentiment and Behavioral SDF 211
15 Sentiment 213
15.1 Intuition: Kahneman s Perspective.............213
15.1.1 Relationship to Theorem 14.1............214
15.1.2 Denning Market Efficiency..............216
Contents xi
15.2 Sentiment........................... 216
15.2.1 Formal Definition................... 217
15.3 Example Featuring Heterogeneous Risk Tolerance..... 217
15.4 Example Featuring Log-Utility............... 219
15.4.1 Representativeness: Errors in First Moments .... 219
15.4.2 Overconfidence: Errors in Second Moments..... 221
15.4.3 Link to Empirical Evidence............. 225
15.4.4 Evidence of Clustering................ 226
15.5 Sentiment as a Stochastic Process.............. 228
15.6 Summary........................... 229
16 Behavioral SDF and the Sentiment Premium 231
16.1 The SDF........................... 232
16.2 Sentiment and the SDF................... 233
16.2.1 Example ....................... 234
16.3 Pitfalls ............................ 236
16.3.1 Pitfall: The Behavioral Framework Admits a
Traditional SDF................... 237
16.3.2 Pitfall: Heterogeneity Need Not Imply Sentiment . 237
16.3.3 Pitfall: Heterogeneity in Risk Tolerance Is Sufficient
to Explain Asset Pricing............... 238
16.4 Sentiment and Expected Returns.............. 240
16.4.1 Interpretation and Discussion............ 243
16.4.2 Example Illustrating Theorem 16.2......... 244
16.5 Entropy and Long-Run Efficiency.............. 244
16.5.1 Formal Argument .................. 245
16.6 Learning: Bayesian and Non-Bayesian............ 247
16.7 Summary........................... 248
VI Applications of Behavioral SDF 249
17 Behavioral Betas and Mean-Variance Portfolios 251
17.1 Mean-Variance Efficiency and Market Efficiency...... 251
17.2 Characterizing Mean-Variance Efficient Portfolios..... 252
17.3 The Shape of Mean-Variance Returns............ 254
17.4 The Market Portfolio..................... 257
17.5 Risk Premiums and Coskewness............... 259
17.6 Behavioral Beta: Decomposition Result........... 264
17.6.1 Informal Discussion: Intuition............ 264
17.6.2 Formal Argument .................. 265
17.6.3 Example....................... 267
17.7 Summary........................... 268
xii Contents
18 Cross-Section of Return Expectations 269
18.1 Literature Review ...................... 270
18.1.1 Winner-Loser Effect................. 270
18.1.2 Book-to-Market Equity and the Winner-Loser
Effect......................... 271
18.1.3 January and Momentum............... 272
18.1.4 General Momentum Studies............. 273
18.1.5 Glamour and Value ................. 274
18.2 Factor Models and Risk................... 275
18.3 Differentiating Fundamental Risk and Investor Error . . . 276
18.3.1 Psychology of Risk and Return........... 277
18.3.2 Evidence About Judgments of Risk and Return . . 278
18.3.3 Psychology Underlying a Negative Relationship
Between Risk and Return.............. 279
18.4 Implications for the Broad Debate ............. 281
18.5 Analysts Return Expectations ............... 284
18.6 How Consciously Aware Are Investors When Forming
Judgments?.......................... 285
18.7 How Reliable Is the Evidence on Expected Returns? .... 286
18.8 Alternative Theories..................... 288
18.8.1 The Dynamics of Expectations: Supporting Data . 291
18.9 Summary........................... 294
19 Testing for a Sentiment Premium 295
19.1 Diether—Malloy—Scherbina: Returns Are Negatively
Related to Dispersion .................... 296
19.2 AGJ: Dispersion Factor................... 298
19.2.1 Basic Approach.................... 298
19.2.2 Factor Structure................... 298
19.2.3 General Properties of the Data........... 299
19.2.4 Expected Returns.................. 300
19.2.5 Findings ....................... 300
19.2.6 Volatility....................... 301
19.2.7 Direction of Mispricing................ 301
19.2.8 Opposite Signs for Short and Long Horizons .... 302
19.3 Estimating a Structural SDF-Based Model......... 302
19.3.1 Proxy for hZfi .................... 303
19.3.2 Findings ....................... 303
19.4 Summary........................... 304
20 A Behavioral Approach to the Term Structure of
Interest Rates 305
20.1 The Term Structure of Interest Rates............ 305
Contents xiii
20.2 Pitfall: The Bond Pricing Equation in Theorem 20.1 Is
False.............................. 306
20.2.1 Identifying the Flaw in the Analysis ........ 308
20.3 Volatility........................... 308
20.3.1 Heterogeneous Risk Tolerance............ 311
20.4 Expectations Hypothesis................... 312
20.4.1 Example ....................... 314
20.5 Summary........................... 315
21 Behavioral Black-Scholes 317
21.1 Call and Put Options .................... 317
21.2 Risk-Neutral Densities and Option Pricing......... 318
21.2.1 Option Pricing Equation 1.............. 318
21.2.2 Option Pricing Equations 2 and 3.......... 320
