Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Alternative Dynamic Capital Asset Pricing Models full books in PDF, epub, and Kindle. Read online Alternative Dynamic Capital Asset Pricing Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
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 : Beate Breuer
Publisher :
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.:/5 (16 download)
Download or read book ˜Theœ Dynamic Capital Asset Pricing Model written by Beate Breuer and published by . This book was released on 2004 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : Abraham Lioui
Publisher : Springer Science & Business Media
ISBN 13 : 038724106X
Total Pages : 268 pages
Book Rating : 4.3/5 (872 download)
Download or read book Dynamic Asset Allocation with Forwards and Futures written by Abraham Lioui and published by Springer Science & Business Media. This book was released on 2005-12-06 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.
Author : Sumru Altug
Publisher : Cambridge University Press
ISBN 13 : 1139474367
Total Pages : 686 pages
Book Rating : 4.1/5 (394 download)
Download or read book Asset Pricing for Dynamic Economies written by Sumru Altug and published by Cambridge University Press. This book was released on 2008-09-11 with total page 686 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
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 : 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 : Peter Ove Christensen
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (464 download)
Download or read book Dynamic Spanning in the Consumption-based Capital Asset Pricing Model written by Peter Ove Christensen and published by . This book was released on 1996 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James W. Kolari
Publisher : Springer Nature
ISBN 13 : 3030651975
Total Pages : 326 pages
Book Rating : 4.0/5 (36 download)
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Author :
Publisher : Bookboon
ISBN 13 : 8776817121
Total Pages : 57 pages
Book Rating : 4.7/5 (768 download)
Download or read book The Capital Asset Pricing Model written by and published by Bookboon. This book was released on with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng F. Lee
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (31 download)
Download or read book The Single Vs. Simultaneous Equation Model in Capital Asset Pricing written by Cheng F. Lee and published by . This book was released on 1978 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, alternative capital asset pricing models (CAPM) are first reviewed and criticized. Then a new simultaneous equation CAPM is derived to take the essences of the existing capital asset pricing models into account. Some data are also used to show the usefulness of the new CAPM derived in this study.
Author : Christian Koch
Publisher : GRIN Verlag
ISBN 13 : 3640277856
Total Pages : 81 pages
Book Rating : 4.6/5 (42 download)
Download or read book The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation written by Christian Koch and published by GRIN Verlag. This book was released on 2009-03 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
Author : Peter Woehrmann
Publisher : Tectum Verlag DE
ISBN 13 : 9783828883741
Total Pages : 102 pages
Book Rating : 4.8/5 (837 download)
Download or read book Dynamic Asset Pricing Models with Nonparametric Expectations written by Peter Woehrmann and published by Tectum Verlag DE. This book was released on 2002 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. Green
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (596 download)
Download or read book Capital Asset Pricing Under Alternative Policy Regimes written by C. Green and published by . This book was released on 1985 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eleftherios Giovanis
Publisher : GRIN Verlag
ISBN 13 : 3640576799
Total Pages : 94 pages
Book Rating : 4.6/5 (45 download)
Download or read book Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market written by Eleftherios Giovanis and published by GRIN Verlag. This book was released on 2010-03-26 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, , language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH’s models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises “Unibrain” “MLS Informatics” and “Dionic” respectively , from April 2nd of 2002 to 30th October of 2007 for the enterprise “Compucon”, from August 2nd of 2002 to 30th October of 2007 for the enterprise “Centric”, and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise “Ilyda”. Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
Author : Brad Carter
Publisher :
ISBN 13 :
Total Pages : 215 pages
Book Rating : 4.:/5 (959 download)
Download or read book Capital Asset Pricing Model (CAPM) Applicability in the South African Context and Alternative Pricing Models written by Brad Carter and published by . This book was released on 2015 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt:
