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Author : James Bradford DeLong
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (256 download)
Download or read book "Excess Volatility" and the German Stock Market written by James Bradford DeLong and published by . This book was released on 1992 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Bradford DeLong
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (129 download)
Download or read book "Excess Volatility" and the German Stock Market, 1876-1990 written by J. Bradford DeLong and published by . This book was released on 2010 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the German stock market has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock market. The role played by the German Grosbanken in the pre-World War I stock market might be the cause of low comparative volatility of German stock indices before 1914.
Author : J. Bradford De Long
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.F/5 ( download)
Download or read book "Excess Volatility" and the German Stock Market, 1876-1990 written by J. Bradford De Long and published by . This book was released on 1992 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the German stock market has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock market. The role played by the German Grosbanken in the pre-World War I stock market might be the cause of low comparative volatility of German stock indices before 1914.
Author : James Bradford De Long
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (733 download)
Download or read book "Excess volatility" and the German stock marken written by James Bradford De Long and published by . This book was released on 1992 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harold L. Vogel
Publisher : Springer
ISBN 13 : 3319715283
Total Pages : 477 pages
Book Rating : 4.3/5 (197 download)
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 477 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.
Author : James Ming Chen
Publisher : Springer
ISBN 13 : 3319634658
Total Pages : 293 pages
Book Rating : 4.3/5 (196 download)
Download or read book Econophysics and Capital Asset Pricing written by James Ming Chen and published by Springer. This book was released on 2017-10-04 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.
Author : Lukas Menkhoff
Publisher : Springer Science & Business Media
ISBN 13 : 3642565816
Total Pages : 252 pages
Book Rating : 4.6/5 (425 download)
Download or read book Financial Market Drift written by Lukas Menkhoff and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.
Author : Harold L. Vogel
Publisher : Cambridge University Press
ISBN 13 : 1316101576
Total Pages : 471 pages
Book Rating : 4.3/5 (161 download)
Download or read book Financial Market Bubbles and Crashes written by Harold L. Vogel and published by Cambridge University Press. This book was released on 2009-12-14 with total page 471 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the thousands of articles and the millions of times that the word 'bubble' has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study 'bubble' and 'crash' conditions. This book presents a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory.
Author : Gerald D. Feldman
Publisher : Taylor & Francis
ISBN 13 : 1351936506
Total Pages : 319 pages
Book Rating : 4.3/5 (519 download)
Download or read book Finance and Modernization written by Gerald D. Feldman and published by Taylor & Francis. This book was released on 2016-12-05 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance and Modernization centres on a set of historical developments and problems typified by the long history of the Österreichische Creditanstalt and its successor organizations, and opens the way to compare and contrast experiences throughout Central and Western Europe and also on other continents. The structure of this volume reflects the changing role and nature of banks as economies become industrialized and modernized. Although banks adapt to the needs of an industrializing economy, at the same time, industrialization influences the manner in which banking systems grow and the structures which they adopt. Beginning with studies of the Austrian banks, their development and their crises, the volume then moves on to look at case studies of important aspects of financial activity - German stock markets, railroad investment, and information networks. This is followed by a section on country studies of banking modernization in Sweden, the Netherlands and Greece. Finally, the collection concludes with two chapters, one on banking in China and the other on banking in India, certainly both of intrinsic interest and of importance in an era of globalization. Professor Teichova, one of the great scholars in the field, concludes with reflections on the individual contributions and the general problems addressed in this book.
Author : Robert J. Shiller
Publisher : OUP Oxford
ISBN 13 : 0191521655
Total Pages : 276 pages
Book Rating : 4.1/5 (915 download)
Download or read book Macro Markets written by Robert J. Shiller and published by OUP Oxford. This book was released on 1994-04-07 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macro Markets puts forward a unique and authoritative set of detailed proposals for establishing new markets for the management of the biggest economic risks facing society. Our existing financial markets are seen as being inadequate in dealing with such risks and Professor Shiller suggests major new markets as solutions to the problem. Shiller argues that although some risks, such as natural disaster or temporary unemployment, are shared by society, most risks are borne by the individual and standards of living determined by luck. He investigates whether a new technology of markets could make risk-sharing possible, and shows how new contracts could be designed to hedge all manner of risks to the individual's living standards. He proposes new international markets for perpetual claims on national incomes, and on components and aggregates of national incomes, concluding that these markets may well dwarf our stock markets in their activity and significance. He also argues for new liquid international markets for residential and commercial property. Establishing such unprecedented new markets presents some important technical problems which Shiller attempts to solve with proposals for implementing futures markets on perpetual claims on incomes, and for the construction of index numbers for cash settlement of risk management contracts. These new markets could fundamentally alter and diminish international economic fluctuations, and reduce the inequality of incomes around the world.
Author : Richard C. K. Burdekin
Publisher : Cambridge University Press
ISBN 13 : 1139456229
Total Pages : 385 pages
Book Rating : 4.1/5 (394 download)
Download or read book Deflation written by Richard C. K. Burdekin and published by Cambridge University Press. This book was released on 2004-09-06 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was originally published in 2004. Fears of deflation seemed nothing more than a relic of the Great Depression. However, beginning in the 1990s, persistently falling consumer prices have emerged in Japan, China and elsewhere. Deflation is also a distinct possibility in some of the major European area economies, especially Germany, and emerged as a concern of the US Federal Reserve in 2003. Deflation may be worse than inflation not only because the real burden of debt rises but also because firms would confront rising real wages in a world where nominal wage rigidity prevails. This volume explores some key themes regarding deflation including: (i) how economic agents and policy makers have responded to deflation, (ii) the links between monetary policy, goods price movements, and asset price movements, (iii) the impact of deflation under different monetary policy and exchange rate regimes, and (iv) stock market reactions to deflation.
Author : Fabio Canova
Publisher : Université de Montréal, Centre de recherche et développement en économique
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.F/5 ( download)
Download or read book Changes in Seasonal Patterns written by Fabio Canova and published by Université de Montréal, Centre de recherche et développement en économique. This book was released on 1992 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Elisabeth Paulet
Publisher : Routledge
ISBN 13 : 1134646216
Total Pages : 193 pages
Book Rating : 4.1/5 (346 download)
Download or read book The Role of Banks in Monitoring Firms written by Elisabeth Paulet and published by Routledge. This book was released on 1999-05-20 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a timely examination of banks and corporate finance. It addresses such issues as credit constraints, the supervisions of managers and the stabilization of share prices.
Author : Morten Overgaard Ravn
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.F/5 ( download)
Download or read book International Business Cycles written by Morten Overgaard Ravn and published by . This book was released on 1993 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco Becht
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.F/5 ( download)
Download or read book Theory and estimation of individual and social welfare measures written by Marco Becht and published by . This book was released on 1992 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)
Download or read book Missing Observations and Additive Outliers in Time Series Models written by Agustín Maravall and published by . This book was released on 1992 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philip Hans Franses
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Effects of Additive Outliers on Tests for Unit Roots and Cointegration written by Philip Hans Franses and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