21.3 Option Pricing Examples .................. 321
21.3.1 Discrete Time Example............... 321
21.3.2 Continuous Time Example.............. 324
21.4 Smile Patterns........................ 327
21.4.1 Downward-Sloping Smile Patterns in the IVF
Function ....................... 330
21.5 Heterogeneous Risk Tolerance................ 332
21.6 Pitfall: Equation (21.12) Is False.............. 333
21.6.1 Locating the Flaw.................. 334
21.7 Pitfall: Beliefs Do Not Matter in Black-Scholes ...... 334
21.7.1 Locating the Flaw.................. 335
21.8 Summary........................... 335
22 Irrational Exuberance and Option Smiles 337
22.1 Irrational Exuberance: Brief History............ 338
22.1.1 Sentiment....................... 340
22.2 Risk-Neutral Densities and Index Option Prices...... 344
22.2.1 Butterfly Position Technique ............ 345
22.3 Continuation, Reversal, and Option Prices......... 347
22.4 Price Pressure: Was Arbitrage Fully Carried Out?..... 353
22.5 Heterogeneous Beliefs.................... 354
22.6 General Evidence on the Mispricing of Options ...... 354
22.7 Summary........................... 356
23 Empirical Evidence in Support of Behavioral SDF 359
23.1 Bollen-Whaley: Price Pressure Drives Smiles........ 360
23.1.1 Data ......................... 361
23.1.2 Trading Patterns................... 361
23.1.3 Buying Pressure and Smile Effects......... 362
xiv Contents
23.1.4 Price Pressure or Learning?............. 363
23.1.5 Arbitrage Profits................... 364
23.2 Han: Smile Effects, Sentiment, and Gambler s Fallacy ... 364
23.2.1 Price Pressure .................... 365
23.2.2 Impact of a Market Drop: Gambler s Fallacy .... 365
23.2.3 Impact of Sentiment................. 366
23.2.4 Time-Varying Uncertainty.............. 366
23.3 David-Veronesi: Gambler s Fallacy and Negative Skewness 367
23.4 Jackwerth and A it-Sahalia-Lo: Estimating Market
Risk Aversion......................... 368
23.4.1 Behavioral Risk-Neutral Density .......... 369
23.5 Rosenberg-Engle: Signature of Sentiment in the SDF . . . 371
23.5.1 Two Approaches to Estimating the EPK...... 372
23.5.2 Estimating Market Risk Aversion.......... 372
23.5.3 Empirical Results: Estimates of SDF........ 372
23.5.4 Estimates of Risk Aversion ............. 373
23.6 Comparing the Behavioral SDF and Empirical SDF .... 374
23.6.1 Empirical Evidence for Clustering: Mode in the
Left Tail Reflecting Pessimism............ 375
23.6.2 Investors and Predictions of Continuation..... 377
23.6.3 Mode in the Left Tail and Crashophobia...... 379
23.6.4 Time Variation in the SDF ............. 380
23.7 Heterogeneous Perspectives................. 382
23.8 Evidence Pertaining to the Cross-Section.......... 384
23.8.1 Coskewness...................... 385
23.8.2 Sentiment Functions for Individual Securities . . . 385
23.9 Summary........................... 387
VII Behavioral Preferences 389
24 Prospect Theory: Introduction 391
24.1 Subcertainty, Expected Utility, and the Common
Consequence Effect...................... 393
24.1.1 Common Ratio Effect................ 393
24.1.2 Subcertainty and Expected Utility......... 394
24.1.3 Allais Paradox and the Independence Axiom .... 395
24.1.4 The Isolation Effect ................. 397
24.1.5 Isolation and the Independence Axiom....... 399
24.1.6 Loss Aversion..................... 399
24.1.7 Ambiguity ...................... 400
24.2 Theory............................ 401
24.2.1 The Weighting Function............... 401
24.2.2 Value Function.................... 404
Contents xv
24.2.3 Interaction Between Value Function and Weighting
Function ....................... 405
24.2.4 Framing........................ 406
24.3 Original Prospect Theory and Cumulative Prospect
Theory ............................ 407
24.3.1 Original Prospect Theory.............. 407
24.3.2 Comparing Original Prospect Theory and
Cumulative Prospect Theory............ 410
24.4 Subtle Aspects Associated with Risk Aversion....... 413
24.4.1 Caveats........................ 415
24.5 Generalized Utility Theories................. 415
24.6 Summary........................... 417
25 Prospect Theory Portfolios 419
25.1 Theory ............................ 420
25.1.1 Prospect Theory: Decision Weights......... 420
25.1.2 Utility Function ................... 420
25.1.3 Prospect Theory Functional............. 420
25.2 Prospect Theory: Indifference Map............. 420
25.3 Portfolio Choice: Single Mental Account.......... 422
25.3.1 Exposure to Loss: Single Mental Account...... 423
25.3.2 Portfolio Payoff Return: Single Mental Account . . 424
25.4 Multiple Mental Accounts: Example ............ 425
25.4.1 General Comments About Multiple Mental
Accounts....................... 427
25.5 Summary........................... 428
26 SP/A Theory: Introduction 429
26.1 The Basic Model....................... 430
