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a Behavioral Approach Asset Pricing

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rnBehavioral finance is the study of how psychological phenomena impact financial behavior. As its title suggests, the subject of this book is the implicationsof behavioral finance for asset pricing. The long-term objective of behavioral finance is to behavioralize finance. In this vein, the objective of the book is to behavioralize asset pricing theory. Behavioralizing asset pricing theory means tracing the implications of behavioral assumptions for equilibrium prices.rnThe main pillars of pricing in neoclassical finance are the efficient market hypothesis, factor models such as the capital asset pricing model, Balck-Scholes option pricing theory, and mean-variance efficient portfolios. This book demonstrates how the main pillars of asset pricing are impacted when the traditional neoclassical assumptions are replaced by heuristics, biases, and behavioral preferences. There are several puzzles in traditional asset pricing: the equity premium puzzle, interest rate puzzle, volatility puzzle, expectations hypothesis, and pricing kernel puzzle. Throughout the book, the argument is advanced that these phenomena are puzzling because the attempts to explain them rely on traditional models in which investors are error-free. However, there is ample evidence that investors commit systematic errors that manifest themselves in the form of inefficient prices in the aggregate. Moreover, the phenomena associated with these puzzles are less puzzling, if puzzles at all, once investor errors and preferences are taken into account.

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Ketersediaan

090101963

Tersedia

Informasi Detil

Judul Seri

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No. Panggil

657.42 SHE b

Penerbit

Elsevier : United States of America., 2008

Deskripsi Fisik

xxvii, 604 p.

Bahasa

English

ISBN/ISSN

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Klasifikasi

NONE

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subyek

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Info Detil Spesifik

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Pernyataan Tanggungjawab

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Versi lain/terkait

Lampiran Berkas

Komentar

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