Asset Pricing Theory
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The Capital Asset Pricing Model
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Author :
language : en
Publisher: Bookboon
Release Date :
The Capital Asset Pricing Model written by and has been published by Bookboon this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
A New Model Of Capital Asset Prices
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Author : James W. Kolari
language : en
Publisher: Springer Nature
Release Date : 2021-03-01
A New Model Of Capital Asset Prices written by James W. Kolari and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-01 with Business & Economics categories.
This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Financial Asset Pricing Theory
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Author : Claus Munk
language : en
Publisher: Oxford University Press, USA
Release Date : 2013-04-18
Financial Asset Pricing Theory written by Claus Munk and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-18 with Business & Economics categories.
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Asset Pricing
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Author : Bing Cheng
language : en
Publisher: World Scientific
Release Date : 2008
Asset Pricing written by Bing Cheng and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.
Modern Portfolio Theory The Capital Asset Pricing Model And Arbitrage Pricing Theory
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Author : Diana R. Harrington
language : en
Publisher: Prentice Hall
Release Date : 1987
Modern Portfolio Theory The Capital Asset Pricing Model And Arbitrage Pricing Theory written by Diana R. Harrington and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Business & Economics categories.
The Arbitrage Pricing Theory As An Approach To Capital Asset Valuation
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Author : Christian Koch
language : en
Publisher: GRIN Verlag
Release Date : 2009-03
The Arbitrage Pricing Theory As An Approach To Capital Asset Valuation written by Christian Koch and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-03 with categories.
Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
Advanced Asset Pricing Theory
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Author : Ma Chenghu
language : en
Publisher: World Scientific Publishing Company
Release Date : 2011-01-03
Advanced Asset Pricing Theory written by Ma Chenghu and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-03 with Business & Economics categories.
This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black-Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.
Introduction To Finance Financial Management And Investment Management
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Author : Pamela Peterson Drake
language : en
Publisher: World Scientific
Release Date : 2021-12-20
Introduction To Finance Financial Management And Investment Management written by Pamela Peterson Drake and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-20 with Business & Economics categories.
This book covers the fundamentals of financial management and investment management without getting into the highly technical topics and mathematical rigor. It also provides a practitioner-oriented approach to financial and investment management.The field of finance covers several specialty areas. The two most important ones which set the foundations for the other specialty areas are financial management and investment management, and these are the two major topics covered in the book. After touching on the basics — the financial system and the players, financial statements, and mathematics of finance — the authors then cover financial management and investment management in greater depth. For financial management the authors focus on financial strategy and financial planning, dividend policy, corporate financing decisions, entrepreneurial finance, financial risk management, and capital budgeting decisions. The investment management coverage includes the different types of risks faced in investing, company analysis, valuing common stock, portfolio selection, asset pricing theory, and investing in common stocks and bonds. The last chapter of the book covers financial derivatives and how they are used in finance to control risk.
Asset Pricing And Portfolio Performance
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Author : Robert A. Korajczyk
language : en
Publisher:
Release Date : 1999
Asset Pricing And Portfolio Performance written by Robert A. Korajczyk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Advanced Asset Pricing Theory
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Author : Chenghu Ma
language : en
Publisher: World Scientific
Release Date : 2011
Advanced Asset Pricing Theory written by Chenghu Ma and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset pricing for being both advanced and comprehensive. The absence of arbitrage opportunities represents a necessary condition for equilibrium in the financial markets. However, the absence of arbitrage is not a sufficient condition for establishing equilibrium. These interrelationships are overlooked by the proponents of the no-arbitrage approach to asset pricing.This book also tackles recent advancement on inversion problems raised in asset pricing theory, which include the information role of financial options and the information content of term structure of interest rates and interest rates contingent claims.The inclusion of the proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory made it an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The detailed explanations will capture the interest of the curious reader, and it is complete enough to provide the necessary background material needed to delve deeper into the subject and explore the research literature.Postgraduate students in economics with a good grasp of calculus, linear algebra, and probability and statistics will find themselves ready to tackle topics covered in this book. They will certainly benefit from the mathematical coverage in stochastic processes and stochastic differential equation with applications in finance. Postgraduate students in financial mathematics and financial engineering will also benefit, not only from the mathematical tools introduced in this book, but also from the economic ideas underpinning the economic modeling of financial markets.Both these groups of postgraduate students will learn the economic issues involved in financial modeling. The book can be used as an advanced text for Masters and PhD students in all subjects of financial economics, financial mathematics, mathematical finance, and financial engineering. It is also an ideal reference for practitioners and researchers in the subjects.