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Risk, Exuberance, and Abnormal Markets
Authors: James Ming Chen
Explains how investor behavior affects financial economicsTraces market momentum, irrational exuberance, and speculative bubbles to cognitive biases
Reconciles mathematical finance with abnormal markets and irrational investors
This book explains how investor behavior, from mental accounting to the combustible interplay of hope and fear, affects financial economics. The transformation of portfolio theory begins with the identification of anomalies. Gaps in perception and behavioral departures from rationality spur momentum, irrational exuberance, and speculative bubbles. Behavioral accounting undermines the rational premises of mathematical finance. Assets and portfolios are imbued with “affect.” Positive and negative emotions warp investment decisions. Whether hedging against intertemporal changes in their ability to bear risk or climbing a psychological hierarchy of needs, investors arrange their portfolios and financial affairs according to emotions and perceptions. Risk aversion and life-cycle theories of consumption provide possible solutions to the equity premium puzzle, an iconic financial mystery. Prospect theory has questioned the cogency of the efficient capital markets hypothesis. Behavioral portfolio theory arises from a psychological account of security, potential, and aspiration.
Table of contents
Front Matter
The Structure of a Behavioral Revolution
Mental Accounting, Emotional Hierarchies, and Behavioral Heuristics
Higher-Moment Capital Asset Pricing and Its Behavioral Implications
Tracking the Low-Volatility Anomaly Across Behavioral Space
The Intertemporal Capital Asset Pricing Model: Hedging Investment Risk Across Time
Risk Aversion
The Equity Risk Premium and the Equity Premium Puzzle
Prospect Theory
Specific Applications of Prospect Theory to Behavioral Finance
Beyond Hope and Fear:Behavioral Portfolio Theory
Behavioral Gaps Between Hypothetical Investment Returns and Actual Investor Returns
Irrational Exuberance: Momentum Crashes and Speculative Bubbles
The Monster and the Sleeping Queen
Back Matter
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