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Author : Terence Khoo
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (318 download)
Download or read book Explaining Asset Return Properties with a Real Business Cycle Asset Pricing Model written by Terence Khoo and published by . This book was released on 1992 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jianping Mei
Publisher : World Scientific
ISBN 13 : 9810245637
Total Pages : 265 pages
Book Rating : 4.8/5 (12 download)
Download or read book Asset Pricing written by Jianping Mei and published by World Scientific. This book was released on 2003 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
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.
Author : Gaston Michel
Publisher : Gabler Verlag
ISBN 13 : 9783834917690
Total Pages : 0 pages
Book Rating : 4.9/5 (176 download)
Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Gabler Verlag. This book was released on 2009-06-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory aims at linking an asset’s higher return to its higher risk exposure. However, the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965), the most widely taught model in business and economics classes, has been largely contested in the literature by researchers finding anomalous patterns in equity returns. Based on the failure to match the CAPM with empirical data, researchers have been in an ongoing dispute whether the anomalous behavior in equity returns is still reconcilable with market equilibrium and, therefore, with a risk-based explanation, or must be seen as consequences of investors’ irrational behavior and the agency costs of professional investment management. To support a rational pricing story, Fama and French (1992, 1993, 1996) develop a three-factor model that is highly successful in c- turing the two well-known anomalies related to a stock’s market capitalization and valuation level, the size and book-to-market effects. They argue that their model must be seen in the context of Merton’s (1973) Intertemporal Capital Asset Pricing Model (ICAPM) so that their size and book-to-market factors act as state variables capturing the investor’s hedging motives. They consider relative distress risk as the economic source of the common variation in stock returns related to their factors.
Author : Michele Boldrin
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (318 download)
Download or read book Asset Pricing Lessons for Modeling Business Cycles written by Michele Boldrin and published by . This book was released on 1996 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a model which accounts for the observed equity premium and average risk free rate, without implying counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena. With respect to the conventional measures of business cycle volatility and comovement with output, the model does roughly as well as the standard business cycle model. On two other dimensions, the model's business cycle implications are actually improved. Its enhanced internal propagation allows it to account for the fact that there is positive persistence in output growth, and the model also provides a resolution to the 'excess sensitivity puzzle' for consumption and income. Key features of the model are habit persistence preferences, and a multisector technology with limited intersectoral mobility of factors of production.
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 : John H. Cochrane
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (724 download)
Download or read book Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle written by John H. Cochrane and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The investment return is defined as the real return that results from.
Author : Kerry E. Back
Publisher : Oxford University Press
ISBN 13 : 0190241152
Total Pages : 608 pages
Book Rating : 4.1/5 (92 download)
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry E. Back and published by Oxford University Press. This book was released on 2017-01-04 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Author : Xueping Wu
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (318 download)
Download or read book Conditional Multifactor Explanation of Return Momentum written by Xueping Wu and published by . This book was released on 1998 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ivan Jaccard
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book House Prices, Real Estate Returns, and the Business Cycle written by Ivan Jaccard and published by . This book was released on 2007 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this work is to develop a general equilibrium business cycle model linking financial and real estate markets to the macro economy. The ability of a production economy to account simultaneously for asset pricing, business cycle and real estate market facts is then evaluated by comparing the model predictions to the empirical facts. The observed high volatility of house prices, the equity premium and the difference between equity and real estate excess returns can be explained without giving rise to excessive risk-free rate variation.
