The Structure of a Behavioral Revolution

Abstract

This book represents one of the first two volumes in the series, “Quantitative Perspectives on Behavioral Economics and Finance.” Its companion volume, Postmodern Portfolio Theory: Navigating Abnormal Markets and Investor Behavior, addresses leading departures from the putative efficiency of financial markets.1 Intense pressure on the conventional capital asset pricing model gave rise to theoretical innovations such as Eugene Fama and Kenneth French’s three-factor model. Postmodern Portfolio Theory traces this story through the four statistical moments of the distribution of financial returns: mean, variance, skewness, and kurtosis.