Author: Shu YanPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 310
Book Description
Three Essays on Stock Market Volatility and Stock Return Predictability
Author: Shu YanPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 310
Book Description
Three Essays on the Predictability of Stock Returns
Author: Amit GoyalDissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 732
Book Description
Empirical Asset Pricing
Author: Wayne FersonPublisher: 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.
Essays on Stock Return Predictability and Portfolio Allocation
Author: Bradley Steele PayePublisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 380
Book Description
Essays in Honor of Peter C. B. Phillips
Author: Thomas B. FombyPublisher: 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.
Three Essays on International Stock and Bond Markets
Author: DongJoon JeongThree Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation
Author: Iván Blanco Publisher: Ed. Universidad de Cantabria
ISBN: 8481028770
Category : Business & Economics
Languages : en
Pages : 90
Book Description
Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Essays on Return Predictability and Volatility Estimation
Author: Yuzhao ZhangPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 316
Book Description
Three Essays on the Effect of Learning and Predictability on Optimal Dynamic Portfolio Strategies and Asset Prices
Author: Yihong XiaPublisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 418
Book Description