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 MalkamäkiGrowth Or Glamour?
Author: John Y. CampbellPublisher:
ISBN:
Category : Stocks
Languages : en
Pages : 66
Book Description
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Asset 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 SuvantoConditional 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
Help Me
Author: Clara BayardPublisher: Rising Books
ISBN:
Category : Fiction
Languages : en
Pages : 93
Book Description