26.2 An Example to Illustrate How SP/A Theory Works .... 432
26.3 Summary........................... 436
27 SP/A-Based Behavioral Portfolio Theory 437
27.1 SP/A Efficient Frontier.................... 437
27.2 Example ........................... 438
27.3 Formal Analysis ....................... 440
27.4 Additional Comments About Theorem 27.1 ........ 441
27.4.1 Non-Uniform Probability Distribution ....... 441
27.4.2 Rank Dependence.................. 442
27.5 CRRA-Based SP/A Theory................. 444
27.5.1 SP/A Portfolio Frontiers and U-Maximization . . . 447
27.6 Mental Accounts....................... 449
27.7 Implications of Accentuated Security and Potential .... 451
27.8 Comparison of SP/A Theory with Cumulative
Prospect Theory....................... 452
xvi Contents
27.9 Real-World Portfolios and Securities............ 455
27.9.1 Empirical Evidence.................. 455
27.9.2 Examples....................... 458
27.10 Summary........................... 459
28 Equilibrium with Behavioral Preferences 461
28.1 The Model.......................... 462
28.2 Simple Example ....................... 463
28.2.1 Neoclassical Case................... 463
28.2.2 Prospect Theory Investors.............. 464
28.3 Boundary Value Property.................. 468
28.4 Equilibrium Pricing ..................... 469
28.4.1 Additional Insights Regarding Convexity and
Existence....................... 471
28.4.2 Weighting and Heterogeneous Beliefs........ 471
28.5 Portfolio Insurance...................... 472
28.5.1 Testable Prediction.................. 474
28.6 Risk and Return: Portfolio Insurance in a Mean-Variance
Example ........................... 474
28.7 Heterogeneous Preferences and Heterogeneous Beliefs:
Equilibrium with a Mix of SP/A Investors and
EU-Investors......................... 478
28.7.1 Behavioral Preferences and the Signature
of Sentiment..................... 481
28.7.2 Further Remarks on Skewness and Coskewness . . . 482
28.8 Summary........................... 484
29 The Disposition Effect: Trading Behavior and Pricing 487
29.1 Psychological Basis for the Disposition Effect ....... 487
29.2 Evidence for the Disposition Effect............. 492
29.3 Investor Beliefs........................ 497
29.3.1 Odean s Findings................... 497
29.3.2 A Size Effect..................... 498
29.3.3 A Volume Effect................... 499
29.4 Momentum and the Disposition Effect........... 500
29.4.1 Theoretical Hypotheses ............... 501
29.4.2 Empirical Evidence.................. 502
29.4.3 Extensions...................... 503
29.5 Summary........................... 504
30 Reflections on the Equity Premium Puzzle 505
30.1 Basis for Puzzles in Traditional Framework......... 505
30.1.1 Brief Review..................... 506
30.1.2 Attaching Numbers to Equations.......... 507
Contents xvii
30.2 Erroneous Beliefs....................... 509
30.2.1 Livingston Data................... 509
30.2.2 The Market and the Economy: Upwardly Biased
Covariance Estimate................. 512
30.3 Alternative Rationality-Based Models............ 513
30.3.1 Habit Formation................... 514
30.3.2 Habit Formation SDF................ 514
30.3.3 Habit Formation SDF Versus the Empirical SDF . 515
30.4 Behavioral Preferences and the Equity Premium...... 516
30.4.1 Myopic Loss Aversion................ 516
30.4.2 Transaction Utility.................. 518
30.5 Risks, Small and Large.................... 521
30.6 Summary........................... 522
VIII Future Directions and Closing Comments 523
31 Continuous Time Behavioral Equilibrium Models 525
31.1 General Structure ...................... 526
31.1.1 Continuous Time Analogue............. 527
31.1.2 Linear Risk-Tolerance Utility Function....... 529
31.1.3 Dynamics Driven by a Single Brownian Motion . . 530
31.2 Analyzing the Impact of a Public Signal.......... 533
31.2.1 Two-Investor Example When One Investor Holds
Objectively Correct Beliefs ............. 534
31.2.2 Signal Structure: General Issues........... 535
31.2.3 Continuous Time Signal Structure ......... 535
31.3 Jump Processes and Stochastic Volatility.......... 542
31.3.1 Theoretical Framework................ 544
31.3.2 Empirical Procedure................. 545
31.4 Issues Pertaining to Future Directions ........... 546
31.5 Summary........................... 550
32 Conclusion 551
32.1 Recapitulating the Main Points............... 551
32.2 Current and Future Directions................ 554
32.2.1 Issues Involving Investor Benefits.......... 554
32.2.2 Issues Involving Behavioral Preferences....... 555
32.2.3 Issues Involving Behavioral Beliefs and Behavioral
Preferences...................... 558
32.3 Final Comments....................... 560
References 563
Index 587
|
| adam_txt |
Contents
Preface to Second Edition xix
Preface to First Edition xxiii
About the Author xxix
Introduction 1
1.1 Why Read This Book?. 2
