Determinants Of Stock Market Volatility And Risk Premia

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The Equity Risk Premium

Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 0199881979
Total Pages : 568 pages
Book Rating : 4.1/5 (998 download)

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Book Synopsis The Equity Risk Premium by : William N. Goetzmann

Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.

Financial Markets and the Real Economy

Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)

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Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Factor Investing

Author : Emmanuel Jurczenko
Publisher : Elsevier
ISBN 13 : 0081019645
Total Pages : 482 pages
Book Rating : 4.0/5 (81 download)

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Book Synopsis Factor Investing by : Emmanuel Jurczenko

Download or read book Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2017-10-17 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Volatility and Time Series Econometrics

Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)

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Book Synopsis Volatility and Time Series Econometrics by : Mark Watson

Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics

Credit Risk Modeling

Author : David Lando
Publisher : Princeton University Press
ISBN 13 : 1400829194
Total Pages : 328 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Credit Risk Modeling by : David Lando

Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Risk and Return for Regulated Industries

Author : Bente Villadsen
Publisher : Academic Press
ISBN 13 : 0128125888
Total Pages : 362 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Risk and Return for Regulated Industries by : Bente Villadsen

Download or read book Risk and Return for Regulated Industries written by Bente Villadsen and published by Academic Press. This book was released on 2017-04-27 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return for Regulated Industries provides a much-needed, comprehensive review of how cost of capital risk arises and can be measured, how the special risks regulated industries face affect fair return, and the challenges that regulated industries are likely to face in the future. Rather than following the trend of broad industry introductions or textbook style reviews of utility finance, it covers the topics of most interest to regulators, regulated companies, regulatory lawyers, and rate-of-return analysts in all countries. Accordingly, the book also includes case studies about various countries and discussions of the lessons international regulatory procedures can offer. - Presents a unified treatment of the regulatory principles and practices used to assess the required return on capital - Addresses current practices before exploring the ways methods play out in practice, including irregularities, shortcomings, and concerns for the future - Focuses on developed economies instead of providing a comprehensive global reviews - Foreword by Stewart C. Myers

Quantitative Equity Portfolio Management

Author : Edward E. Qian
Publisher : CRC Press
ISBN 13 : 1420010794
Total Pages : 462 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Quantitative Equity Portfolio Management by : Edward E. Qian

Download or read book Quantitative Equity Portfolio Management written by Edward E. Qian and published by CRC Press. This book was released on 2007-05-11 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for

Cointegration, Causality, and Forecasting

Author : Halbert White
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296836
Total Pages : 512 pages
Book Rating : 4.2/5 (968 download)

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Book Synopsis Cointegration, Causality, and Forecasting by : Halbert White

Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

Asset Management

Author : Andrew Ang
Publisher : Oxford University Press, USA
ISBN 13 : 0199959323
Total Pages : 717 pages
Book Rating : 4.1/5 (999 download)

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Book Synopsis Asset Management by : Andrew Ang

Download or read book Asset Management written by Andrew Ang and published by Oxford University Press, USA. This book was released on 2014 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.

Volatility

Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Volatility by : Robert A. Jarrow

Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

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.

The Equity Risk Premium: A Contextual Literature Review

Author : Laurence B. Siegel
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960325
Total Pages : 69 pages
Book Rating : 4.9/5 (449 download)

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Book Synopsis The Equity Risk Premium: A Contextual Literature Review by : Laurence B. Siegel

Download or read book The Equity Risk Premium: A Contextual Literature Review written by Laurence B. Siegel and published by CFA Institute Research Foundation. This book was released on 2017-12-08 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research into the equity risk premium, often considered the most important number in finance, falls into three broad groupings. First, researchers have measured the margin by which equity total returns have exceeded fixed-income or cash returns over long historical periods and have projected this measure of the equity risk premium into the future. Second, the dividend discount model—or a variant of it, such as an earnings discount model—is used to estimate the future return on an equity index, and the fixed-income or cash yield is then subtracted to arrive at an equity risk premium expectation or forecast. Third, academics have used macroeconomic techniques to estimate what premium investors might rationally require for taking the risk of equities. Current thinking emphasizes the second, or dividend discount, approach and projects an equity risk premium centered on 3½% to 4%.

