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The International Capital Asset Pricing Model With Returns That Follow Poisson Jump Difussion Processes
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Book Synopsis The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Processes by : Eric Bentzen
Download or read book The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Processes written by Eric Bentzen and published by . This book was released on 1992 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis THE INTEMPORAL CAPITAL ASSET PRICING MODEL WITH RETURNS THAT FOLLOW POISSON JUMP-DIFFUSION PROCESSES by : Peter SELLIN
Download or read book THE INTEMPORAL CAPITAL ASSET PRICING MODEL WITH RETURNS THAT FOLLOW POISSON JUMP-DIFFUSION PROCESSES written by Peter SELLIN and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Process by : Eric Bentaen
Download or read book The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Process written by Eric Bentaen and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The International Capital Asset Pricing Model with Returns that Follow Poisson Jump-difussion Processes by : Peter Sellin
Download or read book The International Capital Asset Pricing Model with Returns that Follow Poisson Jump-difussion Processes written by Peter Sellin and published by . This book was released on 1992 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A New Model of Capital Asset Prices by : James W. Kolari
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.
Book Synopsis Jump-Diffusion International Asset Pricing with Nontraded Consumption Goods by : Jaeyoung Sung
Download or read book Jump-Diffusion International Asset Pricing with Nontraded Consumption Goods written by Jaeyoung Sung and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a jump-diffusion international asset pricing model with stochastic exchange rates and inflation rates when investors consume both traded and nontraded goods. We argue that in general, the Adler-Dumas inflation rate differential may not fully capture PPP deviation risks, unless all volatilities, drift rates and jumps rates of PPP deviations/excchange rates are constant. The structure of optimal portfolios for investors from different countries reveals that country-specific demand for risky assets can arise from two sources of risks: PPP-deviation risks and nontraded-good-specific inflation-rate-differential risks. Consequently, equilibrium asset returns can be expressed in a multi-beta linear asset pricing model with a number of benchmark portfolios including hedge portfolios for PPP deviation risks and nontraded-good-specific inflation rate risks. The optimal portfolio structure further reveals that even if jump risks were added to otherwise pure diffusion assets in a no-jump world, investors' existing optimal portfolios of risky assets wouldn't change. We also note that risk premia on PPP deviation risks can be positive, zero, or even negative, that in the presence of inflation risks, hedging against exchange rate risks in isolation can sometimes make the investor's real wealth riskier than no hedging at all, and that a global investor optimally increases his consumption in both traded and nontraded goods as the price of the traded good of his own country increases.
Book Synopsis A Jump/diffusion Consumption-based Capital Asset Pricing Model and the Equity Premium Puzzle by : Knut Kristian Aase
Download or read book A Jump/diffusion Consumption-based Capital Asset Pricing Model and the Equity Premium Puzzle written by Knut Kristian Aase and published by . This book was released on 1992 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Capital Asset Pricing by : Henry Mo
Download or read book International Capital Asset Pricing written by Henry Mo and published by . This book was released on 2007 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the risk dynamics and pricing in international economies through a joint analysis of the time-series returns and option prices on three equity indexes underlying three economies: the Samp;P 500 Index of the United States, the FTSE 100 Index of the United Kingdom, and the Nikkei-225 Stock Average of Japan. We develop an international capital asset pricing model, under which the return on each equity index is decomposed into two orthogonal jump-diffusion components: a global component and a country-specific component. We apply separate stochastic time changes to the two components so that stochastic volatility can come from both global and country-specific risks. For each economy, we assign separate market prices for the two return risk components and the two volatility risk components. Under this specification, we obtain tractable option pricing solutions. Model estimation reveals several interesting insights. First, global and country-specific return and volatility risks show different dynamics. Global return movements contain a larger discontinuous component, and global return volatility is more persistent than the country-specific counterparts. Second, investors charge positive prices for global return risk and negative prices for volatility risk, suggesting that investors are willing to pay positive premiums to hedge against downside global return movements and upside volatility movements. Third, the three economies contain different risk profiles and also price risks differently. Japan contains the largest idiosyncratic risk component and smallest global risk component. Investors in the Japanese market also price more heavily against future volatility increases than against future market downfalls.
