Persistence Of The Price Dividend Ratio In A Present Value Model Of Stock Prices

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Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Heterogeneity and Persistence in Returns to Wealth

Author : Andreas Fagereng
Publisher : International Monetary Fund
ISBN 13 : 1484370066
Total Pages : 69 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Heterogeneity and Persistence in Returns to Wealth by : Andreas Fagereng

Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.

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.

Asset Pricing Theory

Author : Costis Skiadas
Publisher : Princeton University Press
ISBN 13 : 1400830141
Total Pages : 363 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Asset Pricing Theory by : Costis Skiadas

Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises

Asset Pricing for Dynamic Economies

Author : Sumru Altug
Publisher : Cambridge University Press
ISBN 13 : 1139474367
Total Pages : 702 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Asset Pricing for Dynamic Economies by : Sumru Altug

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

Valuation Approaches and Metrics

Author : Aswath Damodaran
Publisher : Now Publishers Inc
ISBN 13 : 1601980140
Total Pages : 102 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Valuation Approaches and Metrics by : Aswath Damodaran

Download or read book Valuation Approaches and Metrics written by Aswath Damodaran and published by Now Publishers Inc. This book was released on 2005 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.

Crises in the Economic and Financial Structure

Author : Paul Wachtel
Publisher : Free Press
ISBN 13 :
Total Pages : 378 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Crises in the Economic and Financial Structure by : Paul Wachtel

Download or read book Crises in the Economic and Financial Structure written by Paul Wachtel and published by Free Press. This book was released on 1982 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discuss four crisis-prone areas of the economy-monetary control, bankruplcy, the international economy, and speculative bubbles.

Dividends and Dividend Policy

Author : H. Kent Baker
Publisher : John Wiley & Sons
ISBN 13 : 0470455802
Total Pages : 552 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Dividends and Dividend Policy by : H. Kent Baker

Download or read book Dividends and Dividend Policy written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2009-05-04 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividends And Dividend Policy As part of the Robert W. Kolb Series in Finance, Dividends and Dividend Policy aims to be the essential guide to dividends and their impact on shareholder value. Issues concerning dividends and dividend policy have always posed challenges to both academics and professionals. While all the pieces to the dividend puzzle may not be in place yet, the information found here can help you gain a firm understanding of this dynamic discipline. Comprising twenty-eight chapters—contributed by both top academics and financial experts in the field—this well-rounded resource discusses everything from corporate dividend decisions to the role behavioral finance plays in dividend policy. Along the way, you'll gain valuable insights into the history, trends, and determinants of dividends and dividend policy, and discover the different approaches firms are taking when it comes to dividends. Whether you're a seasoned financial professional or just beginning your journey in the world of finance, having a firm understanding of the issues surrounding dividends and dividend policy is now more important than ever. With this book as your guide, you'll be prepared to make the most informed dividend-related decisions possible—even in the most challenging economic conditions. The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals.

Complex Systems in Finance and Econometrics

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Valuation of Unlisted Direct Investment Equity

Author : Emmanuel O. Kumah
Publisher : International Monetary Fund
ISBN 13 : 1451873891
Total Pages : 75 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Valuation of Unlisted Direct Investment Equity by : Emmanuel O. Kumah

Download or read book Valuation of Unlisted Direct Investment Equity written by Emmanuel O. Kumah and published by International Monetary Fund. This book was released on 2009-11-01 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the seven valuation methods for unlisted direct investment equity included in the recently adopted IMF Balance of Payments and International Investment Position Manual, Sixth Edition (BPM6). Based on publicly available Danish data, we test the three methods that are generally applicable and find that the choice of valuation method and estimation technique can have a highly significant impact on the international investment position, pointing to the need for further harmonization. The results show that the price-to-book value method generates more robust market value estimates than the price-to-earnings method. This finding suggests that the valuation basis for the forthcoming Coordinated Direct Investment Survey - own funds at book value -will provide useful information for compiling the international investment position.

