Literature Review of Heterogeneity
A Representative Trader Characterization
The Term Structure of Interest Rates
Risk-neutral Densities and Option Pricing
Contrasting Heterogeneity in Beliefs With Heterogeneity in Risk Tolerance
On Kernels and Sentiment
References R-Z
Roberds, W. and C. Whiteman, 1997. “Endogenous Term Premia and Anomalies in the Term Structure of Interest Rates: Explaining the Predictability Smile”, working paper Federal Reserve Bank of Atlanta.
Rubinstein, M., 1973. “The Fundamental Theorem of Parameter-Preference Security Valuation,” Journal of Financial and Quantitative Analysis, 8, 61-69.
Rubinstein, M., 1974. “An Aggregation Theorem for Security Markets,” Journal of Financial Economics, v1(3), 225-244.
Rubinstein, M., 1976. “The Valuation of Uncertain Income Streams and the Pricing of
Options,” Bell Journal of Economics, 7, 407-425.
Rubinstein, M., 1985. “Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978,” Journal of Finance, 40, 455-480.
Rubinstein, M., 1994. “Implied Binomial Trees,” Journal of Finance, 49, 771-818.
Shefrin, H., 1984. “Inferior Forecasters, Cycles, and the Efficient-Markets Hypothesis: A Comment”. Journal of Political Economy, Vol. 92, pp. 156-161.
Shefrin, H., 1999. “Irrational Exuberance and Option Smiles.” Financial Analysts Journal, November/December, 91-103.
Shefrin, H. AndM. Statman, 1989. “Introducing Prospect Theory into General Equilibrium: Implications for CAPM and Portfolio Insurance.” Working paper, Santa Clara University.
Shefrin, H. And M. Statman, 1994. “Behavioral Capital Asset Pricing Theory,” Journal of Financial and Quantitative Analysis 29, 323-349.
Shefrin, H. And M. Statman, 2000. “Behavioral Portfolio Theory,” Journal of Financial and Quantitative Analysis 35, 127-151.
Shiller, R., 1981. “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends,” reprinted as Ch. 4 in Advances in Behavioral Finance, R. Thaler, ed., Russell
Sage Foundation, New York, NY.
Shiller, R., 1990. “The Term Structure of Interest Rates,” in Friedman, B. and F. Hahn, eds., Handbook of Monetary Economics. Volume 1, Amsterdam: North Holland, 627-722.
Shiller, R., 2000. Irrational Exuberance, Princeton: Princeton University Press.
Siegal, J. and R. Thaler, 1997. “The Equity Premium Puzzle,” Journal of Economics Perspectives, 11,1: 191-200.
Slovic, P., 1987. “Perception of Risk,” Science 236, 280-285.
Stein, J., 1989. “Overreactions in the Options Market,” Journal of Finance 44, 1011-1023.
Treynor, J., 1998. “Bulls, Bears, and Market Bubbles,” Financial Analysts Journal
Treynor, J., 2001. “The Canonical Market Bubble,” mimeo
Tversky, A. and D. Kahneman, 1971. “Belief in the Law of Small Numbers,” Psychological Bulletin, 105-110.
Tversky, A. and D. Kahneman, 1974. “Judgment Under Uncertainty: Heuristics and Biases,” Science, 185, pp. 1124-1131.
Wang, J. 1996. “The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors”, Journal of Financial Economics, 41, 75-110.
Whitelaw, R., 2000. “Stock Market Risk and Return: An Equilibrium Approach,” Review of Financial Studies, Vol. 13, No. 3, 521-547.
Prof. Hersh Shefrin
On Kernels and Sentiment
The paper analyzes the manner in which sentiment affects the pricing kernel. Sentiment is another term for traders’ errors. The central question of the paper is: How can the concept of sentiment be formally defined so as to identify the manner in which traders’ errors are manifest in the pricing kernel?
Prof. Hersh Shefrin