1.1.1 Value to Proponents of Traditional Asset Pricing . 2
1.1.2 Value to Proponents of Behavioral Asset Pricing . . 5
1.2 Organization: How the Ideas in This Book Tie Together . . 6
1.2.1 Heuristics and Representativeness: Experimental
Evidence. 7
1.2.2 Heuristics and Representativeness: Investor
Expectations. 7
1.2.3 Developing Behavioral Asset Pricing Models . 7
1.2.4 Heterogeneity in Risk Tolerance and Time
Discounting. 8
1.2.5 Sentiment and Behavioral SDF. 9
1.2.6 Applications of Behavioral SDF. 9
1.2.7 Behavioral Preferences. 11
1.2.8 Future Directions and Closing Comments . 13
1.3 Summary. 13
vi Contents
1 Heuristics and Representativeness:
Experimental Evidence 15
2 Representativeness and Bayes Rule: Psychological
Perspective 17
2.1 Explaining Representativeness. 18
2.2 Implications for Bayes Rule. 18
2.3 Experiment. 18
2.3.1 Three Groups. 19
2.3.2 Bayesian Hypothesis. 20
2.3.3 Results. 20
2.4 Representativeness and Prediction . 20
2.4.1 Two Extreme Cases. 22
2.4.2 Representativeness and Regression to the Mean . . 23
2.4.3 Results for the Prediction Study . 23
2.4.4 Strength of Relationship Between Signal and
Prediction. 23
2.4.5 How Regressive?. 24
2.5 Summary. 25
3 Representativeness and Bayes Rule: Economics
Perspective 27
3.1 The Grether Experiment. 27
3.1.1 Design. 27
3.1.2 Experimental Task: Bayesian Approach. 28
3.2 Representativeness. 30
3.3 Results. 30
3.3.1 Underweighting Base Rate Information. 33
3.4 Summary. 34
4 A Simple Asset Pricing Model Featuring
Representativeness 35
4.1 First Stage, Modified Experimental Structure. 36
4.2 Expected Utility Model. 36
4.2.1 Bayesian Solution . 38
4.3 Equilibrium Prices. 39
4.4 Representativeness. 40
4.5 Second Stage: Signal-Based Market Structure. 42
4.6 Sentiment, State Prices, and the Pricing Kernel. 44
4.7 Summary. 46
5 Heterogeneous Judgments in Experiments 47
5.1 Grether Experiment. 47
5.2 Heterogeneity in Predictions of GPA. 48
Contents vii
5.3 The De Bondt Experiment. 50
5.3.1 Forecasts of the S P Index: Original Study . 50
5.3.2 Replication of De Bondt Study. 56
5.3.3 Overconfidence. 58
5.4 Why Some Commit "Hot Hand" Fallacy and Others
Commit Gambler'sFallacy. 59
5.5 Summary. 61
II Heuristics and Representativeness: Investor
Expectations 63
6 Representativeness and Heterogeneous Beliefs
Among Individual Investors, Financial Executives,
and Academics 65
6.1 Individual Investors . 65
6.1.1 Bullish Sentiment and Heterogeneity. 66
6.1.2 The UBS/Gallup Survey. 67
6.1.3 Heterogeneous Beliefs. 67
6.1.4 Hot Hand Fallacy . 68
6.1.5 The Impact of Demographic Variables. 70
6.1.6 Own Experience: Availability Bias. 71
6.1.7 Do Individual Investors Bet on Trends? Perceptions
and Reactions to Mispricing. 72
6.2 The Expectations of Academic Economists. 73
6.2.1 Heterogeneous Beliefs. 74
6.2.2 Welch's 1999 and 2001 Surveys. 76
6.3 Financial Executives. 77
6.3.1 Volatility and Overconfidence. 78
6.4 Summary. 78
7 Representativeness and Heterogeneity in the Judgments
of Professional Investors 79
7.1 Contrasting Predictions: How Valid?. 79
7.2 Update to Livingston Survey . 80
7.2.1 Heterogeneity. 81
7.3 Individual Forecasting Records. 84
7.3.1 Frank Cappiello . 86
7.3.2 Ralph Acampora. 91
7.4 Gambler'sFallacy. 93
7.4.1 Forecast Accuracy. 93
7.4.2 Excessive Pessimism. 94
7.4.3 Predictions of Volatility. 94
Contents
7.5 Why Heterogeneity Is Time Varying. 97
7.5.1 Heterogeneity and Newsletter Writers. 98
7.6 Summary. 99
III Developing Behavioral Asset Pricing Models 101
8 A Simple Asset Pricing Model with Heterogeneous
Beliefs 103
8.1 A Simple Model with Two Investors . 103
8.1.1 Probabilities. 104
8.1.2 Utility Functions. 104
8.1.3 State Prices. 104
8.1.4 Budget Constraint. 105
8.1.5 Expected Utility Maximization. 105
8.2 Equilibrium Prices. 106
8.2.1 Formal Argument . 107
8.2.2 Representative Investor. 108
8.3 Fixed Optimism and Pessimism. 108
8.3.1 Impact of Heterogeneity. Ill
8.4 Incorporating Representativeness. Ill
8.5 Summary. 113
9 Heterogeneous Beliefs and Inefficient Markets 115
9.1 Defining Market Efficiency. 115
9.1.1 Riskless Arbitrage. 117
9.1.2 Risky Arbitrage . 117
9.1.3 Fundamental Value. 118
9.1.4 When n Is Nonexistent . 118
9.2 Market Efficiency and Logarithmic Utility. 119
9.2.1 Example of Market Inefficiency. 119
9.2.2 Sentiment and the Log-Pricing Kernel. 120
9.3 Equilibrium Prices as Aggregators. 122
9.4 Market Efficiency: Necessary and Sufficient Condition . . . 123
9.5 Interpreting the Efficiency Condition. 125
9.5.1 When the Market Is Naturally Efficient. 125
9.5.2 Knife-Edge Efficiency . 126
9.5.3 When the Market Is Naturally Inefficient. 128
9.6 Summary. 129
10 A Simple Market Model of Prices and Trading
Volume 131
10.1 The Model. 131
10.1.1 Expected Utility Maximization. 131
Contents ix
10.2 Analysis of Returns . 134
10.2.1 Market Portfolio. 134
10.2.2 Risk-Free Security. 135
10.3 Analysis of Trading Volume. 136
10.3.1 Theory. 137
