Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
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Pricing Kernel (SDF)<br />
Stochastic discount factor is a state<br />
price per unit probability.<br />
SDF version 1 M = ν/Π<br />
SDF version 2 M = ν/P R<br />
Both different routes to studying the<br />
effect of sentiment Λ on prices.<br />
But route 2, using P R , leads to a<br />
neoclassical, downward sloping SDF<br />
without the lumps and bumps.<br />
SDF version 2 M = ν/P R<br />
41<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong>