Behavioral finance, Volume 1
Behavioral finance is the study of how psychology affects financial decision making and financial markets. A valuable resource for both academics and practitioners, this authoritative collection brings together the main works in both psychology and finance, dealing with the debate between proponents of the behavioral school and advocates of the efficient market school. The first volume contains works written by leading psychologists that underlie behavioral finance, focusing on general issues in asset pricing theory, and the studies on over-reaction and under-reaction. The second volume contains key works that develop and extend these themes. Topics include the psychology of prediction, reactions to corporate announcements, the term structure of interest rates, the equity premium, and options prices. The final volume is devoted to the psychology of decisions by individuals, both investors and corporate managers.
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Hersh Shefrin and Meir Statman 1994 Behavioral Capital Asset
Lawrence Blume and David Easley 1992 Evolution and Market
Eugene F Fama and Kenneth R French 1996 Multifactor
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abnormal returns Amos Tversky analysis Andrei Shleifer anomalies arbitrage arbitrageurs asset pricing autocorrelations average returns base rate Bayesian BE/ME behavior behavioral finance beliefs beta bias biases Bondt and Thaler book-to-market CAPM companies confidence contrarian correlation covariance decile dividend earnings effect equation equilibrium equity errors estimates evaluation event evidence excess returns expected returns factor loadings Fama Fama and French Financial Economics firms hypothesis ICAPM implies information traders investment investors January Jegadeesh Journal of Finance judgments Kahneman Lakonishok losers market efficiency market portfolio market value mispricing momentum traders months negative noise traders NYSE overconfidence overreaction Panel percent performance positive posterior posterior probability prediction prior probability Psychology ratio regression risk premium sample Section selling Shefrin Shleifer short selling signal Slovic statistical Statman stock market stock prices stock returns strategies subjects Table Theorem theory three-factor Titman Tobin's q Tversky underreaction variables volatility weight winners zero