10.4 Example . 139
10.4.1 Stochastic Processes. 140
10.4.2 Available Securities . 140
10.4.3 Initial Portfolios. 141
10.4.4 Equilibrium Portfolio Strategies. 142
10.4.5 Markov Structure, Continuation, and Asymmetric
Volatility. 146
10.5 Arbitrage. 147
10.5.1 State Prices. 148
10.6 Summary. 148
11 Efficiency and Entropy: Long-Run Dynamics 149
11.1 Introductory Example. 150
11.1.1 The Market. 151
11.1.2 Budget Share Equations. 152
11.1.3 Portfolio Relationships. 152
11.1.4 Wealth Share Equations. 153
11.2 Entropy. 155
11.3 Numerical Illustration. 156
11.4 Markov Beliefs. 157
11.5 Heterogeneous Time Preference, Entropy, and Efficiency . 158
11.5.1 Modeling Heterogeneous Rates of Time
Preference. 159
11.5.2 Market Portfolio. 160
11.5.3 Digression: Hyperbolic Discounting. 161
11.5.4 Long-Run Dynamics When Time Preference Is
Heterogeneous. 162
11.6 Entropy and Market Efficiency. 163
11.7 Summary. 166
IV Heterogeneity in Risk Tolerance and Time
Discounting 167
12 CRRA and CARA Utility Functions 169
12.1 Arrow-Pratt Measure. 169
12.2 Proportional Risk . 170
12.3 Constant Relative Risk Aversion. 170
12.3.1 Graphical Illustration. 171
12.3.2 RiskPremia. 171
x Contents
12.4 Logarithmic Utility. 172
12.4.1 Risk Premium in a Discrete Gamble. 172
12.5 CRRA Demand Function. 173
12.6 Representative Investor . 174
12.7 Example . 175
12.7.1 Aggregation and Exponentiation. 177
12.8 CARA Utility. 178
12.8.1 CARA Demand Function. 180
12.8.2 Aggregate Demand and Equilibrium. 180
12.9 Summary. 182
13 Heterogeneous Risk Tolerance and Time Preference 183
13.1 Survey Evidence. 183
13.1.1 Questions to Elicit Relative Risk Aversion. 184
13.1.2 Two Waves. 185
13.1.3 Status Quo Bias. 186
13.1.4 Risky Choice. 187
13.2 Extended Survey. 188
13.3 Time Preference. 190
13.4 Summary. 191
14 Representative Investors in a Heterogeneous CRRA
Model 193
14.1 Relationship to Representative Investor Literature. 194
14.1.1 Additional Literature . 196
14.2 Modeling Preliminaries. 197
14.3 Efficient Prices. 198
14.4 Representative Investor Characterization Theorem. 199
14.4.1 Discussion . 203
14.4.2 Nonuniqueness. 205
14.5 Comparison Example. 205
14.6 Pitfall: The Representative Investor Theorem Is False . 208
14.6.1 Argument Claiming That Theorem 14.1 Is False . . 209
14.6.2 Identifying the Flaw. 210
14.7 Summary. 210
V Sentiment and Behavioral SDF 211
15 Sentiment 213
15.1 Intuition: Kahneman's Perspective.213
15.1.1 Relationship to Theorem 14.1.214
15.1.2 Denning Market Efficiency.216
Contents xi
15.2 Sentiment. 216
15.2.1 Formal Definition. 217
15.3 Example Featuring Heterogeneous Risk Tolerance. 217
15.4 Example Featuring Log-Utility. 219
15.4.1 Representativeness: Errors in First Moments . 219
15.4.2 Overconfidence: Errors in Second Moments. 221
15.4.3 Link to Empirical Evidence. 225
15.4.4 Evidence of Clustering. 226
15.5 Sentiment as a Stochastic Process. 228
15.6 Summary. 229
16 Behavioral SDF and the Sentiment Premium 231
16.1 The SDF. 232
16.2 Sentiment and the SDF. 233
16.2.1 Example . 234
16.3 Pitfalls . 236
16.3.1 Pitfall: The Behavioral Framework Admits a
Traditional SDF. 237
16.3.2 Pitfall: Heterogeneity Need Not Imply Sentiment . 237
16.3.3 Pitfall: Heterogeneity in Risk Tolerance Is Sufficient
to Explain Asset Pricing. 238
16.4 Sentiment and Expected Returns. 240
16.4.1 Interpretation and Discussion. 243
16.4.2 Example Illustrating Theorem 16.2. 244
16.5 Entropy and Long-Run Efficiency. 244
16.5.1 Formal Argument . 245
16.6 Learning: Bayesian and Non-Bayesian. 247
16.7 Summary. 248
VI Applications of Behavioral SDF 249
17 Behavioral Betas and Mean-Variance Portfolios 251
17.1 Mean-Variance Efficiency and Market Efficiency. 251
17.2 Characterizing Mean-Variance Efficient Portfolios. 252
17.3 The Shape of Mean-Variance Returns. 254
17.4 The Market Portfolio. 257
17.5 Risk Premiums and Coskewness. 259
17.6 Behavioral Beta: Decomposition Result. 264
17.6.1 Informal Discussion: Intuition. 264
17.6.2 Formal Argument . 265
17.6.3 Example. 267
17.7 Summary. 268
xii Contents
18 Cross-Section of Return Expectations 269
18.1 Literature Review . 270
18.1.1 Winner-Loser Effect. 270
18.1.2 Book-to-Market Equity and the Winner-Loser
Effect. 271
18.1.3 January and Momentum. 272
18.1.4 General Momentum Studies. 273
18.1.5 Glamour and Value . 274
18.2 Factor Models and Risk. 275
18.3 Differentiating Fundamental Risk and Investor Error . . . 276
18.3.1 Psychology of Risk and Return. 277
18.3.2 Evidence About Judgments of Risk and Return . . 278
18.3.3 Psychology Underlying a Negative Relationship
Between Risk and Return. 279
18.4 Implications for the Broad Debate . 281
18.5 Analysts' Return Expectations . 284
18.6 How Consciously Aware Are Investors When Forming
Judgments?. 285
18.7 How Reliable Is the Evidence on Expected Returns? . 286
18.8 Alternative Theories. 288
18.8.1 The Dynamics of Expectations: Supporting Data . 291
18.9 Summary. 294
