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Author : Charles Noussair
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (931 download)
Download or read book Experimental Research on Asset Pricing written by Charles Noussair and published by . This book was released on 2013 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Bossaerts
Publisher : Now Publishers Inc
ISBN 13 : 9781601982926
Total Pages : 0 pages
Book Rating : 4.9/5 (829 download)
Download or read book The Experimental Study of Asset Pricing Theory written by Peter Bossaerts and published by Now Publishers Inc. This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Experimental Study of Asset Pricing Theory is meant to evaluate the science behind asset pricing theory and come to a deeper understanding of asset pricing theory.
Author : Bruno Biais
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book "Asset Pricing and Risk-sharing in a Complete Market written by Bruno Biais and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Bossaerts
Publisher : Princeton University Press
ISBN 13 : 1400850665
Total Pages : 187 pages
Book Rating : 4.4/5 (8 download)
Download or read book The Paradox of Asset Pricing written by Peter Bossaerts and published by Princeton University Press. This book was released on 2013-12-03 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation. Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance. This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.
Author : Haim Levy
Publisher : Cambridge University Press
ISBN 13 : 1139503022
Total Pages : 457 pages
Book Rating : 4.1/5 (395 download)
Download or read book The Capital Asset Pricing Model in the 21st Century written by Haim Levy and published by Cambridge University Press. This book was released on 2011-10-30 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Author : Gunduz Caginalp
Publisher :
ISBN 13 :
Total Pages : 7 pages
Book Rating : 4.:/5 (129 download)
Download or read book Initial Cash/Asset Ratio and Asset Prices written by Gunduz Caginalp and published by . This book was released on 2009 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: A series of experiments, in which nine participants trade an asset over 15 periods, test the hypothesis that an initial imbalance of asset/cash will influence the trading price over an extended time. Participants know at the outset that the asset or quot;stockquot; pays a single dividend with fixed expectation value at the end of the 15th period. In experiments with a greater total value of cash at the start, the mean prices during the trading periods are higher, compared to those with greater amount of asset, with a high degree of statistical significance. The difference is most significant at the outset and gradually tapers near the end of the experiment. The results are very surprising from a rational expectations and classical game theory perspective, since the possession of a large amount of cash does not lead to a simple motivation for a trader to bid excessively on a financial instruments. The gradual erosion of the difference toward the end of trading, however, suggests that fundamental value is approached belatedly, offering some consolation to the rational expectations theory. It also suggests that there is a time scale on which an evolution toward fundamental value occurs.
Author : Peter Bossaerts
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.X/5 (6 download)
Download or read book Basic Principles of Asset Pricing Theory written by Peter Bossaerts and published by . This book was released on 2000 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stefan Palan
Publisher : Springer Science & Business Media
ISBN 13 : 3642021476
Total Pages : 179 pages
Book Rating : 4.6/5 (42 download)
Download or read book Bubbles and Crashes in Experimental Asset Markets written by Stefan Palan and published by Springer Science & Business Media. This book was released on 2009-10-03 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes a laboratory experiment designed to test the causes and properties of bubbles in financial markets and explores the question whether it is possible to design markets which avoid such bubbles and crashes. In the experiment, subjects were given the opportunity to trade in a stock market modeled after the seminal work of Smith et al. (1988). To account for the increasing importance of online betting sites, subjects were also allowed to trade in a digital option market. The outcomes shed new light on how subjects form and update their expectations, placing special emphasis on the bounded rationality of investors. Various analytical bubble measures found in the literature are collected, calculated, classified and presented for the first time. The very interesting new bubble measures "Dispersion Ratio", "Overpriced Transactions" and "Underpriced Transactions" are developed, making the book an important step towards the research goal of preventing bubbles and crashes in financial markets.