Book Synopsis The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation by : Christian Koch
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
Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Book Synopsis International Spillovers in an Endogenous Growth Model by : Paul Söderlind
Download or read book International Spillovers in an Endogenous Growth Model written by Paul Söderlind and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Limitations of the Capital Asset Pricing Model (CAPM) by : Manuel Kürschner
Download or read book Limitations of the Capital Asset Pricing Model (CAPM) written by Manuel Kürschner and published by GRIN Verlag. This book was released on 2008-07 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2008 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, University of Cooperative Education, 31 entries in the bibliography, language: English, abstract: The objective of this paper is to give an overview of the most important movements of the complex area of asset pricing. This will be tried by logically structuring and building up the topic from its origins, the Capital Asset Pricing Model, and then over its main points of critique, in order to arrive at the different options developed by financial science that try to resolve those problematic aspects. Due to the complexity of this subject and the limited scope of this paper, obviously it will not be possible to discuss each model or movement in depth. Coherently, the aim is to point out the main thoughts of each aspect discussed. For further information, especially concerning the deeper mathematical backgrounds and derivations of the models, the author would like to refer the reader to the books mentioned in this paper. Many of those works, finance journal publications and the literature on asset pricing in general, set their focus on different parts of this paper, which again underlines the complexity in terms of scientific scope and intellectual and mathematical intricacy of this topic.
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis The Capital Asset Pricing Model by :
Download or read book The Capital Asset Pricing Model written by and published by Bookboon. This book was released on with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation by : Nadine Pahl
Download or read book Principles of the Capital Asset Pricing Model and the Importance in Firm Valuation written by Nadine Pahl and published by GRIN Verlag. This book was released on 2009-04 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2007 in the subject Business economics - Investment and Finance, grade: 1,0, University of Applied Sciences Berlin, course: Financial Management, language: English, abstract: In everything you do, or don't do, there is a chance that something will happen that you didn't count on. Risk is the potential for unexpected things to happen. Risk aversion is a common thing among almost all investors. Investors generally dislike uncertainty or risk and agree that a safe dollar is worth more than a risky one. Therefore, investors will have to be persuaded to take higher risk by the offer of higher returns. In this investment context, the additional compensation for taking on higher risk is a higher rate of return.Every investment has a risk element: The investor will always not be certainwhether the investment will be able to generate the required income. The degree of risk defers from industry to industry but also from company to company. It is not possible to eliminate the investment risk altogether but to reduce is. Nevertheless, often there remains a risky part. According to the degree of risk, the investor demands a corresponding rate of return that is, of course, higher than the rate of return of risk-free investments. Taking on a risk should be paid off. The Capital Asset Pricing Model (CAPM) is an economic model for valuing stocks, securities, derivatives and/or assets by relating risk and expected rate of return. CAPM is based on the idea that investors demand additional expected return if they are asked to accept additional risk.
Book Synopsis Recent Advances in Mathematical and Statistical Methods by : D. Marc Kilgour
Download or read book Recent Advances in Mathematical and Statistical Methods written by D. Marc Kilgour and published by Springer. This book was released on 2018-11-04 with total page 646 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the recent development of methodologies and computation methods in mathematical and statistical modelling, computational science and applied mathematics. It emphasizes the development of theories and applications, and promotes interdisciplinary endeavour among mathematicians, statisticians, scientists, engineers and researchers from other disciplines. The book provides ideas, methods and tools in mathematical and statistical modelling that have been developed for a wide range of research fields, including medical, health sciences, biology, environmental science, engineering, physics and chemistry, finance, economics and social sciences. It presents original results addressing real-world problems. The contributions are products of a highly successful meeting held in August 2017 on the main campus of Wilfrid Laurier University, in Waterloo, Canada, the International Conference on Applied Mathematics, Modeling and Computational Science (AMMCS-2017). They make this book a valuable resource for readers interested not only in a broader overview of the methods, ideas and tools in mathematical and statistical approaches, but also in how they can attain valuable insights into problems arising in other disciplines.