Author : Jia He
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book Asset Pricing Specification Errors and Performance Evaluation written by Jia He and published by . This book was released on 1996 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Olivier Blanchard
Publisher : MIT Press
ISBN 13 : 9780262521741
Total Pages : 312 pages
Book Rating : 4.5/5 (217 download)
Download or read book NBER Macroeconomics Annual 1992 written by Olivier Blanchard and published by MIT Press. This book was released on 1992 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the seventh in a series of annuals from the National Bureau of Economic Research that are designed to stimulate research on problems in applied economics, to bring frontier theoretical developments to a wider audience, and to accelerate the interaction between analytical and empirical research in macroeconomics. Contents What Shall We Do Today? Goals and Signposts in the Operation of Monetary Policy, Ben S. Bernanke and Frederic S. Mishkin - A Tale of Two Cities: Factor Accumulation and Technical Change in Hong Kong and Singapore, Alwyn Young - International Trade and the Wage Structure, Steven J. Davis - Imperfect Information and Macroeconomic Analysis, Joseph E. Stiglitz and Bruce Greenwald - Asset Pricing Lessons for Macroeconomics, Lars P. Hansen and John H. Cochrane - Postmortem on the Debt Crisis, Daniel Cohen
Author : Martin Lettau
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.X/5 (6 download)
Download or read book Inspecting the Mechanism written by Martin Lettau and published by . This book was released on 1998 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James W. Kolari
Publisher : Springer Nature
ISBN 13 : 3031167848
Total Pages : 247 pages
Book Rating : 4.0/5 (311 download)
Download or read book Investment Valuation and Asset Pricing written by James W. Kolari and published by Springer Nature. This book was released on 2023-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is intended to fill a gap in undergraduate finance curriculums by providing an asset pricing text that is accessible for undergraduate finance students. It offers an overview of original works on foundational asset pricing studies that follows their historical publication chronologically throughout the text. Each chapter stays close to the original works of these major authors, including quotations, examples, graphical exhibits, and empirical results. Additionally, it includes statistical concepts and methods as applied to finance. These statistical materials are crucial to learning asset pricing, which often applies statistical tests to evaluate different asset pricing models. It offers practical examples, questions, and problems to help students check their learning and better understand the fundamentals of asset pricing., alongside including PowerPoint slides and an instructor’s manual for professors.
Author : Christopher Tsoukis
Publisher : Oxford University Press
ISBN 13 : 0192638882
Total Pages : 735 pages
Book Rating : 4.1/5 (926 download)
Download or read book Theory of Macroeconomic Policy written by Christopher Tsoukis and published by Oxford University Press. This book was released on 2020-10-29 with total page 735 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of Macroeconomic Policy reviews the theoretical foundations of macroeconomic, fiscal, and monetary, policy. It offers a panoramic view of macroeconomic theory, covering a wide range of topics that are not customarily dealt with in macroeconomics texts, as well as more standard material. Advanced theory is bridged with more elementary or intermediate material, and established models are reviewed alongside current research directions. There is an extensive review of empirical evidence on virtually every topic, supplemented by narrative accounts for various episodes. The policy implications of the various theories are emphasised throughout. The chapters are largely self-contained so that different courses can focus at different places. A 'Guidance for Further Study' Section and extensive bibliography give plenty of ideas for all levels of independent study, from Undergraduate Projects to MSc Dissertations to PhD Theses. Theory of Macroeconomic Policy presents a balance between: breadth as well as depth; analytical treatment and intuition; theory and evidence; vintage theories and current directions; theory and policy; (established) theory and debate. Theory of Macroeconomic Policy is an affirmation that there is a well-developed body of theory that is invaluable for an in-depth understanding of the macro-economy and policy; equally, there is much scope for critical discussion and debate.
Author : Gaston Michel
Publisher : Springer Science & Business Media
ISBN 13 : 3834994960
Total Pages : 182 pages
Book Rating : 4.8/5 (349 download)
Download or read book Real Estate Risk in Equity Returns written by Gaston Michel and published by Springer Science & Business Media. This book was released on 2009-08-03 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an alternative modeI which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.
Author : James Hartley
Publisher : Routledge
ISBN 13 : 1134694784
Total Pages : 690 pages
Book Rating : 4.1/5 (346 download)
Download or read book Real Business Cycles written by James Hartley and published by Routledge. This book was released on 2013-07-04 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real Business Cycle theory combines the remains of monetarism with the new classical macroeconomics, and has become one of the dominant approaches within contemporary macroeconomics today. This volume presents: * the authoritative anthology in RBC. The work contains the major articles introducing and extending the theory as well as critical literature * an extensive introduction which contains an expository summary and critical evaluation of RBC theory * comprehensive coverage and balance between seminal papers and extensions; proponents and critics; and theory and empirics. Macroeconomics is a compulsory element in most economics courses, and this book will be an essential guide to one of its major theories.
