Land Of Addicts An Empirical Investigation Of Habit Based Asset Pricing Models

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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.

Handbook of the Economics of Finance SET:Volumes 2A & 2B

Author : George M. Constantinides
Publisher : Newnes
ISBN 13 : 0444594655
Total Pages : 1732 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Handbook of the Economics of Finance SET:Volumes 2A & 2B by : George M. Constantinides

Download or read book Handbook of the Economics of Finance SET:Volumes 2A & 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars

Handbook of Computational Finance

Author : Jin-Chuan Duan
Publisher : Springer Science & Business Media
ISBN 13 : 3642172547
Total Pages : 791 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Handbook of Computational Finance by : Jin-Chuan Duan

Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.

Handbook of Econometrics

Author : James Joseph Heckman
Publisher : Elsevier
ISBN 13 : 0444506314
Total Pages : 1013 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Handbook of Econometrics by : James Joseph Heckman

Download or read book Handbook of Econometrics written by James Joseph Heckman and published by Elsevier. This book was released on 2007 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice ...

Portfolio Theory and Management

Author : H. Kent Baker
Publisher : Oxford University Press
ISBN 13 : 019931151X
Total Pages : 798 pages
Book Rating : 4.1/5 (993 download)

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Book Synopsis Portfolio Theory and Management by : H. Kent Baker

Download or read book Portfolio Theory and Management written by H. Kent Baker and published by Oxford University Press. This book was released on 2013-01-07 with total page 798 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.

Handbook of Econometrics

Author : Zvi Griliches
Publisher : Elsevier
ISBN 13 : 0444887660
Total Pages : 1013 pages
Book Rating : 4.4/5 (448 download)

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Book Synopsis Handbook of Econometrics by : Zvi Griliches

Download or read book Handbook of Econometrics written by Zvi Griliches and published by Elsevier. This book was released on 1983 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.

Handbook of Econometrics

Author : James J. Heckman
Publisher : Elsevier
ISBN 13 : 0444534288
Total Pages : 1057 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Handbook of Econometrics by : James J. Heckman

Download or read book Handbook of Econometrics written by James J. Heckman and published by Elsevier. This book was released on 2009-01-13 with total page 1057 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of the Economics of Finance

Author : George M. Constantinides
Publisher : Newnes
ISBN 13 : 0444594736
Total Pages : 873 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Handbook of the Economics of Finance by : George M. Constantinides

Download or read book Handbook of the Economics of Finance written by George M. Constantinides and published by Newnes. This book was released on 2013-02-08 with total page 873 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. - Offers analyses by top scholars of recent asset pricing scholarship - Explains how the 2008 financial crises affected theoretical and empirical research - Covers core and newly developing fields

The New Palgrave Dictionary of Economics

Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)

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Book Synopsis The New Palgrave Dictionary of Economics by :

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Handbook of Financial Econometrics

Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

After the Flood

Author : Edward L. Glaeser
Publisher : University of Chicago Press
ISBN 13 : 022644354X
Total Pages : 320 pages
Book Rating : 4.2/5 (264 download)

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Book Synopsis After the Flood by : Edward L. Glaeser

Download or read book After the Flood written by Edward L. Glaeser and published by University of Chicago Press. This book was released on 2017-03-23 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes papers presented at a conference held at the Columbia Business School in the spring of 2013 in honor of Josae Scheinkman's 65th birthday.

Financial Markets and the Real Economy

Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)

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Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane

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.

Handbook of the Equity Risk Premium

Author : Rajnish Mehra
Publisher : Elsevier
ISBN 13 : 0080555853
Total Pages : 635 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Handbook of the Equity Risk Premium by : Rajnish Mehra

Download or read book Handbook of the Equity Risk Premium written by Rajnish Mehra and published by Elsevier. This book was released on 2011-08-11 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.

Financial Markets Theory

Author : Emilio Barucci
Publisher : Springer
ISBN 13 : 1447173228
Total Pages : 843 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Financial Markets Theory by : Emilio Barucci

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Advances in Economics and Econometrics: Volume 3, Econometrics

Author : Daron Acemoglu
Publisher : Cambridge University Press
ISBN 13 : 1107717825
Total Pages : 633 pages
Book Rating : 4.1/5 (77 download)

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Book Synopsis Advances in Economics and Econometrics: Volume 3, Econometrics by : Daron Acemoglu

Download or read book Advances in Economics and Econometrics: Volume 3, Econometrics written by Daron Acemoglu and published by Cambridge University Press. This book was released on 2013-05-13 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the third of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.

Advances in Economics and Econometrics

Author : Econometric Society. World Congress
Publisher : Cambridge University Press
ISBN 13 : 1107016061
Total Pages : 633 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Advances in Economics and Econometrics by : Econometric Society. World Congress

Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2013-05-27 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third volume of edited papers from the Tenth World Congress of the Econometric Society 2010.

Retirement Provision in Scary Markets

Author : Hazel Bateman
Publisher : Edward Elgar Publishing
ISBN 13 : 1847202829
Total Pages : 253 pages
Book Rating : 4.8/5 (472 download)

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Book Synopsis Retirement Provision in Scary Markets by : Hazel Bateman

Download or read book Retirement Provision in Scary Markets written by Hazel Bateman and published by Edward Elgar Publishing. This book was released on 2007-01-01 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past few decades have witnessed a global move towards private provision for retirement through individual defined contribution pensions at the expense of publicly provided and employer-sponsored defined benefit pensions. As a consequence, workers and retirees are becoming increasingly exposed to uncertainties in financial, labour and economic markets. The contributors to this book analyse the implications for retirement income policy, workers and retirees in view of the current climate of heightened exposure to scary markets. The implications of a broad range of scary market scenarios are presented, and novel solutions prescribed. Retirement incomes across a number of countries including the US, the UK, Japan and Australia are explored, and uncertainties examined include: extreme stock price volatility; discontinuous labour market participation; and regulatory failure and macroeconomic instability. Concluding with the observation that regulatory reforms could be almost as scary as the underlying macroeconomic conditions, this book will prove a fascinating read for scholars, researchers, practitioners and policymakers with an interest in pensions and pension policy, financial economics and public sector economics.