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Time Varying Asset Pricing Models In The Context Of Segmented Markets
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Book Synopsis Time-Varying Asset Pricing Models in the Context of Segmented Markets by : Chris Bilson
Download or read book Time-Varying Asset Pricing Models in the Context of Segmented Markets written by Chris Bilson and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores and tests two multi-factor asset pricing models in an international context. One model focuses only on local risk factors and therefore assumes that the market is completely segmented. The other model focuses only on global risk factors and assumes that the market is fully integrated. The models incorporate time-variation in both the risk exposures and risk premia. The models are applied in cross-section to a range of developed and emerging markets so that varying levels of integration are examined. Expected returns are formed using time-varying estimates of risk premia that allow for out-of-sample testing. Using a range of performance metrics, the findings show that returns in developed markets are better approximated by a global pricing model, whereas returns in emerging markets are better represented by a local pricing model. These results are found to be generally robust to a range of research design issues.
Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by Wiley. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Book Synopsis Time-Varying Conditional Covariances in Tests of Asset Pricing Models by : Campbell R. Harvey
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.
Book Synopsis Essays on International Asset Pricing in Partially Segmented Markets by : Sundaram Janakiramanan
Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Continuous-Time Asset Pricing Theory by : Robert A. Jarrow
Download or read book Continuous-Time Asset Pricing Theory written by Robert A. Jarrow and published by Springer Nature. This book was released on 2021-07-30 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.
Book Synopsis Asset Pricing with Time Varying Volatility by : Victor Ng
Download or read book Asset Pricing with Time Varying Volatility written by Victor Ng and published by . This book was released on 1989 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Econometrics by : Peijie Wang
Download or read book Financial Econometrics written by Peijie Wang and published by Routledge. This book was released on 2008-09-19 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop
Download or read book Financial Econometrics written by and published by Routledge. This book was released on with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Overview of Asset Pricing Models by : Mohamed Ismail Mohamed Riyath
Download or read book An Overview of Asset Pricing Models written by Mohamed Ismail Mohamed Riyath and published by . This book was released on 2015-12-09 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, course: Higher National Diploma in Accountancy (HNDA), language: English, comment: The author of this text is a non-native speaker of English. Please excuse any linguistic mistakes., abstract: The term financial market describes any marketplace where lenders, i.e. those who have excess fund, and borrowers, i.e. those who need funds, meet together for an exchange of instruments such as equities, bonds, currencies and derivatives. The lenders in the financial market are called investors who buy financial instruments. The investors invest their fund to maximize their wealth. In reality investors are unable to achieve their objectives at all due to poor performance of respective stock and the market conditions when they are investing in equities. The reason could be the assets may underpriced or overpriced when making investment decisions. If the investors are priced correctly for the asset by considering all relevant factors which are affecting the value, they can enjoy normal profit by appropriately pricing the asset in an efficient market. It has always been the challenge of explaining the decision process of the investors in the stock market. In this context, the behavior of investor has a close relationship with the investment decisions and the way of enriching. The rate of return and its determinations are the major issues in Finance. The rate of return is one of fundamental criteria for allocation of resources and analysis of risk and return. Their importance can be observed in the field of corporate and personal finance when define the viability of an investment and making investment decisions. Stock returns is always be considered as the principal point when investors going to put their money in financial market. More profit have been involved in higher risk, and vice versa. Investors should take into account their decision to invest t
Book Synopsis Tests of Asset Pricing with Time-varying Expected Risk Premiums and Market Betas by : Wayne Ferson
Download or read book Tests of Asset Pricing with Time-varying Expected Risk Premiums and Market Betas written by Wayne Ferson and published by . This book was released on 1987 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Capital Asset Pricing Model with Time Varying Covariances by : Tim Bollerslev
Download or read book A Capital Asset Pricing Model with Time Varying Covariances written by Tim Bollerslev and published by . This book was released on 1986 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Asset Pricing and Portfolio Diversification with Time-Varying Risk by : Giorgio De Santis
Download or read book International Asset Pricing and Portfolio Diversification with Time-Varying Risk written by Giorgio De Santis and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the conditional CAPM for the world's eight largest equity markets using a parsimonious GARCH parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable during periods of high interest rates. Our estimates indicate that, although severe market declines are contagious, the expected gains from international diversification for a U.S. investor average 2.11% per year and have not significantly declined over the last two decades.
Book Synopsis Asset Prices and Time-Varying Risk by : Robert P. Flood
Download or read book Asset Prices and Time-Varying Risk written by Robert P. Flood and published by . This book was released on 2006 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Observers have often characterized asset markets as being subject to periods of tranquility and periods of turbulence. Until recently, however, researchers were unable to produce closed-form asset pricing formulas in a model environment of time-varying risk. Some work by Abel provided us with the insights needed to produce such formulas. This paper gives a exposition of how to develop the formulas in an environment where the formulas may by obtained using a simple extension of standard tools.While the paper is intended mainly as an exposition of new work, it also contains a report on the asset market effect of fiscal reform. It is found that entering a period of weak coordination between government spending and taxing (tax rate) policy is good for stock prices.
