Asset Pricing In The International Economy And The Specification Of Random Disturbances

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Asset Pricing in the International Economy

Author : Mr.José M. Barrionuevo
Publisher : International Monetary Fund
ISBN 13 : 1451843186
Total Pages : 46 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Asset Pricing in the International Economy by : Mr.José M. Barrionuevo

Download or read book Asset Pricing in the International Economy written by Mr.José M. Barrionuevo and published by International Monetary Fund. This book was released on 1993-02-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns.

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

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.

Asset Pricing

Author : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 552 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Asset Pricing by : John H. Cochrane

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 552 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.

Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

Author : Jerome Yen
Publisher : Springer Nature
ISBN 13 : 9464631988
Total Pages : 1595 pages
Book Rating : 4.4/5 (646 download)

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Book Synopsis Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023) by : Jerome Yen

Download or read book Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023) written by Jerome Yen and published by Springer Nature. This book was released on 2023-07-25 with total page 1595 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book.With the rapid development of modern economy and Internet technology, the traditional financial industry has to develop Internet finance to provide better services and meet the needs of the times. It is against this background that the blockchain, relying on its special advantages (collective maintenance, reliable databases, and decentralization), provides the reliability to solve the credit risk of Internet finance, has an impact on institutions, trust mechanisms, risk control, etc. in the Internet finance industry, and has derived more new application scenarios, thus paving the way for the development of finance in the Internet era. Applying blockchain technology to the financial field can promote data information sharing, improve value transmission efficiency, and enhance database security. The financial market based on the decentralized system of blockchain technology can reduce the operating costs of financial institutions, improve economic efficiency, and solve problems such as information asymmetry. The new financial business model of "blockchain+finance" is conducive to improving the Internet credit reporting system, preventing and controlling Internet financial risks, and further realizing "financial disintermediation". At present, in China's financial field, blockchain technology has been applied and innovated in supply chain finance, cross-border payment, trade finance, asset securitization and other scenarios. To promote the exchange and development of blockchain, information technology and financial experts and scholars. The 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023) will be held in Hangzhou from February 17 to 19, 2023. This conference mainly focuses on the latest research on "blockchain, information technology and smart finance". This conference brings together experts, scholars, researchers and relevant practitioners in this field from all over the world to share research results, discuss hot issues, and provide participants with cutting-edge scientific and technological information, so that you can timely understand the development trends of the industry and master the latest technologies, broaden research horizons and promote academic progress.

Asset Prices and Central Bank Policy

Author : Stephen Giovanni Cecchetti
Publisher : Centre for Economic Policy Research
ISBN 13 : 9781898128533
Total Pages : 164 pages
Book Rating : 4.1/5 (285 download)

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Book Synopsis Asset Prices and Central Bank Policy by : Stephen Giovanni Cecchetti

Download or read book Asset Prices and Central Bank Policy written by Stephen Giovanni Cecchetti and published by Centre for Economic Policy Research. This book was released on 2000 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: Concludes the role of asset prices in monetary policy is one of the most important, and difficult, questions confronting central banks.

Asset Prices and Monetary Policy

Author : John Y. Campbell
Publisher : University of Chicago Press
ISBN 13 : 0226092127
Total Pages : 444 pages
Book Rating : 4.2/5 (26 download)

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Book Synopsis Asset Prices and Monetary Policy by : John Y. Campbell

Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.

Differential Equations, Stability, and Chaos in Dynamic Economics

Author : William A. Brock
Publisher : North Holland
ISBN 13 :
Total Pages : 414 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Differential Equations, Stability, and Chaos in Dynamic Economics by : William A. Brock

Download or read book Differential Equations, Stability, and Chaos in Dynamic Economics written by William A. Brock and published by North Holland. This book was released on 1989 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first economics work of its kind offering the economist the opportunity to acquire new and important analytical tools. It introduces the reader to three advanced mathematical methods by presenting both their theoretical bases and their applications to a wide range of economic models. The mathematical methods presented are ordinary differential equations, stability techniques and chaotic dynamics. Topics such as existence, continuation of solutions, uniqueness, dependence on initial data and parameters, linear systems, stability of linear systems, two dimensional phase analysis, local and global stability, the stability manifold, stability of optimal control and empirical tests for chaotic dynamics are covered and their use in economic theory is illustrated in numerous applications. These applications include microeconomic dynamics, investment theory, macroeconomic policies, capital theory, business cycles, financial economics and many others. All chapters conclude with two sections on miscellaneous applications and exercises and further remarks and references. In total the reader will find a valuable guide to over 500 selected references that use differential equations, stability analysis and chaotic dynamics. Graduate students in economics with a special interest in economic theory, economic researchers and applied mathematicians will all benefit from this volume.

