Author: Tse-Chun LinPublisher: Rozenberg Publishers
ISBN: 9036101514
Category :
Languages : en
Pages : 146
Book Description
Three essays on empirical finance
Author: Tse-Chun LinPublisher: Rozenberg Publishers
ISBN: 9036101514
Category :
Languages : en
Pages : 146
Book Description
Three Essays on the Predictability of Stock Returns
Author: Amit GoyalThree Essays on Bank Risks
Author: Jian HuEmpirical 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.
Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance
Author: Ehud PelegPublisher: ProQuest
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 356
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 on Initial Public Offerings and Market Information
Author: William C. JohnsonPublisher:
ISBN:
Category : Disclosure of information
Languages : en
Pages : 322
Book Description
Three Essays in Financial Economics
Author: Eric NeisPublisher:
ISBN:
Category : Municipal bonds
Languages : en
Pages : 618
Book Description
Author: Wenjuan Xie