Shefrin - Behavioral & Neoclassical asset pricing theories - 2008

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Progress Since BAAP 1e Neoclassical asset pricing theorists are beginning to build behavioural SDFbased models. Jouini-Napp (2007) Dumas-Kurshev-Uppal (forthcoming) Bakshi-Wu (2006) Behavioural asset pricing theorists moving to recognition of SDF-based behavioural approach. Baker-Wurgler (2007) Copyright Hersh Shefrin 2008 57
Summary Comprehensive SDF-based behavioural asset pricing model brings together the best of what neoclassical and behavioural asset pricing has to offer. Behavioural beliefs, behavioural preferences, neoclassical beliefs, neoclassical preferences. Markets aggregate pdfs, not moments. Behavioural SDF-based theory predicts how shape of SDF reflects behavioural traits of investors. Copyright Hersh Shefrin 2008 58
Page 1 and 2:
Behavioural and Neoclassical Asset
Page 3 and 4:
Neoclassical Asset Pricing Theory
Page 5 and 6:
Weaknesses in Behavioural Asset Pri
Page 7 and 8: BAAP 2e The rest of my talk will d
Page 9 and 10: Heterogeneity is Behavioural Challe
Page 11 and 12: Representative Investor Models Man
Page 13 and 14: Simple Example of T14.1 Errors in F
Page 15 and 16: Defining Sentiment Intuitively In
Page 17 and 18: Formally Defining Sentiment Λ Gene
Page 19 and 20: When is Sentiment = 0? Consider th
Page 21 and 22: 106.19% 105.82% 105.46% Shape of Se
Page 23 and 24: 106.19% 105.82% 105.46% 105.10% 104
Page 25 and 26: Mistakes About 2 nd Moments Suppos
Page 27 and 28: 106.19% Mix of Underconfident Pessi
Page 29 and 30: Histogram Return Expectations Decem
Page 31 and 32: Pricing Kernel (SDF) Stochastic di
Page 33 and 34: 106.19% 105.82% 105.46% 105.10% 104
Page 35 and 36: Fundamental Theorem for U-shaped Ca
Page 37 and 38: Market Prices Reflect Both Fundamen
Page 39 and 40: Aït-Sahalia - Lo’s SDF Estimate
Page 41 and 42: Dittmar (2002) Human Capital Copyri
Page 43 and 44: Barone Adesi- Engle-Mancini (2008)
Page 45 and 46: Relationship Between SDF and Mean-V
Page 47 and 48: MV Function ∼ Quadratic 2-factor
Page 49 and 50: Oscillating SDF The general oscil
Page 51 and 52: Additional Explanatory Power CA
Page 53 and 54: My prediction is that asset pricing
Page 55 and 56: SP/A Focuses on Hope and Fear Affec
Page 57: SP/A “Sentiment” with Aspiratio
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Shefrin - Behavioral & Neoclassical asset pricing theories - 2008

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