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Author : Huan Zhang
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (27 download)
Download or read book New Tests of Capital Market Equilibrium Prices and Information Efficiency written by Huan Zhang and published by . This book was released on 1992 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James L. Bicksler
Publisher : Free Press
ISBN 13 :
Total Pages : 664 pages
Book Rating : 4.X/5 ( download)
Download or read book Capital Market Equilibrium and Efficiency written by James L. Bicksler and published by Free Press. This book was released on 1977 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen F. LeRoy
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.:/5 (318 download)
Download or read book Efficient Capital Markets and Martingales written by Stephen F. LeRoy and published by . This book was released on 1989 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emilio Barucci
Publisher : Springer
ISBN 13 : 1447173228
Total Pages : 843 pages
Book Rating : 4.4/5 (471 download)
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
Author : Thomas R. Dyckman
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.3/5 (512 download)
Download or read book Efficient Capital Markets and Accounting written by Thomas R. Dyckman and published by Prentice Hall. This book was released on 1986 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Capital Market Equilibrium and efficiency written by and published by . This book was released on 1977 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael C. Jensen
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.X/5 (1 download)
Download or read book Tests of Capital Market Theory and Implications of the Evidence written by Michael C. Jensen and published by . This book was released on 1975 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qaiser Munir
Publisher : Routledge
ISBN 13 : 1317270290
Total Pages : 271 pages
Book Rating : 4.3/5 (172 download)
Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Routledge. This book was released on 2016-10-04 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Author : Edward E. Williams
Publisher : World Scientific
ISBN 13 : 9811207798
Total Pages : 197 pages
Book Rating : 4.8/5 (112 download)
Download or read book A Random Walk to Nowhere written by Edward E. Williams and published by World Scientific. This book was released on 2020 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Preface -- Fraud, lies, and statistics -- The early history of modern financial economics -- The birth of the efficient market hypothesis -- Earlier views of market efficiency -- The impact of information and regulation on market efficiency -- Tests of the EMH -- Anomalies -- The capital asset pricing model -- Beyond the CAPM -- Conclusions -- References.
Author : James Duncan MacBeth
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (287 download)
Download or read book Tests of the Two Parameter Model of Capital Market Equilibrium written by James Duncan MacBeth and published by . This book was released on 1975 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lan Sun
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659136610
Total Pages : 60 pages
Book Rating : 4.1/5 (366 download)
Download or read book Capital Market Efficiency and Stock Price Anomalies written by Lan Sun and published by LAP Lambert Academic Publishing. This book was released on 2012-05 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH), well known as the random walk theory, proposes that stock prices should fully, immediately, reflect all available relevant information about the value of the firm. The concept of capital market efficiency is central to finance. If the efficient market hypothesis holds, the stock prices should fully reflect all relevant information about the firm value. As a consequence, investors cannot expect to achieve excess returns from their investment strategies. While the idea market efficiency offers an important implication to investors, studies show that the efficient market theory has been challenged. Various anomalies have been documented in the last two decades that contradicts to the efficient market hypothesis. This study reviews the theory and evidence of market efficiency and particularly it investigates a number of anomalies including PE ratio, Price-to-book ratio and firm size effects in Australia.
Author : Chaoli Guo
Publisher : Open Dissertation Press
ISBN 13 : 9781361276532
Total Pages : pages
Book Rating : 4.2/5 (765 download)
Download or read book Three Essays on Capital Market with Incomplete and Asymmetric Information written by Chaoli Guo and published by Open Dissertation Press. This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Three Essays on Capital Market With Incomplete and Asymmetric Information" by Chaoli, Guo, 郭朝莉, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis includes one essay on incomplete information and two essays on the capital market implications of asymmetric information. The acquisition of information and its dissemination to all economic units are central activities in capital markets. Limits to information diffusion may exist when market participants have limited processing ability or when market structure causes information asymmetry to persist. Merton (1987) proposes a simple capital market equilibrium model with incomplete information, in which difference in a stock's investor recognition affects its cost of capital. Myers and Majluf (1984) lay out the theoretical foundation for the role of asymmetric information in corporate finance and its capital market implications. The first essay tests and offers support to Merton's (1987) theory. In the U.S. market, using the breadth of ownership among retail investors as a proxy for investor recognition, I show that a long-short portfolio based on the annual change of shareholder base earns a compounded annual abnormal return of 6.42% after controlling for the Fama-French three factors. These results are more pronounced among young, low visibility and high idiosyncratic volatility stocks. Moreover, I present evidence that the investor recognition effect can explain approximately 20% of the puzzling net equity issuance effect documented by Pontiff and Woodgate (2008). The second essay suggests a novel signaling mechanism in the framework of asymmetric information. When a firm's convertible debt is issued, it is not only determined by the fundamentals of the firm such as past stock performance, but also related to whether this performance is realized during the tenure of current CEO who decides the issues. I define the performance that the current CEO achieves in the firm ever since the CEO comes to the helm as CEO-specific performance. Higher CEOspecific performance leads to (1) a higher probability of convertible issues, and (2) a less negative abnormal stock return in response to the convertible issue announcement, controlling for other firm characteristics. These evidences indicate that CEO-specific performance serves as a credible information signal to influence the adverse selection costs between the firm and outside investors in convertible bond financing. The third essay explores the possibility of asymmetric information in explaining the pronounced share issue anomaly in the cross-sectional variations of stock returns, as documented by Pontiff and Woodgate (2008). A lot of equity share issue and repurchase actions are actively determined by the decision of corporate stakeholders, such as employees at the stock options exercises. As these stakeholders hold a large amount of private information about the firm, it is in their optimal decisions to try to time the exercise of their share purchase activity, but outside investors are likely to fail to interpret the information revealed from these actions. I present strong evidence that a negative relation between share issues and stock returns is affected to a greater extent when the information asymmetry problem is more severe. DOI: 10.5353/
Author : Andrew Ang
Publisher : Now Publishers Inc
ISBN 13 : 1601984685
Total Pages : 99 pages
Book Rating : 4.6/5 (19 download)
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author : John Virgil Lintner
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (168 download)
Download or read book Some New Perspectives on Tests of CAPM and Other Capital Asset Pricing Models and Issues of Market Efficiency written by John Virgil Lintner and published by . This book was released on 1981 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Aharon R. Ofer
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (129 download)
Download or read book New Tests of Market Efficiency Using Fully Identifiable Equity Cash Flows written by Aharon R. Ofer and published by . This book was released on 2007 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the fact that stock market efficiency has been tested in numerous studies and through several approaches, it is still not clear to what extent stock prices correctly reflect information. The inability to test whether stock prices correctly incorporate information stems from the infinite life of a corporation, which inhibits complete measurement of realized corporate cash flows. Using a unique dataset of publicly traded venture capital funds, we examine the relation between investor reaction to announcements of identifiable investments by funds and realized results of these investments. The advantage of our dataset is that these investments retain their original structure until fully realized. Our results indicate that, upon the announcement of investments, investors are able to properly forecast the eventual realizations of these investments and share prices reflect these forecasts.
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.
