Author: Thomas B. Fomby Publisher: Emerald Group Publishing ISBN: 1784411825 Category : Political Science Languages : en Pages : 772
Book Description
This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
Author: Wayne Ferson Publisher: MIT Press ISBN: 0262039370 Category : Business & Economics Languages : en Pages : 497
Book Description
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: Turan G. Bali Publisher: John Wiley & Sons ISBN: 1118589475 Category : Business & Economics Languages : en Pages : 512
Book Description
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Author: Halbert White Publisher: Oxford University Press, USA ISBN: 9780198296836 Category : Business & Economics Languages : en Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author: Antti Ilmanen Publisher: John Wiley & Sons ISBN: 1119990777 Category : Business & Economics Languages : en Pages : 102
Book Description
This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.
Author: Francisco Jose Guedes dos Santos Publisher: Stanford University ISBN: Category : Languages : en Pages : 153
Book Description
This dissertation consists of three essays that examine various problems in financial economics. Chapter 1 fills in a gap in the IPO literature by documenting a close connection between IPO underpricing and the long-term underperformance of IPOs. Firms going public in periods of low underpricing do not underperform in the long run, while firms going public in high underpricing periods do. Furthermore, IPOs in later stages of high underpricing periods underperform even relative to their offer prices, which suggests that many of the most "underpriced" IPOs are in fact priced above fundamental value. This result is unlikely to be explained by differences in risk, or to be driven by a peso problem. I also find that firms going public in later stages of high underpricing periods display worse operating performance and profitability, lower asset growth, lower investment rates and higher cash holdings. Finally, I provide evidence that investor sentiment is stronger in high-underpricing periods. These results are consistent with a setting in which low quality firms, in periods in which the average underpricing in the market is high, try to exploit investors' sentiment by going public. Chapter 2 looks at the return predictability information in Single Country Closed-End Fund (SCCEF) discounts. It is long argued that discounts in closed-end funds are caused by differences in sentiment between investors that trade the fund and investors that trade the underlying assets. SCCEFs provide an interesting setting given the clear market segmentation. American SCCEFs are priced by American investors, while underlying assets are mainly traded by investors in the respective country. I argue that if cross-sectional and time-series variation in SCCEFs are linked to differences in sentiment, then the SCCEF discount can be used to predict future performance of SCCEFs, international stock markets, or both. The evidence on international stock markets' return predictability using SCCEF discounts is mixed. A trading strategy designed to exploit potential differences in sentiment by buying and selling international stock indices delivers alphas of around 90bps per month in an International CAPM. Adding three extra factors: value, size and momentum in U.S. equity does not change the result. However, once we control for international value and momentum in stock markets, we no longer observe positive alphas for short-horizon investments. The evidence on SCCEF return predictability from SCCEF discounts is very strong. For all three asset pricing models considered, a strategy that exploits differences in sentiment yields positive alphas, with magnitudes ranging from 2% to 4% per month. In Chapter 3, I investigate how the stock market reacts to earnings surprises announced during major sport events in the U.S. In a rational and frictionless market, investors should not react differently to announcements released during sport events. However, major sport events combine two known psychological biases. First, sports can be distracting, impairing investors' judgment. Second, sports can change people's mood. Hence, through these biases, market prices could be affected. Considering the Super Bowl, World Series of Baseball and NBA finals I find that investors, immediately after sport events, underreact to positive surprises, and overreact to negative surprises in earnings. After this initial reaction, I find that, investors undo their 'mistakes' in the following weeks to the announcement. However, for the most negative and positive surprises, they over-compensate. In this study, I show that non relevant financial events have an impact on market prices. Moreover, I show that the observed impact cannot be explained only by limited attention, as investor mood seems to be crucial to explain investors' reactions.
Author: Riccardo Rebonato Publisher: John Wiley & Sons ISBN: 0470091401 Category : Business & Economics Languages : en Pages : 864
Book Description
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author: Thomas B. Fomby
Author: Wayne Ferson
Author: Turan G. Bali
Author: Halbert White
Author: Amit Goyal
Author: Tse-Chun Lin
Author: Roger G. Ibbotson
Author: Antti Ilmanen
Author: Francisco Jose Guedes dos Santos
Author: Riccardo Rebonato