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Author : Krishnamurthy G. Hegde
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Some empirical tests of the arbitrage pricing model written by Krishnamurthy G. Hegde and published by . This book was released on 1983 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Su-Jane Chen
Publisher :
ISBN 13 :
Total Pages : 332 pages
Book Rating : 4.:/5 (966 download)
Download or read book Some Empirical Tests in the Arbitrage Pricing Theory written by Su-Jane Chen and published by . This book was released on 1993 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bruce Neal Lehmann
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (145 download)
Download or read book The Empirical Foundations of the Arbitrage Pricing Theory I written by Bruce Neal Lehmann and published by . This book was released on 1985 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Eatwell
Publisher : Palgrave Macmillan
ISBN 13 : 9780333495353
Total Pages : 278 pages
Book Rating : 4.4/5 (953 download)
Download or read book Finance written by John Eatwell and published by Palgrave Macmillan. This book was released on 1989-11-01 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on finance.
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 : 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 : Ke-hua Zhou
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (27 download)
Download or read book Empirical Tests of the Explanatory Power of Arbitrage Pricing Theory, and of the Stability of the Model Parameters written by Ke-hua Zhou and published by . This book was released on 1992 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sungmoon Lee
Publisher :
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.:/5 (318 download)
Download or read book An Empirical Test of the Arbitrage Pricing Theory written by Sungmoon Lee and published by . This book was released on 1990 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Koch
Publisher : GRIN Verlag
ISBN 13 : 3640277856
Total Pages : 81 pages
Book Rating : 4.6/5 (42 download)
Download or read book The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation written by Christian Koch and published by GRIN Verlag. This book was released on 2009-03 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
Author : Roger Ibbotson
Publisher : Wiley
ISBN 13 : 9781119366676
Total Pages : 0 pages
Book Rating : 4.3/5 (666 download)
Download or read book 2017 Stocks, Bonds, Bills, and Inflation (SBBI) Yearbook written by Roger Ibbotson and published by Wiley. This book was released on 2017-04-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest, most complete data for more informed investment decisions The 2017 Stocks, Bonds, Bills, and Inflation (SBBI) Yearbook is the industry standard performance data reference, with comprehensive records dating back to 1926. Covering common stocks, long-term government bonds, long-term corporate bonds, Treasury bills, and the Consumer Price Index, this book provides the essential information advisors, planners, and brokers need to analyze asset class performance. Historical return figures include the riskless rate of interest, equity risk premium, bond default premium, and the maturity premium between the return on long-term governments and Treasury bills, and total returns and index values cover large and small company stocks, long- and intermediate-term government bonds, inflation, and more. Charts and graphs allow for quick visual reference, and a clear hierarchical organization pattern facilitates efficient data location. As the go-to reference for information and capital market returns, this book provides investors with the critical background they need to analyze future investments. With the most complete historical data available, investors will be able to: Find annual index levels and total rates of return for five basic asset series Access historical return figures for four component series Estimate cost-of-capital based on comprehensive, reliable data Make informed judgments about future investment opportunities Performance analysis is critical to successful investing, but the analysis can only be as useful as the data is accurate. Decisions made from scant information are not good investment decisions; investors need complete, top-quality data to make informed choices and properly balance risk with reward. The 2017 Stocks, Bonds, Bills, and Inflation (SBBI) Yearbook is the definitive study of historical capital market data in the United States, and the gold-standard reference industry-wide.
Author : Kathryn Ann Fisher
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (639 download)
Download or read book Testing the Arbitrage Pricing Theory written by Kathryn Ann Fisher and published by . This book was released on 1985 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shashi Kumar
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (32 download)
Download or read book The Arbitrage Pricing Model written by Shashi Kumar and published by . This book was released on 1992 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Norman A. Sinclair
Publisher :
ISBN 13 :
Total Pages : 528 pages
Book Rating : 4.:/5 (22 download)
Download or read book An Empirical Test of the Arbitrage Pricing Theory written by Norman A. Sinclair and published by . This book was released on 1982 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Alan E. Pari
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (256 download)
Download or read book An Empirical Test of Ross's Arbitrage Pricing Theory written by Robert Alan E. Pari and published by . This book was released on 1986 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Jurczenko
Publisher : Elsevier
ISBN 13 : 0081008112
Total Pages : 488 pages
Book Rating : 4.0/5 (81 download)
Download or read book Risk-Based and Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2015-11-24 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students
Author : Moon-Chuen Yuen
Publisher :
ISBN 13 : 9781361169100
Total Pages : pages
Book Rating : 4.1/5 (691 download)
Download or read book An Empirical Test of the Arbitrage Pricing Theory in the Hong Kong Stock Market written by Moon-Chuen Yuen and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher : Princeton University Press
ISBN 13 : 1400830214
Total Pages : 630 pages
Book Rating : 4.4/5 (8 download)
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.
