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Three Essays On International Asset Pricing
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Book Synopsis Three Essays in International Finance by : Byong-Ju Lee
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Book Synopsis Three Essays in International Finance by : Jian Wang
Download or read book Three Essays in International Finance written by Jian Wang and published by . This book was released on 2006 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in International Asset Pricing by : Prasad Padmanabhan
Download or read book Three Essays in International Asset Pricing written by Prasad Padmanabhan and published by . This book was released on 1988 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation consists of three essays in international asset pricing. The first essay develops a model where investors face barriers to foreign portfolio investment. Using the standard mean-variance framework, risk return relationships for all securities are developed. It is also shown that: (1) previous models adopting this approach are special cases of this model, and (2) all investors generally prefer complete removal of barriers over other market structures. Essay #2 empirically explores the issue of the degree of segmentation of the international capital market for risky securities. Using the 'emerging market' (EM) data base, it is shown that the international capital market is neither completely segmented nor completely integrated. Finally, the third essay investigates the relationship between stock returns and inflation for the EM securities. It is shown that stock returns are positively (negatively) related to inflation, for the group of high (low) inflation countries in the sample." --
Book Synopsis Three Essays on Empirical Asset Pricing by : Wenqing Wang
Download or read book Three Essays on Empirical Asset Pricing written by Wenqing Wang and published by . This book was released on 2004 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Asset Pricing Theory by : Lionel Martellini
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance by : Ehud Peleg
Download or read book Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on International Finance by : Keun Yeong Lee
Download or read book Three Essays on International Finance written by Keun Yeong Lee and published by . This book was released on 1993 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Three Essays in International Portfolio Diversification by : Amir Andrew Amadi
Download or read book Three Essays in International Portfolio Diversification written by Amir Andrew Amadi and published by . This book was released on 2004 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Three Essays in International Economics by : Gaofeng Han
Download or read book Three Essays in International Economics written by Gaofeng Han and published by . This book was released on 2001 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing Model with Heterogenous Agents by : Tae-Jin Kang
Download or read book Three Essays on Asset Pricing Model with Heterogenous Agents written by Tae-Jin Kang and published by . This book was released on 1991 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in International Finance by : Camilo E. Tovar
Download or read book Three Essays in International Finance written by Camilo E. Tovar and published by . This book was released on 2004 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Theory of Money and Financial Institutions by : Martin Shubik
Download or read book The Theory of Money and Financial Institutions written by Martin Shubik and published by MIT Press. This book was released on 1999 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume in a three-volume exposition of Shubik's vision of "mathematical institutional economics" explores a one-period approach to economic exchange with money, debt, and bankruptcy. This is the first volume in a three-volume exposition of Martin Shubik's vision of "mathematical institutional economics"--a term he coined in 1959 to describe the theoretical underpinnings needed for the construction of an economic dynamics. The goal is to develop a process-oriented theory of money and financial institutions that reconciles micro- and macroeconomics, using as a prime tool the theory of games in strategic and extensive form. The approach involves a search for minimal financial institutions that appear as a logical, technological, and institutional necessity, as part of the "rules of the game." Money and financial institutions are assumed to be the basic elements of the network that transmits the sociopolitical imperatives to the economy. Volume 1 deals with a one-period approach to economic exchange with money, debt, and bankruptcy. Volume 2 explores the new economic features that arise when we consider multi-period finite and infinite horizon economies. Volume 3 will consider the specific role of financial institutions and government, and formulate the economic financial control problem linking micro- and macroeconomics.
Book Synopsis Three Essays in Empirical Asset Pricing by : Alessio Alberto Saretto
Download or read book Three Essays in Empirical Asset Pricing written by Alessio Alberto Saretto and published by . This book was released on 2006 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in International Trade and Investment by : Ting Gao
Download or read book Three Essays in International Trade and Investment written by Ting Gao and published by . This book was released on 1998 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on International Stock and Bond Markets by : DongJoon Jeong
Download or read book Three Essays on International Stock and Bond Markets written by DongJoon Jeong and published by . This book was released on 1993 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
