Static Asset Pricing Models

Static Asset pricing Models PDF Book Detail:
Author: Andrew Wen-Chuan Lo
Publisher: Edward Elgar Pub
ISBN:
Size: 30.63 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 647
View: 5217

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Book Description: Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.

The Paradox Of Asset Pricing

The Paradox of Asset Pricing PDF Book Detail:
Author: Peter Bossaerts
Publisher: Princeton University Press
ISBN: 1400850665
Size: 54.14 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 192
View: 4243

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Book Description: Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation. Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance. This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.

Economic Studies On Food Agriculture And The Environment

Economic Studies on Food  Agriculture  and the Environment PDF Book Detail:
Author: Maurizio Canavari
Publisher: Springer Science & Business Media
ISBN: 1461506093
Size: 33.39 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 369
View: 1206

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Book Description: This book contains a selection of the papers presented at the Joint Conference on Food, Agriculture, and the Environment, which was held in Bologna, Italy, on June 12-14, 2001. This was the seventh gathering of a biennal meeting born from a cooperation agreement between US and Italian academic and research institutions. This round of the Conference was organized in the Faculty of Agriculture in Bologna by the Dept. of Agricultural Economics and Engineering (DEIAgra) and the CNR Land and Agri-System Management Research Centre (GeST A-CNR) of Bologna. There were two main reasons for the choice of this location: fIrst, the Conference was dedicated to Maurizio Grillenzoni and Franco Alvisi, two colleagues and friends who passed away in recent years, and who committed themselves and played an important role in developing the collaboration agreement and promoting the past Conferences; second, in the year 2000 the Faculty of Agriculture in Bologna celebrated its fIrst centennial, and this Con ference was part of a wide set of events organized to highlight the relevant role of the Faculty in the research activity, both at an Italian and international level. The Conference papers were articulated both in plenary and concurrent sessions, dealing with key topics for agricultural economists. A structure similar to the Conference was adopted for grouping the papers into the four sections contained in this book: • food, nutrition, and quality, focusing i. e.

Intertemporal Asset Pricing

Intertemporal Asset Pricing PDF Book Detail:
Author: Bernd Meyer
Publisher: Springer Science & Business Media
ISBN: 3642586724
Size: 15.15 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 287
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Book Description: In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.

Empirical Dynamic Asset Pricing

Empirical Dynamic Asset Pricing PDF Book Detail:
Author: Kenneth J. Singleton
Publisher: Princeton University Press
ISBN: 1400829232
Size: 43.61 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 496
View: 931

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Book Description: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.

Continuous Time Asset Pricing Theory

Continuous Time Asset Pricing Theory PDF Book Detail:
Author: Robert A. Jarrow
Publisher: Springer
ISBN: 3319778218
Size: 36.68 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 448
View: 6908

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Book Description: Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD–level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the Black–Scholes–Merton, the Heath–Jarrow–Morton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds.

Liquidity And Asset Prices

Liquidity and Asset Prices PDF Book Detail:
Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Size: 32.66 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 96
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Book Description: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Dynamic Asset Pricing Models

Dynamic Asset pricing Models PDF Book Detail:
Author: Andrew Wen-Chuan Lo
Publisher: Edward Elgar Pub
ISBN: 9781847202642
Size: 59.69 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 639
View: 2568

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Book Description: Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.

Risk Tolerance In Financial Decision Making

Risk Tolerance in Financial Decision Making PDF Book Detail:
Author: C. Lucarelli
Publisher: Springer
ISBN: 023030382X
Size: 73.47 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 269
View: 569

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Book Description: This book sheds light on the emotional side of risk taking behaviour using an innovative cross-disciplinary approach, mixing financial competences with psychology and affective neuroscience. In doing so, it shows the implications for market participants and regulators in terms of transparency and communication between intermediaries and customers.