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Author : Nicolaas Groenewold
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (247 download)
Download or read book The Sensitivity of Tests of Asset Pricing Models to the Iid-normal Assumption written by Nicolaas Groenewold and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 1350 pages
Book Rating : 4.:/5 (49 download)
Download or read book Journal of Empirical Finance written by and published by . This book was released on 2000 with total page 1350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 :
Publisher :
ISBN 13 :
Total Pages : 1016 pages
Book Rating : 4./5 ( download)
Download or read book JOURNAL OF ACCOUNTING AND PUBLIC POLICY written by and published by . This book was released on 2000 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.:/5 (318 download)
Download or read book Multinational Finance Journal written by and published by . This book was released on 2000 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book ACCOUNTING, ORGANIZATIONS AND SOCIETY written by and published by . This book was released on 2001 with total page 898 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 560 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author : Centre for Labour Market Research
Publisher :
ISBN 13 :
Total Pages : 174 pages
Book Rating : 4.E/5 ( download)
Download or read book Annual Report written by Centre for Labour Market Research and published by . This book was released on 1996 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bryan T. Kelly
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing Asymmetric-Information Asset Pricing Models written by Bryan T. Kelly and published by . This book was released on 2011 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern asset pricing theory is based on the assumption that investors have heterogeneous information. We provide direct evidence of the importance of information asymmetry for asset prices and investor demands using three natural experiments that capture plausibly exogenous variation in information asymmetry on a stock-by-stock basis for a large set of U.S. companies. Consistent with predictions derived from an asymmetric-information rational expectations model with multiple assets and multiple signals, we find that prices and uninformed investors' demands fall as information asymmetry increases. In the cross-section, these falls are larger, the more investors are uninformed, the larger and more variable is stock turnover, the more uncertain is the asset's payoff, and the more precise is the lost signal. We show that at least part of the fall in prices is due to expected returns becoming more sensitive to liquidity risk. Our results confirm that information asymmetry has a substantial effect on asset prices and imply that a primary channel linking asymmetry to prices is liquidity.
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 : Shmuel Kandel
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (259 download)
Download or read book A Means-variance Framework for Tests of Asset Pricing Models written by Shmuel Kandel and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Claus Munk
Publisher : Oxford University Press, USA
ISBN 13 : 0199585490
Total Pages : 598 pages
Book Rating : 4.1/5 (995 download)
Download or read book Financial Asset Pricing Theory written by Claus Munk and published by Oxford University Press, USA. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Author : Shmuel Kandel
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (287 download)
Download or read book A Mean-variance Framework for Tests of Asset Pricing Models written by Shmuel Kandel and published by . This book was released on 1988 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-Marie Dufour
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (1 download)
Download or read book Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions written by Jean-Marie Dufour and published by Montréal : CIRANO. This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Narasimhan Jegadeesh
Publisher :
ISBN 13 :
Total Pages : 67 pages
Book Rating : 4.:/5 (13 download)
Download or read book Empirical Tests of Asset Pricing Models with Individual Assets written by Narasimhan Jegadeesh and published by . This book was released on 2015 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Campbell R. Harvey
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Time-Varying Conditional Covariances in Tests of Asset Pricing Models written by Campbell R. Harvey and published by . This book was released on 2005 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes tests of asset pricing models that allow for time variation in conditional covariances. The evidence indicates that the conditional covariances do change through time. Estimates of the expected excess return on the market divided by the variance of the market (reward-to-risk ratio) are presented for the Sharpe-Lintner CAPM, as well as a number of tests of the model specification. The patterns of the pricing errors through time suggest the model's inability to capture the dynamic behavior of asset returns. This is the working paper version of my 1989 Journal of Financial Economics article.