Download or read book Expectations Structure in Asset Pricing Experiments written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Notwithstanding the recognized importance of traders & rsquo; expectations in characterizing the observed market dynamics, for instance the formation of speculative bubbles and crashes on financial markets, little attention has been devoted so far by economists to a rigorous study of expectation formation in the laboratory. In this work we describe a laboratory experiment on the emergence and coordination of expectations in a pure exchange framework. We largely base our study on previous experiments on expectation formation in a controlled laboratory environment by Cars Hommes, Joep Sonnemans, Ian Tuinstra and Henk van de Velden (2002a). We consider a simple two asset economy with a riskless bond and a risky stock. Each market is composed of six experimental subjects who act as financial advisors of myopic risk-averse utility maximizing investors and are rewarded according to how well their forecasts perform in the market. The participants are asked to predict not only the price of the risky asset at time t+1, as in Hommes et al. (2002a), but also the confidence interval of their prediction, knowing the past realizations of the price until time t ¡ 1. The realized asset price is derived from a Walrasian market equilibrium equation, unknown to the subjects, with feedback from individual forecasts. Subjects & rsquo; earnings are proportional to the increase in their wealth level. With respect to previous experiments that did not include an explicit evaluation of risk by participants, we observe a higher price volatility, a decreased likelihood of bubble dynamics and, in general, a higher heterogeneity of predictions. -- experimental economics ; expectations ; coordination ; asset pricing
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
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.
Author : George W. Evans
Publisher : Princeton University Press
ISBN 13 : 1400824265
Total Pages : 440 pages
Book Rating : 4.4/5 (8 download)
Download or read book Learning and Expectations in Macroeconomics written by George W. Evans and published by Princeton University Press. This book was released on 2012-01-06 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.
Author : R. Mark Isaac
Publisher : Emerald Group Publishing
ISBN 13 : 1783501413
Total Pages : 179 pages
Book Rating : 4.7/5 (835 download)
Download or read book Experiments in Financial Economics written by R. Mark Isaac and published by Emerald Group Publishing. This book was released on 2013-12-06 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research in Experimental Economics is a series of edited research volumes focused on laboratory experimental economics, first published in 1979 with founding editor Vernon L. Smith. Volume 16 of the series focuses around the themes of experiments in financial economics.
Author : Alessandra Donini
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (968 download)
Download or read book Essays in Experimental Asset Pricing written by Alessandra Donini and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hersh Shefrin
Publisher : Elsevier
ISBN 13 : 0080482244
Total Pages : 636 pages
Book Rating : 4.0/5 (84 download)
Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Author : Ms.Ana Fostel
Publisher : International Monetary Fund
ISBN 13 : 1455205370
Total Pages : 35 pages
Book Rating : 4.4/5 (552 download)
Download or read book Why Does Bad News Increase Volatility and Decrease Leverage? written by Ms.Ana Fostel and published by International Monetary Fund. This book was released on 2010-09-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest mostly in technologies that become volatile in bad times. Together with the old literature this explains pro-cyclical leverage. The result also gives rationale to the pattern of volatility smiles observed in the stock options since 1987. Finally, the paper presents for the first time a dynamic model in which an asset is endogenously traded simultaneously at different margin requirements in equilibrium.
Author : Richard Hollis Day
Publisher : Oxford University Press, USA
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.F/5 ( download)
Download or read book Nonlinear Dynamics and Evolutionary Economics written by Richard Hollis Day and published by Oxford University Press, USA. This book was released on 1993 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in physics, computers, and mathematics have made it possible to illustrate an astonishing array of potential behavior that can occur when nonlinear interactions are present. As Prigogine explains from a physicist's perspective, the fundamental role of instability and bounded rationality provide more precise understanding for evolution and changes. This volume considers these developments from various fields in the context of economic science. The work starts with a general non-mathematical discussion, introducing the major themes--nonlinearity, dynamical systems, and evolution in economic processes. The work continues with nonlinear analysis of macroeconomic growth and fluctuations. It describes analyses of economic adaptation, learning, and self-organization. The volume also scrutinizes a specific market--equities using nonlinear analysis, controlled experiments, and statistical inference when nonlinearity plays an essential role in data generation. The volume closes with an historical reflection by Richard Goodwin and a roundtable discussion on basic issues and new challenges in nonlinear economic dynamics.
Author : Volodymyr Lugovskyy
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (525 download)
Download or read book An Experimental Study of Bubble Formation in Asset Markets Using the Tâtonnement Pricing Mechanism written by Volodymyr Lugovskyy and published by . This book was released on 2009 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