IMF Working Paper

Author :
Publisher :
ISBN 13 :
Total Pages : 894 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis IMF Working Paper by :

Download or read book IMF Working Paper written by and published by . This book was released on 1993 with total page 894 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Economic Forecasting

Author : Graham Elliott
Publisher : Newnes
ISBN 13 : 0444536841
Total Pages : 719 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Handbook of Economic Forecasting by : Graham Elliott

Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Newnes. This book was released on 2013-08-23 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics

Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

Author : Robert J. Hodrick
Publisher : CRC Press
ISBN 13 : 1000950026
Total Pages : 198 pages
Book Rating : 4.0/5 (9 download)

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Book Synopsis Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets by : Robert J. Hodrick

Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.

Exchange Rate Reform and Structural Disturbances in a Dual Exchange Rate Economy

Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1451948751
Total Pages : 24 pages
Book Rating : 4.4/5 (519 download)

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Book Synopsis Exchange Rate Reform and Structural Disturbances in a Dual Exchange Rate Economy by : International Monetary Fund

Download or read book Exchange Rate Reform and Structural Disturbances in a Dual Exchange Rate Economy written by International Monetary Fund and published by International Monetary Fund. This book was released on 1988-11-14 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the implications of devaluation and a variety of structural disturbances in a dual exchange rate economy. A key feature of the model developed is its explicit recognition of both private (fraudulent) and officially-sanctioned cross transactions between the two exchange markets. The principal lesson to be learned from the analysis is that popular notions as to the effects of devaluation or of other disturbances are to be viewed with considerable caution when the dual rate regime involves inter-market transactions.

Journal of International Economics

Author :
Publisher :
ISBN 13 :
Total Pages : 856 pages
Book Rating : 4.:/5 (49 download)

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Book Synopsis Journal of International Economics by :

Download or read book Journal of International Economics written by and published by . This book was released on 1984 with total page 856 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Energy Abstracts for Policy Analysis

Author :
Publisher :
ISBN 13 :
Total Pages : 782 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Energy Abstracts for Policy Analysis by :

Download or read book Energy Abstracts for Policy Analysis written by and published by . This book was released on 1977 with total page 782 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Ninth Edition)

Author : Burton G. Malkiel
Publisher : W. W. Norton & Company
ISBN 13 : 0393330338
Total Pages : 454 pages
Book Rating : 4.3/5 (933 download)

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Book Synopsis A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Ninth Edition) by : Burton G. Malkiel

Download or read book A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Ninth Edition) written by Burton G. Malkiel and published by W. W. Norton & Company. This book was released on 2007-12-17 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, the bestselling guide to investing evaluates the full range of financial opportunities.

Global Economic Prospects, June 2021

Author : World Bank
Publisher : World Bank Publications
ISBN 13 : 1464816662
Total Pages : 339 pages
Book Rating : 4.4/5 (648 download)

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Book Synopsis Global Economic Prospects, June 2021 by : World Bank

Download or read book Global Economic Prospects, June 2021 written by World Bank and published by World Bank Publications. This book was released on 2021-08-03 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world economy is experiencing a very strong but uneven recovery, with many emerging market and developing economies facing obstacles to vaccination. The global outlook remains uncertain, with major risks around the path of the pandemic and the possibility of financial stress amid large debt loads. Policy makers face a difficult balancing act as they seek to nurture the recovery while safeguarding price stability and fiscal sustainability. A comprehensive set of policies will be required to promote a strong recovery that mitigates inequality and enhances environmental sustainability, ultimately putting economies on a path of green, resilient, and inclusive development. Prominent among the necessary policies are efforts to lower trade costs so that trade can once again become a robust engine of growth. This year marks the 30th anniversary of the Global Economic Prospects. The Global Economic Prospects is a World Bank Group Flagship Report that examines global economic developments and prospects, with a special focus on emerging market and developing economies, on a semiannual basis (in January and June). Each edition includes analytical pieces on topical policy challenges faced by these economies.

Economic Review

Author :
Publisher :
ISBN 13 :
Total Pages : 288 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Economic Review by :

Download or read book Economic Review written by and published by . This book was released on 1990 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Non-Random Walk Down Wall Street

Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 1400829097
Total Pages : 449 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis A Non-Random Walk Down Wall Street by : Andrew W. Lo

Download or read book A Non-Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.