19 Testing for a Sentiment Premium 295
19.1 Diether—Malloy—Scherbina: Returns Are Negatively
Related to Dispersion . 296
19.2 AGJ: Dispersion Factor. 298
19.2.1 Basic Approach. 298
19.2.2 Factor Structure. 298
19.2.3 General Properties of the Data. 299
19.2.4 Expected Returns. 300
19.2.5 Findings . 300
19.2.6 Volatility. 301
19.2.7 Direction of Mispricing. 301
19.2.8 Opposite Signs for Short and Long Horizons . 302
19.3 Estimating a Structural SDF-Based Model. 302
19.3.1 Proxy for hZfi . 303
19.3.2 Findings . 303
19.4 Summary. 304
20 A Behavioral Approach to the Term Structure of
Interest Rates 305
20.1 The Term Structure of Interest Rates. 305
Contents xiii
20.2 Pitfall: The Bond Pricing Equation in Theorem 20.1 Is
False. 306
20.2.1 Identifying the Flaw in the Analysis . 308
20.3 Volatility. 308
20.3.1 Heterogeneous Risk Tolerance. 311
20.4 Expectations Hypothesis. 312
20.4.1 Example . 314
20.5 Summary. 315
21 Behavioral Black-Scholes 317
21.1 Call and Put Options . 317
21.2 Risk-Neutral Densities and Option Pricing. 318
21.2.1 Option Pricing Equation 1. 318
21.2.2 Option Pricing Equations 2 and 3. 320
21.3 Option Pricing Examples . 321
21.3.1 Discrete Time Example. 321
21.3.2 Continuous Time Example. 324
21.4 Smile Patterns. 327
21.4.1 Downward-Sloping Smile Patterns in the IVF
Function . 330
21.5 Heterogeneous Risk Tolerance. 332
21.6 Pitfall: Equation (21.12) Is False. 333
21.6.1 Locating the Flaw. 334
21.7 Pitfall: Beliefs Do Not Matter in Black-Scholes . 334
21.7.1 Locating the Flaw. 335
21.8 Summary. 335
22 Irrational Exuberance and Option Smiles 337
22.1 Irrational Exuberance: Brief History. 338
22.1.1 Sentiment. 340
22.2 Risk-Neutral Densities and Index Option Prices. 344
22.2.1 Butterfly Position Technique . 345
22.3 Continuation, Reversal, and Option Prices. 347
22.4 Price Pressure: Was Arbitrage Fully Carried Out?. 353
22.5 Heterogeneous Beliefs. 354
22.6 General Evidence on the Mispricing of Options . 354
22.7 Summary. 356
23 Empirical Evidence in Support of Behavioral SDF 359
23.1 Bollen-Whaley: Price Pressure Drives Smiles. 360
23.1.1 Data . 361
23.1.2 Trading Patterns. 361
23.1.3 Buying Pressure and Smile Effects. 362
xiv Contents
23.1.4 Price Pressure or Learning?. 363
23.1.5 Arbitrage Profits. 364
23.2 Han: Smile Effects, Sentiment, and Gambler's Fallacy . 364
23.2.1 Price Pressure . 365
23.2.2 Impact of a Market Drop: Gambler's Fallacy . 365
23.2.3 Impact of Sentiment. 366
23.2.4 Time-Varying Uncertainty. 366
23.3 David-Veronesi: Gambler's Fallacy and Negative Skewness 367
23.4 Jackwerth and A'it-Sahalia-Lo: Estimating Market
Risk Aversion. 368
23.4.1 Behavioral Risk-Neutral Density . 369
23.5 Rosenberg-Engle: Signature of Sentiment in the SDF . . . 371
23.5.1 Two Approaches to Estimating the EPK. 372
23.5.2 Estimating Market Risk Aversion. 372
23.5.3 Empirical Results: Estimates of SDF. 372
23.5.4 Estimates of Risk Aversion . 373
23.6 Comparing the Behavioral SDF and Empirical SDF . 374
23.6.1 Empirical Evidence for Clustering: Mode in the
Left Tail Reflecting Pessimism. 375
23.6.2 Investors and Predictions of Continuation. 377
23.6.3 Mode in the Left Tail and Crashophobia. 379
23.6.4 Time Variation in the SDF . 380
23.7 Heterogeneous Perspectives. 382
23.8 Evidence Pertaining to the Cross-Section. 384
23.8.1 Coskewness. 385
23.8.2 Sentiment Functions for Individual Securities . . . 385
23.9 Summary. 387
VII Behavioral Preferences 389
24 Prospect Theory: Introduction 391
24.1 Subcertainty, Expected Utility, and the Common
Consequence Effect. 393
24.1.1 Common Ratio Effect. 393
24.1.2 Subcertainty and Expected Utility. 394
24.1.3 Allais Paradox and the Independence Axiom . 395
24.1.4 The Isolation Effect . 397
24.1.5 Isolation and the Independence Axiom. 399
24.1.6 Loss Aversion. 399
24.1.7 Ambiguity . 400
24.2 Theory. 401
24.2.1 The Weighting Function. 401
24.2.2 Value Function. 404
Contents xv
24.2.3 Interaction Between Value Function and Weighting
Function . 405
24.2.4 Framing. 406
24.3 Original Prospect Theory and Cumulative Prospect
Theory . 407
24.3.1 Original Prospect Theory. 407
24.3.2 Comparing Original Prospect Theory and
Cumulative Prospect Theory. 410
24.4 Subtle Aspects Associated with Risk Aversion. 413
24.4.1 Caveats. 415
24.5 Generalized Utility Theories. 415
24.6 Summary. 417
25 Prospect Theory Portfolios 419
25.1 Theory . 420
25.1.1 Prospect Theory: Decision Weights. 420
25.1.2 Utility Function . 420
25.1.3 Prospect Theory Functional. 420
25.2 Prospect Theory: Indifference Map. 420
25.3 Portfolio Choice: Single Mental Account. 422
25.3.1 Exposure to Loss: Single Mental Account. 423
25.3.2 Portfolio Payoff Return: Single Mental Account . . 424
25.4 Multiple Mental Accounts: Example . 425
25.4.1 General Comments About Multiple Mental
Accounts. 427
25.5 Summary. 428
26 SP/A Theory: Introduction 429
26.1 The Basic Model. 430
26.2 An Example to Illustrate How SP/A Theory Works . 432
