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Title: Inefficient Markets: An Introduction to Behavioral Finance by Andrei Shleifer ISBN: 0-19-829227-9 Publisher: Oxford University Press Pub. Date: August, 2000 Format: Paperback Volumes: 1 List Price(USD): $24.95 |
Average Customer Rating: 3.75 (8 reviews)
Rating: 4
Summary: A good intro to Behavioral Finance
Comment: Markets are not efficient in part because Investor Sentiment is a strong factor creating momentum (either upward or downward trend, whether sentiment is positive or negative). Also, arbitrage is very weak, as there are no proper securities substitutes, shorting the indexes is too risky. The "Noise Trader Risk" is too great. Meaning equity values may continue to diverge long enough for the arbitrageurs to loose their shirt betting on convergence. The investor type is a very important characteristic to factor. This explains the close end fund puzzle. The discount on closed end fund tracks the fate of small cap stocks. When small cap stocks do poorly, the discount on closed end funds deepens. This is because both investments are dominated by the same type of investors: individuals - small investors. Thus, both investment types are subject to small investors' sentiments.
Rating: 5
Summary: Important Counterpoint
Comment: I want to believe in efficient markets, and perhaps the markets are effiecient in the long run, but in the short run, they can be very ineffiecient. In the US treasury market where prices are posted and transparent and pricing is well-understood, the markets appear to behave efficiently, but even these markets experience distortions and manipulation.
In the exponentially growing credit derivatives market, the market appears very inefficient. Information on documentation and pricing is not at all transparent, and information requires time and work to obtain. In a paradigm shift, it has become a very important product in a very short time, and the market in these products is inefficient, and some of that is due to exogenous variables delibertately introduced by the people who trade the market. That type of structural risk is not addressed in this book.
Rating: 3
Summary: Too much maths but interesting interpretation
Comment: There is too much maths in the book. However, the comments and interpretation on various models are very interesting. The authour distinguish between arbitrageurs and noise traders. He also give us a theory of substituability which is interesting but inapplicable in reality. Too much theory also with a lot of hypothesis that are not respected in real markets.
I was looking more for a book on investment psychology and I was disappointed.
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Title: Advances in Behavioral Finance by Richard H. Thaler ISBN: 0871548445 Publisher: Russell Sage Foundation Pub. Date: June, 1993 List Price(USD): $21.95 |
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Title: Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing by Hersh Shefrin ISBN: 0195161211 Publisher: Oxford University Press Pub. Date: August, 2002 List Price(USD): $39.95 |
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Title: Choices, Values, and Frames by Daniel Kahneman, Amos Tversky ISBN: 0521627494 Publisher: Cambridge University Press Pub. Date: 25 September, 2000 List Price(USD): $45.00 |
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Title: Irrational Exuberance by Robert J. Shiller ISBN: 0767907183 Publisher: Broadway Pub. Date: 10 April, 2001 List Price(USD): $15.95 |
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Title: The Winner's Curse by Richard H. Thaler ISBN: 0691019347 Publisher: Princeton Univ Pr Pub. Date: 10 January, 1994 List Price(USD): $18.95 |
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