Author : Stephen Rhett Clark
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (897 download)
Book Synopsis Essays in Insider Trading, Informational Efficiency, and Asset Pricing by : Stephen Rhett Clark
Download or read book Essays in Insider Trading, Informational Efficiency, and Asset Pricing written by Stephen Rhett Clark and published by . This book was released on 2014 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: While significant deviations between initial forecasts and actual box-office outcomes exist, prices nonetheless evolve in accordance with efficient updating. Further, convergence rates appear independent of both the average initial forecast error and the level of disagreement in forecasts. Lastly, the third chapter revisits the theoretical justifications for Bossaerts's (2004) ELM, with the goal of providing clear, intuitive proofs of the key results underlying the methodology. The seemingly biggest hurdle to garnering more widespread adoption of the ELM methodology is the confusion that surrounds the use of weighted modified returns when testing for rational asset pricing restrictions. I attack this hurdle by offering a transparent justification for this approach. I then establish how and why Bossaerts's results extend from the case of digital options to the more practically relevant class of all limited-liability securities, including equities. I conclude by showing that the ELM restrictions naturally lend themselves to estimation and testing of asset pricing models, using weighted modified returns, in a Generalized Method of Moments (GMM) framework.