26.3 Summary. 436
27 SP/A-Based Behavioral Portfolio Theory 437
27.1 SP/A Efficient Frontier. 437
27.2 Example . 438
27.3 Formal Analysis . 440
27.4 Additional Comments About Theorem 27.1 . 441
27.4.1 Non-Uniform Probability Distribution . 441
27.4.2 Rank Dependence. 442
27.5 CRRA-Based SP/A Theory. 444
27.5.1 SP/A Portfolio Frontiers and U-Maximization . . . 447
27.6 Mental Accounts. 449
27.7 Implications of Accentuated Security and Potential . 451
27.8 Comparison of SP/A Theory with Cumulative
Prospect Theory. 452
xvi Contents
27.9 Real-World Portfolios and Securities. 455
27.9.1 Empirical Evidence. 455
27.9.2 Examples. 458
27.10 Summary. 459
28 Equilibrium with Behavioral Preferences 461
28.1 The Model. 462
28.2 Simple Example . 463
28.2.1 Neoclassical Case. 463
28.2.2 Prospect Theory Investors. 464
28.3 Boundary Value Property. 468
28.4 Equilibrium Pricing . 469
28.4.1 Additional Insights Regarding Convexity and
Existence. 471
28.4.2 Weighting and Heterogeneous Beliefs. 471
28.5 Portfolio Insurance. 472
28.5.1 Testable Prediction. 474
28.6 Risk and Return: Portfolio Insurance in a Mean-Variance
Example . 474
28.7 Heterogeneous Preferences and Heterogeneous Beliefs:
Equilibrium with a Mix of SP/A Investors and
EU-Investors. 478
28.7.1 Behavioral Preferences and the Signature
of Sentiment. 481
28.7.2 Further Remarks on Skewness and Coskewness . . . 482
28.8 Summary. 484
29 The Disposition Effect: Trading Behavior and Pricing 487
29.1 Psychological Basis for the Disposition Effect . 487
29.2 Evidence for the Disposition Effect. 492
29.3 Investor Beliefs. 497
29.3.1 Odean's Findings. 497
29.3.2 A Size Effect. 498
29.3.3 A Volume Effect. 499
29.4 Momentum and the Disposition Effect. 500
29.4.1 Theoretical Hypotheses . 501
29.4.2 Empirical Evidence. 502
29.4.3 Extensions. 503
29.5 Summary. 504
30 Reflections on the Equity Premium Puzzle 505
30.1 Basis for Puzzles in Traditional Framework. 505
30.1.1 Brief Review. 506
30.1.2 Attaching Numbers to Equations. 507
Contents xvii
30.2 Erroneous Beliefs. 509
30.2.1 Livingston Data. 509
30.2.2 The Market and the Economy: Upwardly Biased
Covariance Estimate. 512
30.3 Alternative Rationality-Based Models. 513
30.3.1 Habit Formation. 514
30.3.2 Habit Formation SDF. 514
30.3.3 Habit Formation SDF Versus the Empirical SDF . 515
30.4 Behavioral Preferences and the Equity Premium. 516
30.4.1 Myopic Loss Aversion. 516
30.4.2 Transaction Utility. 518
30.5 Risks, Small and Large. 521
30.6 Summary. 522
VIII Future Directions and Closing Comments 523
31 Continuous Time Behavioral Equilibrium Models 525
31.1 General Structure . 526
31.1.1 Continuous Time Analogue. 527
31.1.2 Linear Risk-Tolerance Utility Function. 529
31.1.3 Dynamics Driven by a Single Brownian Motion . . 530
31.2 Analyzing the Impact of a Public Signal. 533
31.2.1 Two-Investor Example When One Investor Holds
Objectively Correct Beliefs . 534
31.2.2 Signal Structure: General Issues. 535
31.2.3 Continuous Time Signal Structure . 535
31.3 Jump Processes and Stochastic Volatility. 542
31.3.1 Theoretical Framework. 544
31.3.2 Empirical Procedure. 545
31.4 Issues Pertaining to Future Directions . 546
31.5 Summary. 550
32 Conclusion 551
32.1 Recapitulating the Main Points. 551
32.2 Current and Future Directions. 554
32.2.1 Issues Involving Investor Benefits. 554
32.2.2 Issues Involving Behavioral Preferences. 555
32.2.3 Issues Involving Behavioral Beliefs and Behavioral
Preferences. 558
32.3 Final Comments. 560
References 563
Index 587 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Shefrin, Hersh 1948- |
| author_GND | (DE-588)122258665 |
| author_facet | Shefrin, Hersh 1948- |
| author_role | aut |
| author_sort | Shefrin, Hersh 1948- |
| author_variant | h s hs |
| building | Verbundindex |
| bvnumber | BV023474461 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4637 |
| callnumber-raw | HG4637 |
| callnumber-search | HG4637 |
| callnumber-sort | HG 44637 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 622 |
| ctrlnum | (OCoLC)316047871 (DE-599)BVBBV023474461 |
| dewey-full | 332.63221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63221 |
| dewey-search | 332.63221 |
