Empirical Asset Pricing

Empirical Asset Pricing PDF
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Size: 44.24 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 496
View: 380
Download Book

Empirical Asset Pricing

by Wayne Ferson, Empirical Asset Pricing Books available in PDF, EPUB, Mobi Format. Download Empirical Asset Pricing books, An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.




The Paradox Of Asset Pricing

The Paradox of Asset Pricing PDF
Author: Peter Bossaerts
Publisher: Princeton University Press
ISBN: 1400850665
Size: 21.77 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 192
View: 741
Download Book

The Paradox Of Asset Pricing

by Peter Bossaerts, The Paradox Of Asset Pricing Books available in PDF, EPUB, Mobi Format. Download The Paradox Of Asset Pricing books, 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.




Asset Pricing Theories

Asset Pricing Theories PDF
Author: Michael Rothschild
Publisher:
ISBN:
Size: 15.79 MB
Format: PDF, Mobi
Category : Arbitrage
Languages : en
Pages : 24
View: 4326
Download Book

Asset Pricing Theories

by Michael Rothschild, Asset Pricing Theories Books available in PDF, EPUB, Mobi Format. Download Asset Pricing Theories books, This article compares two leading models of asset pricing: the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT): I argue that while the APT is compatible with the data available for testing theories of asset pricing, the CAPM is not. In reaching this conclusion emphasis is placed on the distinction between the unconditional (relatively incomplete) information which econometricians must use to estimate asset pricing models and the conditional (complete) information which investors use in making the portfolio decisions which determine asset prices. Empirical work to date suggests that it is unlikely that the APT will produce a simple equation which explains differences in risk premium well with a few parameters. If the CAPM were correct, it would provide such an equation.




Modern Portfolio Theory The Capital Asset Pricing Model And Arbitrage Pricing Theory

Modern Portfolio Theory  the Capital Asset Pricing Model  and Arbitrage Pricing Theory PDF
Author: Diana R. Harrington
Publisher: Prentice Hall
ISBN:
Size: 25.34 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 229
View: 4886
Download Book

Modern Portfolio Theory The Capital Asset Pricing Model And Arbitrage Pricing Theory

by Diana R. Harrington, Modern Portfolio Theory The Capital Asset Pricing Model And Arbitrage Pricing Theory Books available in PDF, EPUB, Mobi Format. Download Modern Portfolio Theory The Capital Asset Pricing Model And Arbitrage Pricing Theory books,




Handbook Of The Economics Of Finance

Handbook of the Economics of Finance PDF
Author: G. Constantinides
Publisher: Elsevier
ISBN: 9780080495088
Size: 24.79 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 694
View: 7076
Download Book

Handbook Of The Economics Of Finance

by G. Constantinides, Handbook Of The Economics Of Finance Books available in PDF, EPUB, Mobi Format. Download Handbook Of The Economics Of Finance books, Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.




Volatility Analysis And Asset Pricing Of Stock Portfolios

Volatility Analysis and Asset Pricing of Stock Portfolios PDF
Author: Klaus Grobys
Publisher: BoD – Books on Demand
ISBN: 3837090493
Size: 73.14 MB
Format: PDF, Kindle
Category :
Languages : en
Pages : 140
View: 164
Download Book

Volatility Analysis And Asset Pricing Of Stock Portfolios

by Klaus Grobys, Volatility Analysis And Asset Pricing Of Stock Portfolios Books available in PDF, EPUB, Mobi Format. Download Volatility Analysis And Asset Pricing Of Stock Portfolios books, Since a vast number of investment funds are available at the market, it may be difficult for investors to figure out which fund might serve their needs the best. Especially in times where the uncertainty in the market increases, it might be even more important to figure out how investment funds response to such volatility shocks. Volatility as a risk measure may not be constant over time, but tight connected to the market risk in contrast. Hence, the exploration of the investment fund's volatility response to shocks in the stock market may give a deeper understanding of what the actual risk of an investor might be.




Asset Pricing

Asset Pricing PDF
Author: Bing Cheng
Publisher: World Scientific
ISBN: 9812832505
Size: 73.51 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 92
View: 4003
Download Book

Asset Pricing

by Bing Cheng, Asset Pricing Books available in PDF, EPUB, Mobi Format. Download Asset Pricing books, Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.




Dynamic Asset Pricing Models

Dynamic Asset pricing Models PDF
Author: Andrew Wen-Chuan Lo
Publisher: Edward Elgar Pub
ISBN: 9781847202642
Size: 70.93 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 639
View: 2409
Download Book

Dynamic Asset Pricing Models

by Andrew Wen-Chuan Lo, Dynamic Asset Pricing Models Books available in PDF, EPUB, Mobi Format. Download Dynamic Asset Pricing Models books, This major collection presents a careful selection of the most important published articles in the field of financial econometrics. Starting with a review of the philosophical background, the collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, market microstructure, Bayesian methods and other statistical tools. Andrew Lo - one of the world's leading financial economists - has written an authoritative introduction, which offers a comprehensive overview of the subject and complements his selection.




Portfolio Selection And Asset Pricing

Portfolio Selection and Asset Pricing PDF
Author: Shouyang Wang
Publisher: Springer Science & Business Media
ISBN: 3642559344
Size: 79.99 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 200
View: 5973
Download Book

Portfolio Selection And Asset Pricing

by Shouyang Wang, Portfolio Selection And Asset Pricing Books available in PDF, EPUB, Mobi Format. Download Portfolio Selection And Asset Pricing books, In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.