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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Oscillating SDF<br />
<br />
<br />
The general<br />
oscillating shape is<br />
similar to the U-<br />
shaped at the left,<br />
and deviates at the<br />
right.<br />
The market and<br />
coskewness are<br />
<strong>pricing</strong> factors, but<br />
there are other<br />
factors.<br />
1.2<br />
1.15<br />
1.1<br />
1.05<br />
1<br />
0.95<br />
0.9<br />
0.85<br />
0.8<br />
96%<br />
97%<br />
97%<br />
<strong>Behavioral</strong> SDF vs Traditional SDF<br />
<strong>Behavioral</strong> SDF<br />
Traditional <strong>Neoclassical</strong> SDF<br />
98%<br />
99%<br />
100%<br />
101%<br />
102%<br />
103%<br />
103%<br />
104%<br />
Aggregate Consumption Growth Rate g (Gross)<br />
105%<br />
106%<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
48
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