| dewey-sort | 3332.63221 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02053nam a2200505 c 4500</leader><controlfield tag="001">BV023474461</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20210430 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080804s2008 xxud||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780123743565</subfield><subfield code="c">hardcover : alk. paper</subfield><subfield code="9">978-0-12-374356-5</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0123743567</subfield><subfield code="9">0-12-374356-7</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)316047871</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV023474461</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-92</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4637</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63221</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 622</subfield><subfield code="0">(DE-625)141669:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Shefrin, Hersh</subfield><subfield code="d">1948-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)122258665</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">A behavioral approach to asset pricing</subfield><subfield code="c">Hersh Shefrin</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam [u.a.]</subfield><subfield code="b">Acad. Press</subfield><subfield code="c">2008</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XXVII, 604 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Academic Press advanced finance series</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturverz. S. [563] - 586</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">aCapital assets pricing model</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">aRisk management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalanlage</subfield><subfield code="0">(DE-588)4073213-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Anlageverhalten</subfield><subfield code="0">(DE-588)4214003-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikoverhalten</subfield><subfield code="0">(DE-588)4050133-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Kapitalanlage</subfield><subfield code="0">(DE-588)4073213-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Anlageverhalten</subfield><subfield code="0">(DE-588)4214003-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Risikoverhalten</subfield><subfield code="0">(DE-588)4050133-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-0-08-048224-8</subfield><subfield code="w">(DE-604)BV039829993</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016656734&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016656734</subfield></datafield></record></collection> |
| id | DE-604.BV023474461 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:35:39Z |
| indexdate | 2024-07-09T21:19:36Z |
| institution | BVB |
| isbn | 9780123743565 0123743567 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016656734 |
| oclc_num | 316047871 |
| open_access_boolean | |
| owner | DE-92 DE-355 DE-BY-UBR DE-945 DE-739 DE-703 DE-384 DE-11 DE-188 |
| owner_facet | DE-92 DE-355 DE-BY-UBR DE-945 DE-739 DE-703 DE-384 DE-11 DE-188 |
| physical | XXVII, 604 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Acad. Press |
| record_format | marc |
| series2 | Academic Press advanced finance series |
| spelling | Shefrin, Hersh 1948- Verfasser (DE-588)122258665 aut A behavioral approach to asset pricing Hersh Shefrin 2. ed. Amsterdam [u.a.] Acad. Press 2008 XXVII, 604 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Academic Press advanced finance series Literaturverz. S. [563] - 586 aCapital assets pricing model aRisk management Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Risikoverhalten (DE-588)4050133-4 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Kapitalanlage (DE-588)4073213-7 s Anlageverhalten (DE-588)4214003-1 s Risikoverhalten (DE-588)4050133-4 s DE-604 Erscheint auch als Online-Ausgabe 978-0-08-048224-8 (DE-604)BV039829993 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016656734&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Shefrin, Hersh 1948- A behavioral approach to asset pricing aCapital assets pricing model aRisk management Kapitalanlage (DE-588)4073213-7 gnd Anlageverhalten (DE-588)4214003-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| subject_GND | (DE-588)4073213-7 (DE-588)4214003-1 (DE-588)4121078-5 (DE-588)4050133-4 |
| title | A behavioral approach to asset pricing |
| title_auth | A behavioral approach to asset pricing |
| title_exact_search | A behavioral approach to asset pricing |
| title_exact_search_txtP | A behavioral approach to asset pricing |
| title_full | A behavioral approach to asset pricing Hersh Shefrin |
| title_fullStr | A behavioral approach to asset pricing Hersh Shefrin |
| title_full_unstemmed | A behavioral approach to asset pricing Hersh Shefrin |
| title_short | A behavioral approach to asset pricing |
| title_sort | a behavioral approach to asset pricing |
| topic | aCapital assets pricing model aRisk management Kapitalanlage (DE-588)4073213-7 gnd Anlageverhalten (DE-588)4214003-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Risikoverhalten (DE-588)4050133-4 gnd |
| topic_facet | aCapital assets pricing model aRisk management Kapitalanlage Anlageverhalten Capital-Asset-Pricing-Modell Risikoverhalten |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016656734&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT shefrinhersh abehavioralapproachtoassetpricing |