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Author : Cheng F. Lee
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (597 download)
Download or read book Specification Errors, Residual Analysis and Capital Asset Pricing written by Cheng F. Lee and published by . This book was released on 1980 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng F. Lee
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (31 download)
Download or read book Specification Error, Random Coefficient and the Risk-return Relationship Test in Capital Asset Pricing written by Cheng F. Lee and published by . This book was released on 1980 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edward M. Rice
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (31 download)
Download or read book Portfolio Performance, Residual Analysis and Capital Asset Pricing Model Tests written by Edward M. Rice and published by . This book was released on 1979 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent work by Richard Roll has challenged the worth of portfolio performance measures based on the capital asset pricing model. This paper demonstrates that Roll's conclusions are due to his inappropriate use of a 'truly' ex-ante efficient index. Using a choice and information theoretic framework, an appropriate index is shown to be efficient relative to to the probabilities assessed by the 'market.' Residual analyses and portfolio performance tests, using such an index, yield meaningful results for a wide class of information structures. Roll's primary criticisms, however, relate to tests of the model itself. We argue that these criticisms are vastly overstated.
Author : Robert J. Hodrick
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (247 download)
Download or read book Evaluating the Specification Errors of Asset Pricing Models written by Robert J. Hodrick and published by . This book was released on 2000 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing model, the Cochrane (1996) production-based model, and the Fama-French (1993) three-factor and five-factor models. We use returns on the Fama-French twenty-five portfolios sorted by size and book-to-market ratio and the risk-free rate as our test assets. The sample is 1952 to 1997. We allow the parameters of the models' pricing kernels to fluctuate with the business cycle which we measure in two ways. One uses the Hodrick-Prescott (1997) filter applied to either industrial production for monthly models or real GNP for quarterly models. The second approach for quarterly models uses the consumption-wealth measure developed by Lettau and Ludvigson (1999). While we cannot reject correct pricing for Campbell's model, a stability test indicates that the parameters may not be stable. None of the models correctly prices returns that are scaled by the term premium
Author : Cheng F. Lee
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (748 download)
Download or read book An Integration and Analysis of Fixed Coefficient, Random Coefficient, Errors-in-variables, and Capital Asset Pricing Model written by Cheng F. Lee and published by . This book was released on 1981 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (31 download)
Download or read book Research Projects and Publications written by and published by . This book was released on 1980 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Terry A. Marsh
Publisher : Forgotten Books
ISBN 13 : 9780666234278
Total Pages : 44 pages
Book Rating : 4.2/5 (342 download)
Download or read book Asset Pricing Model Specification and the Term Structure Evidence (Classic Reprint) written by Terry A. Marsh and published by Forgotten Books. This book was released on 2018-02-23 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Asset Pricing Model Specification and the Term Structure Evidence Fisher (1930) presented a comprehensive analysis of the determinants of interest rates under certainty, but stopped short of any real efforts to extend his results to a world in which the return streams generated by capital assets are uncertain. Such an extension requires a tractable model for defining and pricing the differences across assets with respect to the uncertainty of their returns. Sharpe Lintner Mossin and Black (1972) all showed that an equilibrium in which investors hold mean-variance efficient portfolios, as they will do if asset returns are normally distributed and/or if their utility functions are quadratic [tobin implies that a capital asset pricing model (capm) describes the risk and return characteristics of all assets. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author : Jan William Michael
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 (389 download)
Download or read book The Capital Asset Pricing Model Adjusted for Misspecification and Errors in Variables Bias Applied to the Regulatory Environment written by Jan William Michael and published by . This book was released on 1976 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R. Stephen Sears
Publisher :
ISBN 13 :
Total Pages : 372 pages
Book Rating : 4.:/5 (31 download)
Download or read book Evaluation of Bookkeeping Changes written by R. Stephen Sears and published by . This book was released on 1980 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jia He
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book Asset Pricing Specification Errors and Performance Evaluation written by Jia He and published by . This book was released on 1996 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Suat Teker
Publisher :
ISBN 13 : 9789756951071
Total Pages : 144 pages
Book Rating : 4.9/5 (51 download)
Download or read book A Comparative Empirical Investigation of Asset Pricing Models written by Suat Teker and published by . This book was released on 1998 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
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 : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 1493994298
Total Pages : 655 pages
Book Rating : 4.4/5 (939 download)
Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 655 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Author : Cheng Few Lee
Publisher : World Scientific Publishing Company
ISBN 13 : 9814458902
Total Pages : 1190 pages
Book Rating : 4.8/5 (144 download)
Download or read book Security Analysis, Portfolio Management, And Financial Derivatives written by Cheng Few Lee and published by World Scientific Publishing Company. This book was released on 2012-10-01 with total page 1190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.
Author :
Publisher :
ISBN 13 :
Total Pages : 1032 pages
Book Rating : 4.3/5 (91 download)
Download or read book National Union Catalog written by and published by . This book was released on 1982 with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes entries for maps and atlases.
Author : Cheng F. Lee
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (31 download)
Download or read book Market Information Vs. Accounting Information in Capital Asset Pricing written by Cheng F. Lee and published by . This book was released on 1977 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