Popularity: A Bridge between Classical and Behavioral Finance

Author : Roger G. Ibbotson
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960619
Total Pages : 118 pages
Book Rating : 4.9/5 (449 download)

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Book Synopsis Popularity: A Bridge between Classical and Behavioral Finance by : Roger G. Ibbotson

Download or read book Popularity: A Bridge between Classical and Behavioral Finance written by Roger G. Ibbotson and published by CFA Institute Research Foundation. This book was released on 2018 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical and behavioral finance are often seen as being at odds, but the idea of “popularity” has been introduced as a way of reconciling the two approaches. Investors like or dislike various characteristics of securities for rational reasons (as in classical finance) or irrational reasons (as in behavioral finance), which makes the assets popular or unpopular. In the capital markets, popular (unpopular) securities trade at prices that are higher (lower) than they would be otherwise; hence, the shares may provide lower (higher) expected returns.This book builds on this idea and expands it in two major ways. First, it introduces a rigorous asset pricing model, the popularity asset pricing model (PAPM), which adds investor preferences for security characteristics other than the risk and expected return that are part of the capital asset pricing model. A major conclusion of the PAPM is that the expected return of any security is a linear function of not only its systematic risk (beta) but also of all security characteristics that investors care about. The other major contribution of the book is new empirical work that, while confirming the well-known premiums (such as size, value, and liquidity) in a popularity context, supports the popularity hypothesis on the basis of portfolios of stocks based on such characteristics as brand value, sustainable competitive advantage, and reputation. Popularity unifies the factors that affect price in classical finance with those that drive price in behavioral finance, thus creating a unifying theory or bridge between classical and behavioral finance.

Financial Stability Monitoring

Author : Tobias Adrian
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Financial Stability Monitoring by : Tobias Adrian

Download or read book Financial Stability Monitoring written by Tobias Adrian and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.

Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk

Download Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk PDF Online Free

Author : Richard C. Grinold
Publisher : McGraw Hill Professional
ISBN 13 : 007137695X
Total Pages : 596 pages
Book Rating : 4.0/5 (713 download)

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Book Synopsis Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk by : Richard C. Grinold

Download or read book Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk written by Richard C. Grinold and published by McGraw Hill Professional. This book was released on 1999-11-16 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. "Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline Co-Manager, Fidelity Freedom ® Funds. "This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management." -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.

Beating The Dow Revised Edition

Author : Michael B. O'Higgins
Publisher : HarperBusiness
ISBN 13 : 9780066620473
Total Pages : 324 pages
Book Rating : 4.6/5 (24 download)

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Book Synopsis Beating The Dow Revised Edition by : Michael B. O'Higgins

Download or read book Beating The Dow Revised Edition written by Michael B. O'Higgins and published by HarperBusiness. This book was released on 2000-03-22 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1991, Michael B. O'Higgins, one of the nation's top money managers, turned the investment world upside down with an ingenious strategy, showing how all investors--from those with only $5,000 to invest to millionaires--could beat the pros 95% of the time by putting 100% of their equity investment into the high-yield, low-risk "dog" stocks of the Dow Jones Industrial Average. His formula spawned a veritable industry, including websites, mutual funds, and $20 billion worth of investments, elevating the theory to legendary status. Reflecting on the greatest bull market of our time, this must-have investment guide has been revised and updated for a new economy. With current company and stock profiles, as well as new charts, statistics, graphs, and figures, Beating the Dow is the smart investment that you--and your portfolio--can't afford to miss

Financial Market Bubbles and Crashes, Second Edition

Author : Harold L. Vogel
Publisher : Springer
ISBN 13 : 3319715283
Total Pages : 508 pages
Book Rating : 4.3/5 (197 download)

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Book Synopsis Financial Market Bubbles and Crashes, Second Edition by : Harold L. Vogel

Download or read book Financial Market Bubbles and Crashes, Second Edition written by Harold L. Vogel and published by Springer. This book was released on 2018-08-16 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.