Author: Markku MalkamäkiPublisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
Estimating Conditional Betas and the Price of Risk for a Thin Stock Market
Author: Markku MalkamäkiConditional Betas and the Price of Risk in a Thin Asset Market
Author: Markku MalkamäkiAsset Pricing Theory
Author: Costis SkiadasPublisher: Princeton University Press
ISBN: 1400830141
Category : Business & Economics
Languages : en
Pages : 363
Book Description
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Cointegration and Causality of Stock Markets in Two Small Open Economies and Their Major Trading Partner Nations
Author: Markku MalkamäkiWage Drift and Error Correction
Author: Timo TyrväinenPricing Decisions and the Position Constraint in Foreign Exchange Dealing
Author: Antti SuvantoThe Econometrics of Financial Markets
Author: John Y. CampbellPublisher: Princeton University Press
ISBN: 1400830214
Category : Business & Economics
Languages : en
Pages : 630
Book Description
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
The Equity Risk Premium
Author: William N. GoetzmannPublisher: Oxford University Press
ISBN: 0199881979
Category : Business & Economics
Languages : en
Pages : 568
Book Description
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Conditional Risk and Predictability of Finnish Stock Returns
Author: Markku MalkamäkiEssays on Conditional Pricing of Finnish Stocks
Author: Markku MalkamäkiPublisher:
ISBN: 9789516863538
Category : Risk
Languages : en
Pages : 180
Book Description