Intertemporal Asset Pricing

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A Model of Intertemporal Asset Prices Under Asymmetric Information

Author : Jiang Wang
Publisher : Legare Street Press
ISBN 13 : 9781018159898
Total Pages : 0 pages
Book Rating : 4.1/5 (598 download)

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Book Synopsis A Model of Intertemporal Asset Prices Under Asymmetric Information by : Jiang Wang

Download or read book A Model of Intertemporal Asset Prices Under Asymmetric Information written by Jiang Wang and published by Legare Street Press. This book was released on 2022-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Intertemporal asset pricing without consumption

Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Intertemporal asset pricing without consumption by : John Y. Campbell

Download or read book Intertemporal asset pricing without consumption written by John Y. Campbell and published by . This book was released on 1990 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Intertemporal asset pricing without consumption data

Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Intertemporal asset pricing without consumption data by : John Y. Campbell

Download or read book Intertemporal asset pricing without consumption data written by John Y. Campbell and published by . This book was released on 1992 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Multifactor Models regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM)

Download Multifactor Models regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM) PDF Online Free

Author : Arno Popanda
Publisher : GRIN Verlag
ISBN 13 : 3346035204
Total Pages : 25 pages
Book Rating : 4.3/5 (46 download)

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Book Synopsis Multifactor Models regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM) by : Arno Popanda

Download or read book Multifactor Models regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM) written by Arno Popanda and published by GRIN Verlag. This book was released on 2019-10-11 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.7, University of Duisburg-Essen (Faculty of Business and Economics), language: English, abstract: The Capital Asset Pricing Model (CAPM), which is developed by Harry Markowitz, lacks on empirical validation and is not economically fully plausible. By only considering a single period within the CAPM, Merton tried to improve the model by implementing different intertemporal assumptions. This paper focuses on the analysis, if the lack of the CAPM can be improved by using the assumptions of the ICAPM and if the eight investigated models are in the sense of Merton's assumptions. The first chapter reviews a short explanation of the classical CAPM and his critics, followed by Merton's intertemporal CAPM and his assumptions in the next chapter. Additionally, there were models developed, trying to be economically plausible by considering the ICAPM main assumptions, which are presented in the second chapter. A different way to develop an empirical better fitting CAPM is by using empirical motivated state variables. Fama & French started to take this approach by developing the three-factor-model (FF3). A lot of researchers were influenced by the FF3 and made their own version of a multifactor model by implementing variables. Even Fama & French enhanced their three-factor-model by adding further variables. In the third section there is the forecasting power of the four ICAPM models and the four empirical motivated multifactor models on the US market data and on the European market data compared. Then follows an examination if these models can be determined in the sense of the ICAPM restrictions. The last chapter concludes the results.

Intertemporal Asset Pricing

Author : Bernd Meyer
Publisher : Springer Science & Business Media
ISBN 13 : 3642586724
Total Pages : 295 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Intertemporal Asset Pricing by : Bernd Meyer

Download or read book Intertemporal Asset Pricing written by Bernd Meyer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.

A Test of the Intertemporal Asset Pricing Model

Author : Rajnish Mehra
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (15 download)

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Book Synopsis A Test of the Intertemporal Asset Pricing Model by : Rajnish Mehra

Download or read book A Test of the Intertemporal Asset Pricing Model written by Rajnish Mehra and published by . This book was released on 1982 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Intertemporal Asset Pricing

Author : Fernando Zapatero
Publisher :
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.:/5 (292 download)

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Book Synopsis Essays on Intertemporal Asset Pricing by : Fernando Zapatero

Download or read book Essays on Intertemporal Asset Pricing written by Fernando Zapatero and published by . This book was released on 1991 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Time Varying Expectations and Intertemporal Asset Pricing

Author : Frances A. Longstaff
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (182 download)

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Book Synopsis Time Varying Expectations and Intertemporal Asset Pricing by : Frances A. Longstaff

Download or read book Time Varying Expectations and Intertemporal Asset Pricing written by Frances A. Longstaff and published by . This book was released on 1987 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities

Author : Douglas T. Breeden
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (81 download)

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Book Synopsis An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities by : Douglas T. Breeden

Download or read book An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities written by Douglas T. Breeden and published by . This book was released on 1979 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Intertemporal Asset Pricing in Monetary and Multiple Consumption Good Economies

Author : E. Philip Jones
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (9 download)

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Book Synopsis Intertemporal Asset Pricing in Monetary and Multiple Consumption Good Economies by : E. Philip Jones

Download or read book Intertemporal Asset Pricing in Monetary and Multiple Consumption Good Economies written by E. Philip Jones and published by . This book was released on 1982 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Model of Intertemporal Asset Prices Under Asymmetric Information

Author : Jiang Wang
Publisher : Andesite Press
ISBN 13 : 9781298615367
Total Pages : 80 pages
Book Rating : 4.6/5 (153 download)

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Book Synopsis A Model of Intertemporal Asset Prices Under Asymmetric Information by : Jiang Wang

Download or read book A Model of Intertemporal Asset Prices Under Asymmetric Information written by Jiang Wang and published by Andesite Press. This book was released on 2015-08-09 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Intertemporal asset pricing and the marginal utility of wealth

Author : Anna Battauz
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Intertemporal asset pricing and the marginal utility of wealth by : Anna Battauz

Download or read book Intertemporal asset pricing and the marginal utility of wealth written by Anna Battauz and published by . This book was released on 2012 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the general class of discrete-time, ጿinite-horizon intertemporal asset pricing models in which preferences for consumption at the intermediate dates are allowed to be state-dependent, satiated, non-convex and discontinuous, and the information structure is not required to be generated by a Markov process of state variables. We supply a generalized deጿinition of marginal utility of wealth based on the Freacute;chet differential of the value operator that maps time t wealth into maximum conditional remaining utility. We show that in this general case all state-price densities/stochastic discount factors are fully characterized by the marginal utility of wealth of optimizing agents even if their preferences for intermediate consumption are highly irregular. Our result requires only the strict monotonicity of preferences for terminal wealth and the existence of a portfolio with positive and bounded gross returns. We also relate our generalized notion of marginal utility of wealth to the equivalent martingale measures/risk-neutral probabilities commonly employed in derivative asset pricing theory. We supply an example in which our characterization holds while the standard representation of state-price densities in terms of marginal utilities of optimal consumption fails.

Asset Pricing

Author : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 560 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Asset Pricing by : John H. Cochrane

Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.

Specification and Estimation of Intertemporal Asset Pricing Models

Author : Kenneth J. Singleton
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (78 download)

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Book Synopsis Specification and Estimation of Intertemporal Asset Pricing Models by : Kenneth J. Singleton

Download or read book Specification and Estimation of Intertemporal Asset Pricing Models written by Kenneth J. Singleton and published by . This book was released on 1987 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Model of Intertemporal Asset Prices Under Asymmetric Information (Classic Reprint)

Author : Jiang Wang
Publisher : Forgotten Books
ISBN 13 : 9780666223364
Total Pages : 76 pages
Book Rating : 4.2/5 (233 download)

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Book Synopsis A Model of Intertemporal Asset Prices Under Asymmetric Information (Classic Reprint) by : Jiang Wang

Download or read book A Model of Intertemporal Asset Prices Under Asymmetric Information (Classic Reprint) written by Jiang Wang and published by Forgotten Books. This book was released on 2018-02-23 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from A Model of Intertemporal Asset Prices Under Asymmetric Information We explore the implications of our model for the behavior of stock prices, risk premia, price volatility, autocorrelation in stock returns and investors' trading strategies. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.