Behavioral Finance

Inhaltsverzeichnis

Preface xi

Introduction 1

Part I Introduction to Behavioral Finance

Chapter 1 What is the Efficient Market Hypothesis? 5

Information and the Efficient Market Hypothesis 6

Random Walk, the Martingale Hypothesis, and the EMH 8

False Evidence against the EMH 11

What Does It Mean to Disagree with EMH? 13

Chapter 2 The EMH and the "Market Model" 15

Risk and Return--the Simplest View 15

The Capital Asset Pricing Model (CAPM) 18

So, What is the Market Model? 23

Chapter 3 The Forerunners to Behavioral Finance 25

The Folklore of Wall Street Traders 26

The Birth of Value Investing: Graham and Dodd 28

Financial News in a World of Ubiquitous Television and Internet 29

Part II Noise Traders

Chapter 4 Noise Traders and the Law of One Price 33

The Law of One Price and the Case of Fungibility 33

Noise 38

Chapter 5 The Shleifer Model of Noise Trading 43

The Key Components of the Shleifer Model 44

Results 49

Why the Shleifer Model is Important 50

Resolving the Limits to Arbitrage Dispute 51

Chapter 6 Noise Trading Feedback Models 53

The Hirshleifer Model 53

The Subrahmanyam-Titman Model 58

Conclusion 62

Chapter 7 Noise Traders as Technical Traders 65

Technical Traders as Noise Traders 67

Herd Instinct Models 72

Conclusion 76

Part III: Anomalies

Chapter 8 The Rational Man 81

Consumer Choice with Certainty 81

Consumer Choice with Uncertainty 84

The Allais Paradox 90

Conclusion 92

Chapter 9 Prospect Theory 93

The Reference Point 93

The S-Curve 94

Loss Aversion 96

Prospect Theory in Practice 98

Drawbacks of Prospect Theory 98

Conclusion 100

Chapter 10 Perception Biases 101

Saliency 101

Framing 103

Anchoring 106

Sunk Cost Bias 108

Conclusion 109

Chapter 11 Inertial Effects 111

Endowment Effect 111

Status Quo Effect 116

Disposition Effect 119

Conclusion 120

Chapter 12 Causality and Statistics 123

Representativeness 123

Conjunction Fallacy 127

Reading into Randomness 129

Small Sample Bias 131

Probability Neglect 133

Conclusion 134

Chapter 13 Illusions 135

Illusion of Talent 135

Illusion of Skill 138

Illusion of Superiority 139

Illusion of Validity 141

Conclusion 142

Part IV Serial Correlation

Chapter 14 Predictability of Stock Prices: Fama-French Leads the Way 147

Testing the Capital Asset Pricing Model 147

A Plug for Value Investing 149

Mean Reversion - The DeBondt-Thaler Research 151

Why Fama-French is a Milestone for Behavioral Finance 152

Chapter 15 Fama French and Mean Reversion: Which Is It? 155

The Month of January 155

Is This Just About Price? 157

The Over-reaction Theme 157

Lakonishok, Shleifer and Vishny (1994) on Value Versus Growth 158

Is Over-reaction Nothing More Than a 'Small Stock' Effect? 159

Daniel and Titman on Unpriced Risk in Fama and French 164

