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Author :
Publisher :
ISBN 13 :
Total Pages : 840 pages
Book Rating : 4.3/5 (555 download)
Download or read book Journal of Business Administration written by and published by . This book was released on 1980 with total page 840 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 540 pages
Book Rating : 4.3/5 (91 download)
Download or read book Canadiana written by and published by . This book was released on 1981 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gurnain Kaur Pasricha
Publisher : International Monetary Fund
ISBN 13 : 1513546104
Total Pages : 60 pages
Book Rating : 4.5/5 (135 download)
Download or read book Estimated Policy Rules for Capital Controls written by Gurnain Kaur Pasricha and published by International Monetary Fund. This book was released on 2020-06-05 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper borrows the tradition of estimating policy reaction functions from monetary policy literature to ask whether capital controls respond to macroprudential or mercantilist motivations. I explore this question using a novel, weekly dataset on capital control actions in 21 emerging economies from 2001 to 2015. I introduce a new proxy for mercantilist motivations: the weighted appreciation of an emerging-market currency against its top five trade competitors. This proxy Granger causes future net initiations of non-tariff barriers in most countries. Emerging markets systematically respond to both mercantilist and macroprudential motivations. Policymakers respond to trade competitiveness concerns by using both instruments—inflow tightening and outflow easing. They use only inflow tightening in response to macroprudential concerns. Policy is acyclical to foreign debt; however, high levels of this debt reduces countercyclicality to mercantilist concerns. Higher exchange rate pass-through to export prices, and having an inflation targeting regime with non-freely floating exchange rates, increase responsiveness to mercantilist concerns.
Author : Wang, Jingxi
Publisher : Intl Food Policy Res Inst
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4./5 ( download)
Download or read book Large-scale school meal programs and student health: Evidence from rural China written by Wang, Jingxi and published by Intl Food Policy Res Inst. This book was released on 2021-03-18 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reducing urban-rural gaps in child health and nutrition is one of the most difficult challenges faced by many countries. This paper evaluates the impact of the Nutrition Improvement Program (NIP), a large-scale school meal program in rural China, on the health and nutritional status of compulsory education students aged 6-16. We use data from multiple rounds of the China Health and Nutrition Survey between 2004-2015 and implement a quasi-experimental approach exploiting cross-county variations in program implementation. We find that NIP participation is, on average, associated with a higher height-for-age z-score in the order of 0.22-0.42 standard deviations. The impacts are larger among students in a better health condition but small or not significant among the most disadvantaged. We do not observe heterogeneous effects across several individual and household characteristics. We also do not find significant effects on Body Mass Index-for-age and weight-for-age z scores. The results suggest that NIP partially improved students’ health over the first years of implementation, but more support is needed to achieve broader impacts that effectively reach all vulnerable students. Several robustness checks support our findings.
Author : TAKEAKI KARIYA
Publisher : Springer Science & Business Media
ISBN 13 : 9781402072437
Total Pages : 296 pages
Book Rating : 4.0/5 (724 download)
Download or read book Asset Pricing written by TAKEAKI KARIYA and published by Springer Science & Business Media. This book was released on 2002-10-31 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac cepted principle that financial asset prices are instantly adjusted at each mo ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.
Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 0470057998
Total Pages : 258 pages
Book Rating : 4.4/5 (7 download)
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Author : James W. Kolari
Publisher : Springer Nature
ISBN 13 : 3030651975
Total Pages : 326 pages
Book Rating : 4.0/5 (36 download)
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Author : Sumru Altug
Publisher : Cambridge University Press
ISBN 13 : 1139474367
Total Pages : 702 pages
Book Rating : 4.1/5 (394 download)
Download or read book Asset Pricing for Dynamic Economies written by Sumru Altug and published by Cambridge University Press. This book was released on 2008-09-11 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
Author : Chenghu Ma
Publisher :
ISBN 13 : 9781848166332
Total Pages : 818 pages
Book Rating : 4.1/5 (663 download)
Download or read book Advanced Asset Pricing Theory written by Chenghu Ma and published by . This book was released on 2011 with total page 818 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Diana R. Harrington
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.3/5 (97 download)
Download or read book Modern Portfolio Theory, the Capital Asset Pricing Model, and Arbitrage Pricing Theory written by Diana R. Harrington and published by Prentice Hall. This book was released on 1987 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arno Popanda
Publisher :
ISBN 13 : 9783346035219
Total Pages : 32 pages
Book Rating : 4.0/5 (352 download)
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 . This book was released on 2019-09-10 with total page 32 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.
