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Author : David Carl Smith
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (3 download)
Download or read book Sample Properties of Tests of Utility-based Asset Pricing Models written by David Carl Smith and published by . This book was released on 1993 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : David C. Smith
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (129 download)
Download or read book Finite Sample Properties of Tests of the Epstein-Zin Asset Pricing Model written by David C. Smith and published by . This book was released on 1998 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the small sample properties of Hansen and Singleton (1982)-type GMM tests of asset pricing restrictions implied by Epstein and Zin (1989) preferences. The Monte Carlo results suggest that tests of the Epstein and Zin (1989) asset pricing model often have little size-adjusted power to reject asset pricing restrictions implied by simpler, time and state separable expected utility preferences, even when parameters are chosen to make the difference between the relative risk aversion parameter and the reciprocal of the intertemporal substitution parameter large. There is evidence that a Wald test has greater power than other tests and that use of Hansen, Heaton and Yaron's (1996) continuous-updating GMM estimator improves the power of the tests.
Author : Peter Allan Muoio
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.:/5 (19 download)
Download or read book Empirical Tests of the Utility-based Asset Pricing Model Using Temporally Aggregated Twentieth Century Data written by Peter Allan Muoio and published by . This book was released on 1988 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wayne Ferson
Publisher : London : Research and Publications, Western Business School, University of Western Ontario
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (287 download)
Download or read book Finite Sample Properties of Methods of Moments in Latent Variable Tests of Asset Pricing Models written by Wayne Ferson and published by London : Research and Publications, Western Business School, University of Western Ontario. This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.José M. Barrionuevo
Publisher : International Monetary Fund
ISBN 13 : 1451843186
Total Pages : 46 pages
Book Rating : 4.4/5 (518 download)
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.
Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (212 download)
Download or read book Time-series Tests of a Non-expected-utility Model of Asset Pricing written by Alberto Giovannini and published by . This book was released on 1989 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George M. Constantinides
Publisher : Newnes
ISBN 13 : 0444594655
Total Pages : 1732 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of the Economics of Finance SET:Volumes 2A & 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars
Author : THE JOURNAL OF ECONOMETRICS
Publisher :
ISBN 13 :
Total Pages : 426 pages
Book Rating : 4./5 ( download)
Download or read book JOURNAL OF ECONOMETRICS written by THE JOURNAL OF ECONOMETRICS and published by . This book was released on 1999 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stuart Hyde
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Tests of the Conditional Asset Pricing Model written by Stuart Hyde and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing model (C-CAPM) since the yield spread has forecasting power for future consumption growth. Further, we analyze the ability of this benchmark and two alternative models which adopt utility functions characterized by non-separability, namely, the extension to the habit formation model of Campbell and Cochrane (1999) proposed by Wachter (2006) and the housing C-CAPM proposed by Piazzesi et al. (2007). Our findings are supportive of the habit formation specification of Wachter (2006), other models fail to yield economically plausible parameter values.
Author : George M. Constantinides
Publisher : Newnes
ISBN 13 : 0444594736
Total Pages : 873 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of the Economics of Finance written by George M. Constantinides and published by Newnes. This book was released on 2013-02-08 with total page 873 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. - Offers analyses by top scholars of recent asset pricing scholarship - Explains how the 2008 financial crises affected theoretical and empirical research - Covers core and newly developing fields
Author : Lars Peter Hansen
Publisher : Franklin Classics Trade Press
ISBN 13 : 9780353246904
Total Pages : 64 pages
Book Rating : 4.2/5 (469 download)
Download or read book Finite Sample Properties of Some Alternative Gmm Estimators written by Lars Peter Hansen and published by Franklin Classics Trade Press. This book was released on 2018-11-10 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
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 : Wayne E. Ferson
Publisher :
ISBN 13 : 9780771412530
Total Pages : pages
Book Rating : 4.4/5 (125 download)
Download or read book Finite Sample Properties of Methods of Moments in Latent Variable Tests of Asset Pricing Methods written by Wayne E. Ferson and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eugene F. Fama
Publisher : University of Chicago Press
ISBN 13 : 022642684X
Total Pages : 826 pages
Book Rating : 4.2/5 (264 download)
Download or read book The Fama Portfolio written by Eugene F. Fama and published by University of Chicago Press. This book was released on 2017-09-07 with total page 826 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few scholars have been as influential in finance, both as an academic field and an industry, as Eugene Fama. Since writing his groundbreaking 1970 essay on efficient capital markets, Fama has written over 100 papers and books that have been cited hundreds of thousands of times. Yet there is no one collection where one can easily find his best work in all fields. "The Fama Portfolio" will be an outstanding and unprecedented resource in a field that still concentrates mainly on questions stemming from Fama s work: Is the finance industry too large or too small? Why do people continue to pay active managers so much? What accounts for the monstrous amount of trading? Do high-speed traders help or hurt? The ideas, facts, and empirical methods in Fama s work continue to guide these investigations. "The Fama Portfolio" will be a historic and long-lasting collection of some of the finest work ever produced in finance."
Author : Christopher A. Sims
Publisher : Cambridge University Press
ISBN 13 : 9780521566094
Total Pages : 434 pages
Book Rating : 4.5/5 (66 download)
Download or read book Advances in Econometrics: Volume 2 written by Christopher A. Sims and published by Cambridge University Press. This book was released on 1996-03-07 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1994 two-volume set of articles reflects the state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development and labour economics.
Author : Sudipto Bhattacharya
Publisher : World Scientific
ISBN 13 : 9812563741
Total Pages : 387 pages
Book Rating : 4.8/5 (125 download)
Download or read book Theory of Valuation written by Sudipto Bhattacharya and published by World Scientific. This book was released on 2005 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first edition of Theory of Valuation is a collection of important papers in the field of theoretical financial economics published from 1973 to 1986, and original accompanying essays contributed by eminent researchers including Robert C Merton, Edward C Prescott, Stephen A Ross, and Joseph E Stiglitz.Since then, with the perspective of major theoretical strides in the field, the book has more than fulfilled its original expectations. The realization that it remains today a compendium of classic articles and a must-read for any serious student in theoretical financial economics, has prompted the publication of a new edition.This second edition presents a summary statement of significant research in theoretical financial economics for both the specialist and non-specialist financial economist. It also provides material for PhD-level courses covering valuation theory, and elective reading for advanced Master's and undergraduate courses.In addition to reproducing the original contributions, this edition includes the seminal paper by Edward C Prescott and Rajnish Mehra, ?Recursive Competitive Equilibrium: The Case of Homogeneous Households,? originally published in Econometrica in 1980.