Book Synopsis Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments by : Lars Tyge Nielsen
Download or read book Portfolio Selection and Asset Pricing with Dynamically Incomplete Markets and Time-varying First and Second Moments written by Lars Tyge Nielsen and published by . This book was released on 1997 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Topics in Asset Pricing and Market Microstructure by : Anna Amirdjanova
Download or read book Topics in Asset Pricing and Market Microstructure written by Anna Amirdjanova and published by . This book was released on 2015 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation addresses various aspects of asset pricing theory in the following three contexts: the case of insider trading (of stocks) with uninformed biased traders, the case of trading of real options (specifically, of the option to sell a real indivisible asset), and the case of house pricing and construction of better house price indices. Chapter 1 examines the effects of insider trading on uninformed traders with bounded rationality in the context of a continuous-time Kyle-type model with a single perfectly informed risk-neutral agent (insider), a competitive risk-neutral market maker and a set of biased uninformed traders. Two cases of behavioral biases or bounded rationality on the part of the uninformed traders are considered. In the first case the uninformed traders' order flow has a non-zero covariation with a set of public signals (where positive covariation describes aggregate momentum strategies among the uninformed investors in reaction to news, while negative covariation indicates that the uninformed traders are predominantly contrarians). In the second case, the order flow from the uninformed traders has a strictly positive or a strictly negative covariance between its increments and is no longer Markov. The equilibrium strategy of the insider, taking into account such biases, is derived in both cases and the effects of the biases on the equilibrium price of the underlying asset are considered. The question of whether such biases benefit or harm the uninformed traders is answered. In Chapter 2 a class of mixed stochastic control/optimal stopping problems arising in the problem of finding the best time to sell an indivisible real asset, owned by a risk averse utility maximizing agent, is considered. The agent has power type utility based on the $\ell_{\alpha}$-type aggregator and has access to a frictionless financial market which can be used to partially hedge the risk associated with the real asset if correlations between the financial assets and the real asset value are nonzero. The solution to the problem of finding the optimal time to sell the real asset is characterized in terms of solution to a certain free boundary problem. The latter involves a nonlinear partial differential equation and includes, as special case with $\alpha=1$, the Hamilton-Jacobi-Bellman equation found in {Evans, Henderson, Hobson, 2008}. Comparisons with the case of exponential utility are also given. Due to lack of data, the U.S. primarily uses repeat-sales indices to measure real-estate returns, despite the serious shortcomings of these indices. Making use of a newly available data set that contains both time-varying characteristics for all properties in the U.S. and transaction details for those properties that traded, in Chapter 3 a new hedonic house-price index is developed that overcomes these shortcomings by allowing house prices and returns to depend on house characteristics and on local and national macroeconomic factors. The index is estimated using Markov Chain Monte Carlo (MCMC) linear filtering techniques and results in significant differences, in both the level and volatility of prices, between the new estimates and those from the Federal Housing Finance Board's weighted-repeat-sales (WRS) price index. This suggests that the new index is significantly superior to repeat-sales indices as a measure of U.S. real-estate returns for economic forecasting, mortgage valuation, and bank stress tests.
Book Synopsis International Capital Markets by : G. Andrew Karolyi
Download or read book International Capital Markets written by G. Andrew Karolyi and published by . This book was released on 2003 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Asset Pricing Model with Time-Varying Elasticity of Intertemporal Substitution by : Aleksandar Georgiev
Download or read book An Asset Pricing Model with Time-Varying Elasticity of Intertemporal Substitution written by Aleksandar Georgiev and published by . This book was released on 2004 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main message of this paper is that it is Elasticity of Intertemporal Substitution, which is at the heart of the asset pricing puzzles, not Risk Aversion. We illustrate that point, by first showing that under certainty a model, which allows for a separation of the two characteristics of preferences - the one in Epstein and Zin (1991), leads to a specification of the main pricing equation, which involves a measure of Elasticity of Intertemporal Substitution only and not a measure of Risk Aversion. We then resort to an approximation of the main asset pricing equation under uncertainty, to demonstrate the central role played by Elasticity of Intertemporal Substitution and to emphasize the importance of its variability. We illustrate that importance by showing that the model in Campbell and Cochrane (1999) is in fact based on time-varying Elasticity of Intertemporal Substitution rather then on time-varying Risk Aversion.The main contribution of the paper is to develop a discrete-time alternative to the two most popular recursive utility based asset pricing models. The model proposed in the paper, directly nests the standard one, while replicating and improving upon the two frequently cited advantages of the Epstein-Zin model. It allows for time-varying risk premia, associated with the two most popular asset pricing factors and it achieves separation of risk attitudes from attitudes towards time via constant relative risk aversion (CRRA) and time-varying Elasticity of Intertemporal Substitution.
