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Author : Rajnish Mehra
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (15 download)
Download or read book A Test of the Intertemporal Asset Pricing Model written by Rajnish Mehra and published by . This book was released on 1982 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng F. Lee
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (152 download)
Download or read book A Simultaneous Test of the Intertemporal Capital Asset Pricing Model, the Arbitrage Pricing Theory, and the Index Model written by Cheng F. Lee and published by . This book was released on 1985 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author : Michael J. Brennan
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (129 download)
Download or read book Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing written by Michael J. Brennan and published by . This book was released on 2008 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple valuation model that allows for time variation in investment opportunities is developed and estimated. The model assumes that the investment opportunity set is completely described by two state variables, the real interest rate and the maximum Sharpe ratio, which follow correlated Ornstein-Uhlenbeck processes. The model parameters and time series of the state variables are estimated using data on US Treasury bond yields and inflation for the period January 1952 to December 2000. The estimated state variables are shown to be related to the equity premium and to the level of stock prices as measured by the dividend yield. Innovations in the estimated state variables are shown to be related to the returns on the Fama-French arbitrage portfolios, HML and SMB, providing a possible explanation for the risk premia on these portfolios. When tracking portfolios for the state variable innovations are constructed using returns on 6 size and book-to market equity sorted portfolios, the tracking portfolios explain the risk premia on HML and SMB, and these state variable tracking portfolios perform about as well as HML and SMB in explaining the cross-section of returns on the 25 size and book-to market equity sorted value weighted portfolios. An additional test of the ICAPM using returns on 30 industrial portfolios does not reject the model while the CAPM and the Fama-French 3 factor model are rejected using the same data.
Author : Mika Vaihekoski
Publisher :
ISBN 13 : 9789515554888
Total Pages : 47 pages
Book Rating : 4.5/5 (548 download)
Download or read book Intertemporal Capital Asset Pricing Model with Time-varying Parameters written by Mika Vaihekoski and published by . This book was released on 1996 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (671 download)
Download or read book Trading volume : implications of an intertemporal capital asset pricing model written by Andrew Wen-Chuan Lo and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bernd Meyer
Publisher : Springer Science & Business Media
ISBN 13 : 3642586724
Total Pages : 295 pages
Book Rating : 4.6/5 (425 download)
Download or read book Intertemporal Asset Pricing written by Bernd Meyer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Michael J. Brennan
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (566 download)
Download or read book Risk and Valuation Under an Intertemporal Capital Asset Pricing Model written by Michael J. Brennan and published by . This book was released on 2003 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (922 download)
Download or read book Jump Risks and the Intertemporal Capital Asset Pricing Model written by Robert A. Jarrow and published by . This book was released on 1983 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mahmoud Mustafa Haddad
Publisher :
ISBN 13 :
Total Pages : 502 pages
Book Rating : 4.:/5 (112 download)
Download or read book Comparative Intertemporal Tests of the Beta Stationarity Based on the Mean-semivariance and Mean-variance Capital Asset Pricing Models written by Mahmoud Mustafa Haddad and published by . This book was released on 1984 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew W. Lo
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Volume written by Andrew W. Lo and published by . This book was released on 2009 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return provides the best predictor of future market returns and its return together with the return of the market portfolio are the two risk factors determining the cross-section of asset returns.
Author : Kenneth J. Singleton
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (78 download)
Download or read book Specification and Estimation of Intertemporal Asset Pricing Models written by Kenneth J. Singleton and published by . This book was released on 1987 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Turan G. Bali
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (129 download)
Download or read book Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency written by Turan G. Bali and published by . This book was released on 2012 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin D. D. Evans
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (213 download)
Download or read book Interpreting the Term Structure Using the Intertemporal Capital Asset Pricing Model written by Martin D. D. Evans and published by . This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Douglas T. Breeden
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (81 download)
Download or read book An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities written by Douglas T. Breeden and published by . This book was released on 1979 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jiang Wang
Publisher : Forgotten Books
ISBN 13 : 9780666223364
Total Pages : 76 pages
Book Rating : 4.2/5 (233 download)
Download or read book A Model of Intertemporal Asset Prices Under Asymmetric Information (Classic Reprint) written by Jiang Wang and published by Forgotten Books. This book was released on 2018-02-23 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from A Model of Intertemporal Asset Prices Under Asymmetric Information We explore the implications of our model for the behavior of stock prices, risk premia, price volatility, autocorrelation in stock returns and investors' trading strategies. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author : Staffan Hansén
Publisher :
ISBN 13 : 9789516499720
Total Pages : 26 pages
Book Rating : 4.4/5 (997 download)
Download or read book The Performance of an Intertemporal Capital Asset Pricing Model on a Thin Security Market written by Staffan Hansén and published by . This book was released on 1991 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