Summing Up the Contrarian Debate 165

Chapter 16 Short Term Momentum 167

Price and Earnings Momentum 167

Earnings Momentum - Ball and Brown 168

Measuring Earnings Surprises 170

Why Does It Matter Whether Momentum is Price or Earnings Based? 173

Hedge Funds and Momentum Strategies 174

Pricing or Earnings Momentum - Are They Real and Do They Matter? 174

Chapter 17 Calendar Effects 177

January Effects 178

The Other January Effect 180

The Weekend Effect 181

Preholiday Effects 182

Sullivan, Timmermann, and White183

Conclusion 184

Part V Other Topics

Chapter 18 The Equity Premium Puzzle 187

Mehra and Prescott (1985) 187

What about Loss Aversion? 190

Could This Be Survivor Bias? 191

Other Explanations 192

Are Equities Always the Best Portfolio for the Long Run? 193

Is The Equity Premium Resolved? 194

Chapter 19 Liquidity 195

A Securities Market is a Bid-Ask Market 196

Measuring Liquidity 197

Is Liquidity a Priced Risk for Common Stocks? 199

Significance of Liquidity Research 200

Chapter 20 Neuroeconomics 201

Capuchin Monkeys 201

Innateness Versus Culture 203

Decisions Are Made by the Brain 203

Decisions versus Outcomes 205

Neuraleconomic Modeling 206

More Complicated Models of Brain Activity 208

The Kagan Critique 208

Conclusion 209

Chapter 21 Experimental Economics 211

Bubble Experiments 212

Endowment Effect and Status Quo Bias 215

Calendar Effects 216

Conclusion 216

Conclusion: And The Winner Is? 217

The Semi-Strong Hypothesis - Prices Accurately Summarize All Known Public Information 217

Can Prices Change if Information Doesn't Change? 219

Is the Law of One Price Valid? 220

Three Research Agendas 221

The Critics Hold the High Ground 223

What Have We Learned? 223

Where Do We Go From Here? (What Have We Not Learned?) 227

A Final Thought 230

Index 231

Behavioral Finance

Understanding the Social, Cognitive, and Economic Debates

Buch (Gebundene Ausgabe, Englisch)

Fr.123.00

inkl. gesetzl. MwSt.

Behavioral Finance

Ebenfalls verfügbar als:

Gebundenes Buch

Gebundenes Buch

ab Fr. 123.00
eBook

eBook

ab Fr. 60.00

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

08.03.2013

Verlag

John Wiley & Sons, Ltd.

Seitenzahl

256

Maße (L/B/H)

23.5/15.7/1.8 cm

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

08.03.2013

Verlag

John Wiley & Sons, Ltd.

Seitenzahl

256

Maße (L/B/H)

23.5/15.7/1.8 cm

Gewicht

528 g

Auflage

1. Auflage

Reihe

Wiley Finance Editions

Sprache

Englisch

ISBN

978-1-118-30019-0

Das meinen unsere Kund*innen

0.0

0 Bewertungen

Informationen zu Bewertungen

Zur Abgabe einer Bewertung ist eine Anmeldung im Kund*innenkonto notwendig. Die Authentizität der Bewertungen wird von uns nicht überprüft. Wir behalten uns vor, Bewertungstexte, die unseren Richtlinien widersprechen, entsprechend zu kürzen oder zu löschen.

