Author: Steve L. SlezakPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 52
Book Description
The Behavior of Asset Return Moments with Asymmetric Information, Price Taking and Risk Aversion
Author: Steve L. SlezakPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 52
Book Description
JOURNAL OF FINANCIAL ECONON
Author: Financial Markets and the Real Economy
Author: John H. CochranePublisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Asymmetric Information in Financial Markets
Author: Ricardo N. BebczukPublisher: Cambridge University Press
ISBN: 9780521797320
Category : Business & Economics
Languages : en
Pages : 176
Book Description
Asymmetric information (the fact that borrowers have better information than their lenders) and its theoretical and practical evidence now forms part of the basic tool kit of every financial economist. It is a phenomenon that has major implications for a number of economic and financial issues ranging from both micro and macroeconomic level - corporate debt, investment and dividend policies, the depth and duration of business cycles, the rate of long term economic growth - to the origin of financial and international crises. Asymmetric Information in Financial Markets aims to explain this concept in an accessible way, without jargon and by reducing mathematical complexity. Using elementary algebra and statistics, graphs, and convincing real-world evidence, the author explores the foundations of the problems posed by asymmetries of information in a refreshingly accessible and intuitive way.
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.
Risk Aversion and the Intertemporal Behavior of Asset Prices
Author: Richard C. StapletonMicrofoundations of Heteroscedasticity in Asset Prices
Author: Mihály OrmosPublisher:
ISBN:
Category :
Languages : en
Pages : 43
Book Description
This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing empirical results, our model yields an asymmetric relationship between stock return and volatility. Based on the simple assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we analytically derive the unit-root versions of two of the best fitting heteroscedasticity models (EGARCH and TGARCH). The model is supported by our empirical results from two different sides: first, analysis of individual trading data shows that investors indeed become risk-seeking right after losses and more risk-averse subsequent to gains; second, the parameter estimation of our volatility model yields the predicted negative relationship between abnormal returns and subsequent volatility.
Asymmetric Returns
Author: Alexander M. IneichenPublisher: Wiley
ISBN: 0470100095
Category : Business & Economics
Languages : en
Pages : 352
Book Description
In Asymmetric Returns, financial expert Alexander Ineichen elevates the critical discussion about alpha versus beta and absolute returns versus relative returns. He argues that controlling downside volatility is a key element in asset management if sustainable positive compounding of capital and financial survival are major objectives. Achieving sustainable positive absolute returns are the result of taking and managing risk wisely, that is, an active risk management process where risk is defined in absolute terms and changes in the market place are accounted for. The result of an active risk management process-when successful-is an asymmetric return profile, that is, more and higher returns on the upside and fewer and lower returns on the downside. Ineichen claims that achieving Asymmetric Returns is the future of active asset management. Alexander M. Ineichen, CFA, CAIA, is Managing Director and Senior Investment Officer for the Alternative Investment Solutions team, a key provider within Alternative and Quantitative Investments, itself a business within UBS Global Asset Management. He is also on the Board of Directors of the Chartered Alternative Investment Analyst Association (CAIAA). Ineichen is the author of the two UBS research publications In Search of Alpha—Investing in Hedge Funds (October 2000) and The Search for Alpha Continues—Do Fund of Hedge Funds Add Value? (September 2001). As of 2006 these two reports were the most often printed research papers in the documented history of UBS. He is also author of the widely popular Absolute Returns—The Risk and Opportunities of Hedge Fund Investing, also published by John Wiley & Sons.
Asymmetric Information and Asset Returns
Author: Olaf Erik FuchsPublisher:
ISBN:
Category : Information theory in economics
Languages : en
Pages : 270
Book Description
Fat-Tailed and Skewed Asset Return Distributions
Author: Svetlozar T. RachevPublisher: Wiley
ISBN: 0471758906
Category : Business & Economics
Languages : en
Pages : 369
Book Description
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.