Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Market Efficiency<br />
Sentiment Λ = 0<br />
The market is efficient when the<br />
representative trader, aggregating the<br />
beliefs of all traders, holds objective<br />
beliefs.<br />
<br />
and<br />
i.e., efficiency iff P R = Π<br />
When all investors hold objective beliefs<br />
Φ = (P R /Π) (δ R / δ R , Π ) = 1<br />
Λ = ln(Φ) = 0<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
17