Verfassen Sie die erste Bewertung zu diesem Artikel

Helfen Sie anderen Kund*innen durch Ihre Meinung

Erste Bewertung verfassen

Unsere Kund*innen meinen

0.0

0 Bewertungen filtern

Die Leseprobe wird geladen.
  • Behavioral Finance
  • Preface xi

    Introduction 1

    Part I Introduction to Behavioral Finance

    Chapter 1 What is the Efficient Market Hypothesis? 5

    Information and the Efficient Market Hypothesis 6

    Random Walk, the Martingale Hypothesis, and the EMH 8

    False Evidence against the EMH 11

    What Does It Mean to Disagree with EMH? 13

    Chapter 2 The EMH and the "Market Model" 15

    Risk and Return--the Simplest View 15

    The Capital Asset Pricing Model (CAPM) 18

    So, What is the Market Model? 23

    Chapter 3 The Forerunners to Behavioral Finance 25

    The Folklore of Wall Street Traders 26

    The Birth of Value Investing: Graham and Dodd 28

    Financial News in a World of Ubiquitous Television and Internet 29

    Part II Noise Traders

    Chapter 4 Noise Traders and the Law of One Price 33

    The Law of One Price and the Case of Fungibility 33

    Noise 38

    Chapter 5 The Shleifer Model of Noise Trading 43

    The Key Components of the Shleifer Model 44

    Results 49

    Why the Shleifer Model is Important 50

    Resolving the Limits to Arbitrage Dispute 51

    Chapter 6 Noise Trading Feedback Models 53

    The Hirshleifer Model 53

    The Subrahmanyam-Titman Model 58

    Conclusion 62

    Chapter 7 Noise Traders as Technical Traders 65

    Technical Traders as Noise Traders 67

    Herd Instinct Models 72

    Conclusion 76

    Part III: Anomalies

    Chapter 8 The Rational Man 81

    Consumer Choice with Certainty 81

    Consumer Choice with Uncertainty 84

    The Allais Paradox 90

    Conclusion 92

    Chapter 9 Prospect Theory 93

    The Reference Point 93

    The S-Curve 94

    Loss Aversion 96

    Prospect Theory in Practice 98

    Drawbacks of Prospect Theory 98

    Conclusion 100

    Chapter 10 Perception Biases 101

    Saliency 101

    Framing 103

    Anchoring 106

    Sunk Cost Bias 108

    Conclusion 109

    Chapter 11 Inertial Effects 111

    Endowment Effect 111

    Status Quo Effect 116

    Disposition Effect 119

    Conclusion 120

    Chapter 12 Causality and Statistics 123

    Representativeness 123

    Conjunction Fallacy 127

    Reading into Randomness 129

    Small Sample Bias 131

    Probability Neglect 133

    Conclusion 134

    Chapter 13 Illusions 135

    Illusion of Talent 135

    Illusion of Skill 138

    Illusion of Superiority 139

    Illusion of Validity 141

    Conclusion 142

    Part IV Serial Correlation

    Chapter 14 Predictability of Stock Prices: Fama-French Leads the Way 147

    Testing the Capital Asset Pricing Model 147

    A Plug for Value Investing 149

    Mean Reversion - The DeBondt-Thaler Research 151

    Why Fama-French is a Milestone for Behavioral Finance 152

    Chapter 15 Fama French and Mean Reversion: Which Is It? 155

    The Month of January 155

    Is This Just About Price? 157

    The Over-reaction Theme 157

    Lakonishok, Shleifer and Vishny (1994) on Value Versus Growth 158

    Is Over-reaction Nothing More Than a 'Small Stock' Effect? 159

    Daniel and Titman on Unpriced Risk in Fama and French 164

    Summing Up the Contrarian Debate 165

    Chapter 16 Short Term Momentum 167

    Price and Earnings Momentum 167

    Earnings Momentum - Ball and Brown 168

    Measuring Earnings Surprises 170

    Why Does It Matter Whether Momentum is Price or Earnings Based? 173

    Hedge Funds and Momentum Strategies 174

    Pricing or Earnings Momentum - Are They Real and Do They Matter? 174

    Chapter 17 Calendar Effects 177

    January Effects 178

    The Other January Effect 180

    The Weekend Effect 181

    Preholiday Effects 182

    Sullivan, Timmermann, and White183

    Conclusion 184

    Part V Other Topics

    Chapter 18 The Equity Premium Puzzle 187

    Mehra and Prescott (1985) 187

    What about Loss Aversion? 190

    Could This Be Survivor Bias? 191

    Other Explanations 192

    Are Equities Always the Best Portfolio for the Long Run? 193

    Is The Equity Premium Resolved? 194

    Chapter 19 Liquidity 195

    A Securities Market is a Bid-Ask Market 196

    Measuring Liquidity 197

    Is Liquidity a Priced Risk for Common Stocks? 199

    Significance of Liquidity Research 200

    Chapter 20 Neuroeconomics 201

    Capuchin Monkeys 201

    Innateness Versus Culture 203

    Decisions Are Made by the Brain 203

    Decisions versus Outcomes 205

    Neuraleconomic Modeling 206

    More Complicated Models of Brain Activity 208

    The Kagan Critique 208

    Conclusion 209

    Chapter 21 Experimental Economics 211

    Bubble Experiments 212

    Endowment Effect and Status Quo Bias 215

    Calendar Effects 216

    Conclusion 216

    Conclusion: And The Winner Is? 217

    The Semi-Strong Hypothesis - Prices Accurately Summarize All Known Public Information 217

    Can Prices Change if Information Doesn't Change? 219

    Is the Law of One Price Valid? 220

    Three Research Agendas 221

    The Critics Hold the High Ground 223

    What Have We Learned? 223

    Where Do We Go From Here? (What Have We Not Learned?) 227

    A Final Thought 230

    Index 231