Analysis of Financial Statements

Author : Pamela P. Peterson
Publisher : John Wiley & Sons
ISBN 13 : 0471914479
Total Pages : 218 pages
Book Rating : 4.4/5 (719 download)

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Book Synopsis Analysis of Financial Statements by : Pamela P. Peterson

Download or read book Analysis of Financial Statements written by Pamela P. Peterson and published by John Wiley & Sons. This book was released on 2012-06-19 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revised and up to date, the Second Edition includes valuable information that addresses questions such as: * What is transparency and why do we care? * How can financial statements inform investors? * How can financial statements mislead investors? * How has the Sarbanes-Oxley Act changed companies' financial disclosures? * What should you look for in financial disclosures when judging a company's financial health? * How do financial statements relate to the value of a company's stock? * Why is cash flow so important to a company's financial health? Throughout Analysis of Financial Statements, Second Edition, the authors demonstrate the nuts and bolts of financial analysis by applying the techniques to actual companies. The authors set the stage for financial analysis in Part One with their discussions of financial statements and the quality of financial statements. In Part Two, they walk you through how to judge a company's financial health using financial disclosures in financial ratio analysis, earnings analysis, and cash flow analysis. In Part Three, the authors take analysis a step further by discussing how investors and creditors can use financial statements to more effectively assess a company's performance and risk. Peterson and Fabozzi wrap up this Second Edition with a set of lessons for investors and analysts: Lesson 1: Understand what you are looking at Lesson 2: Read the fine print Lesson 3: If it's too good to be true, it may be Lesson 4: Follow the money Lesson 5: Understand the risks

Financial Decisions and Markets

Author : John Y. Campbell
Publisher : Princeton University Press
ISBN 13 : 0691160805
Total Pages : 476 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Financial Decisions and Markets by : John Y. Campbell

Download or read book Financial Decisions and Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2017-10-31 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the field’s most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. The book shows how models make predictions not only about asset prices but also about investors’ financial positions, and how they often draw on insights from behavioral economics. After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics. The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Markets is an essential resource for all graduate students and practitioners in finance and related fields. Integrated treatment of asset pricing theory and empirical evidence Emphasis on investors’ decisions Broad view linking the field to financial econometrics, household finance, and macroeconomics Topics treated in discrete time, with no requirement for stochastic calculus Solutions manual for problems available to professors

Fundamentals of Investment

Author : Brian O'Loughlin
Publisher : Routledge
ISBN 13 : 1351667564
Total Pages : 506 pages
Book Rating : 4.3/5 (516 download)

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Book Synopsis Fundamentals of Investment by : Brian O'Loughlin

Download or read book Fundamentals of Investment written by Brian O'Loughlin and published by Routledge. This book was released on 2019-05-20 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Post the Financial Crash, the role of regulation and the impact of regulation on all aspects of the financial industry has broadened and intensified. This book offers a comprehensive review of the operations of the industry post-financial crisis from a variety of perspectives. This new edition builds upon the authors’ predecessor book, Fundamentals of Investment: An Irish Perspective. The core of the original text is retained particularly concerning fundamental concepts such as discounted cash flow valuation techniques. Changes in this new text are driven by two important factors. First, the long shadow of the Global Financial Crisis and the ensuing Great Recession continues to impact economies and financial markets. Second, the new text adopts a more international perspective with a focus on the UK and Ireland. The authors present the reader with a clear linkage between investment theory and concepts (the ‘fundamentals’) and the practical application of these concepts to the financial planning and advisory process. This practical perspective is driven by the decades-long fund management and stockbroking experience of the authors. Investment knowledge is a core competence required by large numbers of organisations and individuals in the financial services industry. This new edition will be an invaluable resource for financial advisers, financial planners and those engaged in advisory and/or support functions across the investment industry. Those taking investment modules in third-level educational institutes will find this book to be a useful complement to the more academically focused textbooks.

State-Space Models

Author : Yong Zeng
Publisher : Springer Science & Business Media
ISBN 13 : 1461477891
Total Pages : 358 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis State-Space Models by : Yong Zeng

Download or read book State-Space Models written by Yong Zeng and published by Springer Science & Business Media. This book was released on 2013-08-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.

New Methods For The Arbitrage Pricing Theory And The Present Value Model

Author : Jianping Mei
Publisher : World Scientific
ISBN 13 : 9814501808
Total Pages : 132 pages
Book Rating : 4.8/5 (145 download)

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Book Synopsis New Methods For The Arbitrage Pricing Theory And The Present Value Model by : Jianping Mei

Download or read book New Methods For The Arbitrage Pricing Theory And The Present Value Model written by Jianping Mei and published by World Scientific. This book was released on 1994-10-24 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.

Asset Pricing

Author : Hsien-hsing Liao
Publisher : World Scientific
ISBN 13 : 9812795618
Total Pages : 265 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Asset Pricing by : Hsien-hsing Liao

Download or read book Asset Pricing written by Hsien-hsing Liao and published by World Scientific. This book was released on 2003 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students."

The Econometrics of Financial Markets

Author : John Y. Campbell
Publisher : Princeton University Press
ISBN 13 : 1400830214
Total Pages : 630 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis The Econometrics of Financial Markets by : John Y. Campbell

Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.