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Author : Shoka Hayaki
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (127 download)
Download or read book Time-varying Risk Attitude and Behavioral Asset Pricing written by Shoka Hayaki and published by . This book was released on 2020 with total page 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 : Hersh Shefrin
Publisher : Elsevier
ISBN 13 : 0080482244
Total Pages : 636 pages
Book Rating : 4.0/5 (84 download)
Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Author : Giorgio De Santis
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
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 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian L. Goulding
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (13 download)
Download or read book Revisiting Asset Pricing with Uncertainty in Future Risk Aversion written by Christian L. Goulding and published by . This book was released on 2018 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: In asset pricing models, the indirect synchronizations of changes in time-varying relative risk aversion (RRA) with changes in elasticity of intertemporal substitution (EIS) and/or changes in consumption growth are overlooked confounding factors that limit our understanding of the role of time-varying RRA in asset pricing. I isolate away time-varying RRA from the confounders of perfectly synchronized changes in EIS and consumption growth and from other complexities. Holding EIS fixed under recursive utility and relaxing perfect correlation between RRA and consumption growth, I show that rare and short-lived stochastic shifts in RRA can explain major empirical asset pricing facts.
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 : Maria Pilar Martinez-Ruiz
Publisher : Frontiers Media SA
ISBN 13 : 2889664856
Total Pages : 147 pages
Book Rating : 4.8/5 (896 download)
Download or read book Towards Consumer 4.0 Insights and Opportunities under the Marketing 4.0 Scenario written by Maria Pilar Martinez-Ruiz and published by Frontiers Media SA. This book was released on 2021-02-17 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas Gomez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)
Download or read book Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model written by Thomas Gomez and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion, agents make a deterministic trade-off between mean and variance both in choosing a forecasting heuristic and determining the number of risky assets to buy. Heterogeneous risk preferences can lead to diverse choices of heuristic. Using empirical estimates for the distribution of risk aversion, simulations show that the resulting time-varying heterogeneity of expectations can give rise to chaotic dynamics: irregular booms and busts in the asset price without exogenous shocks. Small, stochastic price shocks lead to larger asset price bubbles, and can make stable solutions explosive. We prove that a representative agent cannot capture our model.
Author : Joachim Klement
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960473
Total Pages : 150 pages
Book Rating : 4.9/5 (449 download)
Download or read book Risk Profiling and Tolerance: Insights for the Private Wealth Manager written by Joachim Klement and published by CFA Institute Research Foundation. This book was released on 2018-05-01 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: If risk aversion and willingness to take on risk are driven by emotions and we as humans are bad at correctly identifying them, the finance profession has a serious challenge at hand—how to reliably identify the individual risk profile of a retail investor or high-net-worth individual. In this series of CFA Institute Research Foundation briefs, we have asked academics and practitioners to summarize the current state of knowledge about risk profiling in different key areas.
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (753 download)
Download or read book Estimating a Continuous-time Asset Pricing Model with State-dependent Risk Aversion written by and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giorgio De Santis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Jiun-Lin Chen
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Predictability Implied by Consumption-Based Asset Pricing Models written by Jiun-Lin Chen and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The consumption-based models have a lack of predictive power for explaining variability of stock returns. This paper examines two well-known models, Campbell and Cochrane (1999)'s habit model and Bansal and Yaron (2004)'s long-run risks model, to see whether they produce a significant power of return predictability. For the habit model, empirical tests reveal that the state variable, the surplus consumption ratio, explains counter-cyclical time-varying expected returns. The long-run risks model also proves to explain that main sources of volatility in price-dividend ratio are a persistent and predictable consumption growth rate and fluctuating economic uncertainty. The models are also tested by following the work of Kirby (1998) whether they can explain the observed return predictability. Both models fail to generate any significant predictive power. The habit model is relatively strong in volatility, which implies that variation in expected excess return is largely attributable to the time-varying risk aversion.
Author : Luigi Croce
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (113 download)
Download or read book Sentiment Measures and Asset Pricing written by Luigi Croce and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis builds on the results of empirical behavioral finance research to shed light on the concept of market sentiment, and to identify and analyze the proxies best suited to capture its effect on asset prices. Market sentiment refers to an irrational behavior of investors, whose causes are divided by behavioral finance literature into two broad categories: biases in expectations' formation and risk preferences not in line with the maxims of expected utility theory. Each proxy of market sentiment is then analyzed considering its ability to capture these two facets of investors' deviations from rationality. No uncontroversial proxy of market sentiment exists; however, it appears that certain classes of proxies are better suited to capture investors' biases in expectations' formation and other better capture changing levels of investors' risk attitude. This master thesis then builds on the conclusions of its initial analysis to investigate whether sentiment could ameliorate the performance of asset pricing models. Traditional asset pricing models, such as the Charart four-factors model, are founded on the idea that asset returns depend on fundamental asset characteristics and should account for observed repeated mispricing in asset markets. Sentiment, interpreted as investors' biases in expectations' formation and measured through the news'-based Ravenpack index, can be interpreted as a repeated mispricing and tested as an additional risk factor to a Charart four-factor model. Alternatively, sentiment, considered as changing levels of investors' risk attitude and measured either by the Baker-Wurgler Index or by the University of Michigan Consumer Sentiment Index, can influence factors' risk premia and is tested as an explanatory variable of risk-premia time-series. Results show that sentiment retains explanatory power as an additional risk factor during the 2000 to 2009 period in the US stock market, and that it provides sign.
Author : B.Philipp Kellerhals
Publisher : Springer Science & Business Media
ISBN 13 : 3540246975
Total Pages : 247 pages
Book Rating : 4.5/5 (42 download)
Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.
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.
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 : 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:
