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Author : Maria G. Vassalou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (62 download)
Download or read book A Test of Alternative International Asset Pricing Models written by Maria G. Vassalou and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maria Vassalou
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 ( download)
Download or read book Tests of Alternative International Asset Pricing Models written by Maria Vassalou and published by . This book was released on 1995 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pao Lun Cheng
Publisher : Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (239 download)
Download or read book An Alternative Test of the Capital Asset Pricing Model written by Pao Lun Cheng and published by Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University. This book was released on 1978 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Wen-Chuan Lo
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 680 pages
Book Rating : 4.3/5 ( download)
Download or read book Static Asset-pricing Models written by Andrew Wen-Chuan Lo and published by Edward Elgar Publishing. This book was released on 2007 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Magnus Dahlquist
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.X/5 (6 download)
Download or read book An Evaluation of International Asset Pricing Models written by Magnus Dahlquist and published by . This book was released on 2002 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chiung-Min Tsai
Publisher :
ISBN 13 :
Total Pages : 282 pages
Book Rating : 4.:/5 (644 download)
Download or read book Alternative Dynamic Capital Asset Pricing Models written by Chiung-Min Tsai and published by . This book was released on 2005 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Jonathan B. Berk
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (93 download)
Download or read book Assessing Asset Pricing Models Using Revealed Preference written by Jonathan B. Berk and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new method of testing asset pricing models that does not rely on prices and returns but on quantities (flows) instead. Under the assumption that capital markets are competitive and investors rational, an asset pricing model can only be correct if investors are using it in their capital allocation decisions. Therefore, any investment opportunity that the model identifies as having a non-zero alpha must be accompanied by capital flows of the same sign as the alpha. We use the data on active mutual funds to identify such flows, and find that the recent alternatives to the Capital Asset Pricing Model do not improve upon the original model.
Author : Cheol S. Eun
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book International Capital Market Integration and the Asset Pricing Mechanism written by Cheol S. Eun and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eugene F. Fama
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (966 download)
Download or read book International Tests of a Five-factor Asset Pricing Model written by Eugene F. Fama and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mohamed Arouri
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The International Price of Exchange Rate Risk written by Mohamed Arouri and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate whether exchange rate risk is internationally priced for both developed and emerging stock markets. we use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. The evidence supports strongly the international asset pricing model that includes exchange rate risk. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.
Author : Rudi Wilhelm Schadt
Publisher :
ISBN 13 :
Total Pages : 94 pages
Book Rating : 4.:/5 (845 download)
Download or read book Testing International Asset Pricing Models with Mutual Fund Data written by Rudi Wilhelm Schadt and published by . This book was released on 2001 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (212 download)
Download or read book Time-series Tests of a Non-expected-utility Model of Asset Pricing written by Alberto Giovannini and published by . This book was released on 1989 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tom Arild Fearnley
Publisher :
ISBN 13 :
Total Pages : 69 pages
Book Rating : 4.:/5 (129 download)
Download or read book Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts written by Tom Arild Fearnley and published by . This book was released on 2004 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper tests a conditional multivariate International Capital Asset Pricing Model for US, Japanese and European stocks and government bonds, covering the period 1993-2001. Time variation in the prices of market and currency risk is modelled by means of synchronous regime switching. The paper also explores the statistical significance and time variation of asset specific intercept terms, again using synchronous regime switching. The prices of risk are found to be highly time varying. The price of market risk is statistically significant, and the international CAPM risk premia are validated, although currency risk premia are not statistically significant. However, the intercept terms are typically large and significant, implying an overall rejection of the international CAPM, and suggesting that additional, unidentified pricing factors contribute to return expectations.
Author : Sung-Sup Choi
Publisher :
ISBN 13 :
Total Pages : 398 pages
Book Rating : 4.:/5 (89 download)
Download or read book An Alternative Dynamic Asset Pricing Model written by Sung-Sup Choi and published by . This book was released on 1991 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carl B. McGowan
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (22 download)
Download or read book A Test for a Multi-risk Premia International Asset Pricing Model written by Carl B. McGowan and published by . This book was released on 1987 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R.A. Jarrow
Publisher : Elsevier
ISBN 13 : 9780444890849
Total Pages : 1204 pages
Book Rating : 4.8/5 (98 download)
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
