简介
Summary:
Publisher Summary 1
This book offers a definitive and wide-ranging overview of developments in behavioral finance over the past ten years. In 1993, the first volume provided the standard reference to this new approach in finance--an approach that, as editor Richard Thaler put it, "entertains the possibility that some of the agents in the economy behave less than fully rationally some of the time." Much has changed since then. Not least, the bursting of the Internet bubble and the subsequent market decline further demonstrated that financial markets often fail to behave as they would if trading were truly dominated by the fully rational investors who populate financial theories. Behavioral finance has made an indelible mark on areas from asset pricing to individual investor behavior to corporate finance, and continues to see exciting empirical and theoretical advances.Advances in Behavioral Finance, Volume IIconstitutes the essential new resource in the field. It presents twenty recent papers by leading specialists that illustrate the abiding power of behavioral finance--of how specific departures from fully rational decision making by individual market agents can provide explanations of otherwise puzzling market phenomena. As with the first volume, it reaches beyond the world of finance to suggest, powerfully, the importance of pursuing behavioral approaches to other areas of economic life.The contributors are Brad M. Barber, Nicholas Barberis, Shlomo Benartzi, John Y. Campbell, Emil M. Dabora, Daniel Kent, Fran莽ois Degeorge, Kenneth A. Froot, J. B. Heaton, David Hirshleifer, Harrison Hong, Ming Huang, Narasimhan Jegadeesh, Josef Lakonishok, Owen A. Lamont, Roni Michaely, Terrance Odean, Jayendu Patel, Tano Santos, Andrei Shleifer, Robert J. Shiller, Jeremy C. Stein, Avanidhar Subrahmanyam, Richard H. Thaler, Sheridan Titman, Robert W. Vishny, Kent L. Womack, and Richard Zeckhauser.
目录
Preface Richard H. Thaler p. xi
Acknowledgments p. xix
List of Abbreviations p. xxiii
Chapter 1 A Survey of Behavioral Finance Nicholas Barberis and Richard H. Thaler p. 1
Part I Limits to Arbitrage
Chapter 2 The Limits of Arbitrage Andrei Shleifer and Robert W. Vishny p. 79
Chapter 3 How Are Stock Prices Affected by the Location of Trade? Kenneth A. Froot and Emil M. Dabora p. 102
Chapter 4 Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs Owen A. Lamont and Richard H. Thaler p. 130
Part II Stock Returns and the Equity Premium
Chapter 5 Valuation Ratios and the Long-run Stock Market Outlook: An Update John Y. Campbell and Robert J. Shiller p. 173
Chapter 6 Myopic Loss Aversion and the Equity Premium Puzzle Shlomo Benartzi and Richard H. Thaler p. 202
Chapter 7 Prospect Theory and Asset Prices Nicholas Barberis and Ming Huang and Tano Santos p. 224
Part III Empirical Studies of Overreaction and Underreaction
Chapter 8 Contrarian Investment, Extrapolation, and Risk Josef Lakonishok and Andrei Shleifer and Robert W. Vishny p. 273
Chapter 9 Evidence on the Characteristics of Cross-sectional Variation in Stock Returns Kent Daniel and Sheridan Titman p. 317
Chapter 10 Momentum Narasimhan Jegadeesh and Sheridan Titman p. 353
Chapter 11 Market Efficiency and Biases in Brokerage Recommendations Roni Michaely and Kent L. Womack p. 389
Part IV Theories of Overreaction and Underreaction
Chapter 12 A Model of Investor Sentiment Nicholas Barberis and Andrei Shleifer and Robert W. Vishny p. 423
Chapter 13 Investor Psychology and Security Market Under- and Overreaction Kent Daniel and David Hirshleifer and Avanidhar Subrahmanyam p. 460
Chapter 14 A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets Harrison Hong and Jeremy C. Stein p. 502
Part V Investor Behavior
Chapter 15 Individual Investors Brad M. Barber and Terrance Odean p. 543
Chapter 16 Naive Diversification Strategies in Defined Contribution Savings Plans Shlomo Benartzi and Richard H. Thaler p. 570
Part VI Corporate Finance
Chapter 17 Rational Capital Budgeting in an Irrational World Jeremy C. Stein p. 605
Chapter 18 Earnings Management to Exceed Thresholds Francois Degeorge and Jayendu Patel and Richard Zeckhauser p. 633
Chapter 19 Managerial Optimism and Corporate Finance J. B. Heaton p. 667
List of Contributors p. 685
Acknowledgments p. xix
List of Abbreviations p. xxiii
Chapter 1 A Survey of Behavioral Finance Nicholas Barberis and Richard H. Thaler p. 1
Part I Limits to Arbitrage
Chapter 2 The Limits of Arbitrage Andrei Shleifer and Robert W. Vishny p. 79
Chapter 3 How Are Stock Prices Affected by the Location of Trade? Kenneth A. Froot and Emil M. Dabora p. 102
Chapter 4 Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs Owen A. Lamont and Richard H. Thaler p. 130
Part II Stock Returns and the Equity Premium
Chapter 5 Valuation Ratios and the Long-run Stock Market Outlook: An Update John Y. Campbell and Robert J. Shiller p. 173
Chapter 6 Myopic Loss Aversion and the Equity Premium Puzzle Shlomo Benartzi and Richard H. Thaler p. 202
Chapter 7 Prospect Theory and Asset Prices Nicholas Barberis and Ming Huang and Tano Santos p. 224
Part III Empirical Studies of Overreaction and Underreaction
Chapter 8 Contrarian Investment, Extrapolation, and Risk Josef Lakonishok and Andrei Shleifer and Robert W. Vishny p. 273
Chapter 9 Evidence on the Characteristics of Cross-sectional Variation in Stock Returns Kent Daniel and Sheridan Titman p. 317
Chapter 10 Momentum Narasimhan Jegadeesh and Sheridan Titman p. 353
Chapter 11 Market Efficiency and Biases in Brokerage Recommendations Roni Michaely and Kent L. Womack p. 389
Part IV Theories of Overreaction and Underreaction
Chapter 12 A Model of Investor Sentiment Nicholas Barberis and Andrei Shleifer and Robert W. Vishny p. 423
Chapter 13 Investor Psychology and Security Market Under- and Overreaction Kent Daniel and David Hirshleifer and Avanidhar Subrahmanyam p. 460
Chapter 14 A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets Harrison Hong and Jeremy C. Stein p. 502
Part V Investor Behavior
Chapter 15 Individual Investors Brad M. Barber and Terrance Odean p. 543
Chapter 16 Naive Diversification Strategies in Defined Contribution Savings Plans Shlomo Benartzi and Richard H. Thaler p. 570
Part VI Corporate Finance
Chapter 17 Rational Capital Budgeting in an Irrational World Jeremy C. Stein p. 605
Chapter 18 Earnings Management to Exceed Thresholds Francois Degeorge and Jayendu Patel and Richard Zeckhauser p. 633
Chapter 19 Managerial Optimism and Corporate Finance J. B. Heaton p. 667
List of Contributors p. 685
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