A Behavioral Approach to Asset Pricing

By H. Shefrin. 2005

481 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/c993e7fd8a010dba70e19a910875c33fffa9d700

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Citations in the corpus

The Puzzle of Index Option Returns (2013, methodology): “To address these issues, we compute a put-call-parity-implied interest rate.”
How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data (2011, background): “The events of 1987 and 2000 have led several well renowned financial economists to distance themselves from the traditional finance theory (Black, 1986; Shiller 1989; Thaler, 1999; Rubinstein, 2001; Shefrin, 2005).”
Managerial Attitudes and Corporate Actions (2013, background): “This is also discussed in Shefrin, 2005.”
The Less You Know, the More You Are Afraid of—A Survey on Risk Perceptions of Investment Products (2011, background): “Shefrin (2005) studied systematically how heterogeneous preferences and”
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2009, unknown): “The excess-volatility puzzle – identified by Shiller (1981) and LeRoy and Porter (1981) – points to a form of market inefficiency.”
Technical analysis: An asset allocation perspective on the use of moving averages (2009, background): “In 4 In addition, behavioral models, such as those reviewed by Shleifer (2000) and Shefrin (2008), offer support to technical analysis by theorizing certain predictable patterns of the market.”
Behavioral Finance: Quo Vadis? (2015, unknown): “Moreover, using survey expectations data, Shefrin (2005, 2008) predicted that the shape of the SDF would change during 2001-2004, with a decline in the left portion displayed in Figure 1.”
Managerial Overconfidence and Corporate Policies (2007, unknown): “19These results are in line with Deaves, Lüders, and Schröder (2005), who analyze the forecasts of German stock market forecasters and with Shefrin (2005), who reports results from the UBS survey of retail investors. adjust the standard errors with the Newey and West (1987) procedure for three…”
Investor Sentiment and Option Prices (2008, unknown): “For example, Shefrin (2005) constructs a model where the asset pricing kernel can be decomposed into a fundamental component and a sentiment component capturing the aggregate error in investor beliefs.”
It’s a Matter of Principle: The Role of Personal Values in Investment Decisions (2010, background): “Wealth-maximizing models of investment choice suggest that investors make investment decisions based on strategies for maximizing wealth (Shefrin, 2005; Tetlock and Mellers, 2002).”