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Author : Yi Zhou
Publisher : ProQuest
ISBN 13 : 9781109058079
Total Pages : 201 pages
Book Rating : 4.0/5 (58 download)
Download or read book Leverage, Asset Pricing and Its Implications written by Yi Zhou and published by ProQuest. This book was released on 2000 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sinta Aryani
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Effect of Leverage in Asset Pricing, an Empirical Study of Indonesian Market written by Sinta Aryani and published by . This book was released on 2020 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Background - The based model of asset pricing, CAPM, only considers the surrounding factors of the asset. It omits the internal factors of the asset itself. Some scholars only consider the one factor which contributes to the asset pricing; it could be the Size or Earning Price Ratio or Leverage or other financial factors. Empirically, the asset pricing model combines the financial factors into the asset pricing and it has not considered the leverage as one of the financial factors all together.Purpose - The study adds the leverage into empirical model of asset pricing together with other financial factors i.e. Size, Book to Market, Operating Profit, and Investment. The excess return is considered as a proxy of asset pricing and its value will be assessed by all the factors proxied in the model.Design/Method/Approach - Data used in this study is monthly adjusted prices and other financial factors of all stock listed in the Indonesian Market from the period of 2006 to 2015. The examination of all financial factors proxied in this model empirically has been done by having the stationary test and statistical relationship among the excess return and the factors. It will be used the portfolio approach to examine the relationship among them since the surrounding factors are better represent the asset pricing.Findings - The finding suggests that all the financial factors involved in the empirical asset pricing have contributed to the empirical asset pricing and all the factors of asset pricing have different characteristic in influencing the excess return of the portfolios in general and in diversified approach.Research Limitations - The study has been done in Indonesian Market only and it used the financial report of each firms in the market as the main data resource. The study does not consider the financial institutions since they might have different composition of leverage compare to other firms, and they might bias the results of study.Originality/Value - This empirical study has been done in Indonesia and considers the leverage as additional factors of the asset pricing factors together with other asset pricing factors of asset pricing. The leverage as the single factor has been considered as important factors for asset pricing however how far the leverage contribute to asset pricing compares to other financial factors has not examined yet.
Author : Yi Zhou
Publisher :
ISBN 13 :
Total Pages : 410 pages
Book Rating : 4.:/5 ( download)
Download or read book Leverage, Asset Pricing and Its Implications written by Yi Zhou and published by . This book was released on 2008 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gary B. Gorton
Publisher : Oxford University Press
ISBN 13 : 0199742111
Total Pages : 232 pages
Book Rating : 4.1/5 (997 download)
Download or read book Slapped by the Invisible Hand written by Gary B. Gorton and published by Oxford University Press. This book was released on 2010-03-08 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally written for a conference of the Federal Reserve, Gary Gorton's "The Panic of 2007" garnered enormous attention and is considered by many to be the most convincing take on the recent economic meltdown. Now, in Slapped by the Invisible Hand, Gorton builds upon this seminal work, explaining how the securitized-banking system, the nexus of financial markets and instruments unknown to most people, stands at the heart of the financial crisis. Gorton shows that the Panic of 2007 was not so different from the Panics of 1907 or of 1893, except that, in 2007, most people had never heard of the markets that were involved, didn't know how they worked, or what their purposes were. Terms like subprime mortgage, asset-backed commercial paper conduit, structured investment vehicle, credit derivative, securitization, or repo market were meaningless. In this superb volume, Gorton makes all of this crystal clear. He shows that the securitized banking system is, in fact, a real banking system, allowing institutional investors and firms to make enormous, short-term deposits. But as any banking system, it was vulnerable to a panic. Indeed the events starting in August 2007 can best be understood not as a retail panic involving individuals, but as a wholesale panic involving institutions, where large financial firms "ran" on other financial firms, making the system insolvent. An authority on banking panics, Gorton is the ideal person to explain the financial calamity of 2007. Indeed, as the crisis unfolded, he was working inside an institution that played a central role in the collapse. Thus, this book presents the unparalleled and invaluable perspective of a top scholar who was also a key insider.
Author : David W. Mullins Jr.
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Financial Leverage, the Capital Asset Pricing Model and the Cost of Equity Capital written by David W. Mullins Jr. and published by . This book was released on 1980 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yakov Amihud
Publisher : Now Publishers Inc
ISBN 13 : 1933019123
Total Pages : 109 pages
Book Rating : 4.9/5 (33 download)
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author : Mohammad Sharifzadeh
Publisher : Universal-Publishers
ISBN 13 : 1599423758
Total Pages : 180 pages
Book Rating : 4.5/5 (994 download)
Download or read book An Empirical and Theoretical Analysis of Capital Asset Pricing Model written by Mohammad Sharifzadeh and published by Universal-Publishers. This book was released on 2010-11-18 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem addressed in this dissertation research was the inability of the single-factor capital asset pricing model (CAPM) to identify relevant risk factors that investors consider in forming their return expectations for investing in individual stocks. Identifying the appropriate risk factors is important for investment decision making and is pertinent to the formation of stocks' prices in the stock market. Therefore, the purpose of this study was to examine theoretical and empirical validity of the CAPM and to develop and test a multifactor model to address and resolve the empirical shortcomings of the single-factor CAPM. To verify the empirical validity of the standard CAPM and of the multifactor model, five hypotheses were developed and tested against historical monthly data for U.S. public companies. Testing the CAPM hypothesis revealed that the explanatory power of the overall stock market rate of return in explaining individual stock's expected rates of return is very weak, suggesting the existence of other risk factors. Testing of the other hypotheses verified that the implied volatility of the overall market as a systematic risk factor and the companies' size and financial leverage as nonsystematic risk factors are important in determining stock's expected returns and investors should consider these factors in their investment decisions. The findings of this research have important implications for social change. The outcome of this study can change the way individual and institutional investors as well as corporations make investment decisions and thus change the equilibrium prices in the stock market. These changes in turn could lead to significant changes in the resource allocation in the economy, in the economy's production capacity and production composition, and in the employment structure of the society.