Author : Eleftherios Giovanis
Publisher : GRIN Verlag
ISBN 13 : 3640576799
Total Pages : 94 pages
Book Rating : 4.6/5 (45 download)
Download or read book Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market written by Eleftherios Giovanis and published by GRIN Verlag. This book was released on 2010-03-26 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, , language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH’s models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises “Unibrain” “MLS Informatics” and “Dionic” respectively , from April 2nd of 2002 to 30th October of 2007 for the enterprise “Compucon”, from August 2nd of 2002 to 30th October of 2007 for the enterprise “Centric”, and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise “Ilyda”. Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
Author : Kenneth J. Singleton
Publisher : Princeton University Press
ISBN 13 : 1400829232
Total Pages : 497 pages
Book Rating : 4.4/5 (8 download)
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Author : Haim Levy
Publisher :
ISBN 13 : 9781139183567
Total Pages : 442 pages
Book Rating : 4.1/5 (835 download)
Download or read book The Capital Asset Pricing Model in the 21st Century written by Haim Levy and published by . This book was released on 2012 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Project Theory and the classical models in finance (e.g., the CAPM) seemingly contradict each other, creating a teachin and a research dilemma to professors in finanace and econommics, This tension is particualrly strong for professors who teach both the CAPM and behavioral finance. This book bridges between Prospect Theory and the Classical Models in finance showing that there is no contradictions between them"--
Author : 50minutes
Publisher : Management & Marketing
ISBN 13 : 9782806269973
Total Pages : 40 pages
Book Rating : 4.2/5 (699 download)
Download or read book Capital Asset Pricing Model written by 50minutes and published by Management & Marketing. This book was released on 2015-09-02 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make smart investment decisions to build a strong portfolio This book is a practical and accessible guide to understanding and implementing the capital asset pricing model, providing you with the essential information and saving time. In 50 minutes you will be able to: - Understand the uses of the capital asset pricing model and how you can apply it to your own portfolio - Analyze the components of your current portfolio and its level of efficiency to assess which assets you should retain and which you should remove - Calculate the level of risk involved in new investments so that you make the right decisions and build the most efficient portfolio possible ABOUT 50MINUTES.COM Management & Marketing 50MINUTES.COM provides the tools to quickly understand the main theories and concepts that shape the economic world of today. Our publications are easy to use and they will save you time. They provide elements of theory and case studies, making them excellent guides to understand key concepts in just a few minutes. In fact, they are the starting point to take action and push your business to the next level.
Author : Riad Nourallah
Publisher : Sudwestdeutscher Verlag Fur Hochschulschriften AG
ISBN 13 : 9783838129693
Total Pages : 252 pages
Book Rating : 4.1/5 (296 download)
Download or read book Taxation and International Capital Asset Pricing Theory written by Riad Nourallah and published by Sudwestdeutscher Verlag Fur Hochschulschriften AG. This book was released on 2011 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Adler and Dumas (1983) laid the foundation for pricing international assets under deviation from Relative Purchasing Power Parity (PPP). Only Lally (1996) regards the spectrum of international taxation but in his model - he disregards the tremendous impact of exchange gains taxation in International Capital Asset Pricing Theory (IntCAPT). This dissertation develops a theory of taxation in pricing international assets. The new result is that the integration of exchange gains taxation into the Tax - IntCAPM leads to an international pricing relationship composed of the risky asset's excess return and its world risk premium, which is adapted by exchange gains tax factors. The non-linear deterministic behavior of exchange rates and the determination of inflation by monetary policy lead to the integration of the market equilibrium exchange and inflation rate into the Tax - IntCAPM.
Author : Paul E. Schulz
Publisher :
ISBN 13 : 9781611228038
Total Pages : 0 pages
Book Rating : 4.2/5 (28 download)
Download or read book Financial Asset Pricing written by Paul E. Schulz and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In finance, the capital asset pricing model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset. This book presents current research in the study of financial asset pricing, including monetary policy and boom-bust cycles in asset pricing; migration dynamics of stock movements between portfolios; return calculation in international mutual funds; risk premium, market price of risk, and stochastic price models for commodities; computation finance for stochastic volatility and correlation; and consumption-based asset pricing model (CCAPM) in Latin America.
