Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Time Varying Expectations And Intertemporal Asset Pricing full books in PDF, epub, and Kindle. Read online Time Varying Expectations And Intertemporal Asset Pricing ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Frances A. Longstaff
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (182 download)
Download or read book Time Varying Expectations and Intertemporal Asset Pricing written by Frances A. Longstaff and published by . This book was released on 1987 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Victor Ng
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (318 download)
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:
Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 0470057998
Total Pages : 258 pages
Book Rating : 4.4/5 (7 download)
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. 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.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author : Wolfgang Drobetz
Publisher : Springer Science & Business Media
ISBN 13 : 3663085295
Total Pages : 346 pages
Book Rating : 4.6/5 (63 download)
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Author : Dimitri P. Bertsekas
Publisher :
ISBN 13 : 9781886529267
Total Pages : 543 pages
Book Rating : 4.5/5 (292 download)
Download or read book Dynamic Programming and Optimal Control written by Dimitri P. Bertsekas and published by . This book was released on 2005 with total page 543 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The leading and most up-to-date textbook on the far-ranging algorithmic methododogy of Dynamic Programming, which can be used for optimal control, Markovian decision problems, planning and sequential decision making under uncertainty, and discrete/combinatorial optimization. The treatment focuses on basic unifying themes, and conceptual foundations. It illustrates the versatility, power, and generality of the method with many examples and applications from engineering, operations research, and other fields. It also addresses extensively the practical application of the methodology, possibly through the use of approximations, and provides an extensive treatment of the far-reaching methodology of Neuro-Dynamic Programming/Reinforcement Learning. The first volume is oriented towards modeling, conceptualization, and finite-horizon problems, but also includes a substantive introduction to infinite horizon problems that is suitable for classroom use. The second volume is oriented towards mathematical analysis and computation, treats infinite horizon problems extensively, and provides an up-to-date account of approximate large-scale dynamic programming and reinforcement learning. The text contains many illustrations, worked-out examples, and exercises."--Publisher's website.
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 : John Y. Campbell
Publisher : Princeton University Press
ISBN 13 : 1400888220
Total Pages : 480 pages
Book Rating : 4.4/5 (8 download)
Download or read book Financial Decisions and Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2017-10-31 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the field’s most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. The book shows how models make predictions not only about asset prices but also about investors’ financial positions, and how they often draw on insights from behavioral economics. After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics. The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Markets is an essential resource for all graduate students and practitioners in finance and related fields. Integrated treatment of asset pricing theory and empirical evidence Emphasis on investors’ decisions Broad view linking the field to financial econometrics, household finance, and macroeconomics Topics treated in discrete time, with no requirement for stochastic calculus Forthcoming solutions manual for problems available to professors
Author : Aleš Berk Skok
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (814 download)
Download or read book Empirical Asset Pricing written by Aleš Berk Skok and published by . This book was released on 2011 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Costis Skiadas
Publisher : Princeton University Press
ISBN 13 : 1400830141
Total Pages : 363 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Author : Robert Tweedy Maurer
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (335 download)
Download or read book Time Varying Expected Returns and the Structure of Linear Factor Asset Pricing Models written by Robert Tweedy Maurer and published by . This book was released on 1995 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chang Mo Ahn
Publisher :
ISBN 13 :
Total Pages : 456 pages
Book Rating : 4.:/5 (89 download)
Download or read book Portfolio Selection and Asset Pricing Under Variable Time Preference written by Chang Mo Ahn and published by . This book was released on 1985 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joseph Chen
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (129 download)
Download or read book Intertemporal CAPM and the Cross-Section of Stock Returns written by Joseph Chen and published by . This book was released on 2008 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether the historically high returns associated with the size effect, the book-to-market effect, and the momentum effect can be explained within an asset pricing framework suggested by Merton's (1973) Intertemporal Capital Asset Pricing Model. Controlling for the market, an asset may earn a risk premium if it performs poorly when the prospects for the future turn sour. I develop a model with time-varying expected market returns and time-varying market volatilities to reflect thechanges in the investment opportunity set of the economy. Campbell's (1993, 1996) technique of substituting out aggregate consumption delivers two key insights.An underlying mechanism is that in the absence of frictions,the aggregate budget constraint restricts variations in market returns to affect aggregate consumption at some horizon. Hence the first insight is that if a factor reflects the changes in the investment opportunity set, its risk premium should be linked to the amount of information that it conveys about the future. The second insight is that the risk premia across factors should be linked to each other through the willingness of investors tobear risk. I test whether the returns associated with the size effect, the book-to-market effect, and the momentum effect are consistent with these restrictions.This model is estimated using a multivariate VAR-GARCH model with non-Gaussian innovations. The estimates suggest that the historical returns on thebook-to-market effect and the momentum effect are too high to be explained as compensation for exposures to adversechanges in the investment opportunity set.
Author : Aleksandar Georgiev
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Mika Vaihekoski
Publisher :
ISBN 13 : 9789515554888
Total Pages : 47 pages
Book Rating : 4.5/5 (548 download)
Download or read book Intertemporal Capital Asset Pricing Model with Time-varying Parameters written by Mika Vaihekoski and published by . This book was released on 1996 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wayne Ferson
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (287 download)
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:
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.