Author : Harry Markowitz
Publisher : Yale University Press
ISBN 13 : 0300013728
Total Pages : 369 pages
Book Rating : 4.3/5 ( download)
Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Author : Tobias Adrian
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (957 download)
Download or read book Dynamic Leverage Asset Pricing written by Tobias Adrian and published by . This book was released on 2016 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically investigate predictions from alternative intermediary asset pricing theories. The theories distinguish themselves in their use of intermediary equity or leverage as pricing factors or forecasting variables. We find strong support for a parsimonious dynamic pricing model based on broker-dealer leverage as the return forecasting variable and shocks to broker-dealer leverage as a cross-sectional pricing factor. The model performs well in comparison to other intermediary asset pricing models as well as benchmark pricing models in linear and nonlinear specifications. We find little empirical support for pricing models using intermediary equity as state variable.
Author : Mr.Sonali Das
Publisher : International Monetary Fund
ISBN 13 : 148431817X
Total Pages : 17 pages
Book Rating : 4.4/5 (843 download)
Download or read book The Effect of Leverage on Asset Sales Between Financial Institutions written by Mr.Sonali Das and published by International Monetary Fund. This book was released on 2017-09-08 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes how the leverage of financial institutions affects their demand for assets and the resulting value of transactions between financial institutions. The results show a positive relationship between buyer capital and the likelihood of buying assets, and between buyer capital and the value of the deal. That is, those institutions that are the least constrained in their ability to raise funding are those that demand assets and pay more for them. This result does not hold, however, for deposit-taking institutions that had access to several government programs designed to improve their liquidity position during the crisis of 2008.
Author : Daron Acemoglu
Publisher :
ISBN 13 : 9780226002095
Total Pages : 0 pages
Book Rating : 4.0/5 (2 download)
Download or read book NBER Macroeconomics Annual 2009 written by Daron Acemoglu and published by . This book was released on 2010-07 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2009 address how heterogeneous beliefs interact with equilibrium leverage and potentially lead to leverage cycles, the validity of alternative hypotheses about the reason for the recent increase in foreclosures on residential mortgages, the credit rating crisis, quantitative implications for the evolution of the U.S. wage distribution, and noisy business cycles.
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 : 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 : Marco Cipriani
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (113 download)
Download or read book Leverage and Asset Prices written by Marco Cipriani and published by . This book was released on 2020 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We develop a model of leverage that is amenable to laboratory implementation and gather experimental data. We compare two identical economies: in one economy, agents cannot borrow; in the other, they can leverage a risky asset to issue debt. Leverage increases asset prices in the laboratory. This increase is significant and quantitatively close to what theory predicts. Moreover, also as theory suggests, leverage allows gains from trade to be realized in the laboratory. Finally, the mechanism generating the price increase in the lab is due to the asset role as collateral, and different from what we would observe with a simple credit line or bigger cash endowments
Author : Benjamin M. Friedman
Publisher : University of Chicago Press
ISBN 13 : 0226264238
Total Pages : 404 pages
Book Rating : 4.2/5 (262 download)
Download or read book Corporate Capital Structures in the United States written by Benjamin M. Friedman and published by University of Chicago Press. This book was released on 2009-05-15 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: The research reported in this volume represents the second stage of a wide-ranging National Bureau of Economic Research effort to investigate "The Changing Role of Debt and Equity in Financing U.S. Capital Formation." The first group of studies sponsored under this project, which have been published individually and summarized in a 1982 volume bearing the same title (Friedman 1982), addressed several key issues relevant to corporate sector behavior along with such other aspects of the evolving financial underpinnings of U.S. capital formation as household saving incentives, international capital flows, and government debt management. In the project's second series of studies, presented at the National Bureau of Economic Research conference in January 1983 and published here for the first time along with commentaries from that conference, the central focus is the financial side of capital formation undertaken by the U.S. corporate business sector. At the same time, because corporations' securities must be held, a parallel focus is on the behavior of the markets that price these claims.
Author : Andy Naranjo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Leverage and Returns written by Andy Naranjo and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theoretical literature suggests a positive relation between financial leverage and asset returns, but the empirical evidence on this effect is mixed. We examine leverage effects in public real estate markets across eight countries with active public real estate markets. Cross-country public real estate markets provide an interesting ground given the significant use of leverage in real estate markets, the variation in REIT capital structures within and across countries, and the cross-country differences in liquidity, ownership, economic, institutional, and capital market structures. After carefully isolating leverage effects in firm-level returns, we find that leverage has a significant effect on returns both unconditionally and conditionally using standard asset pricing models. In addition, greater use of leverage during the 2007-2008 REIT crisis period is associated with larger share price declines.
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.
