Asymmetric Dependence In Finance
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Asymmetric Dependence In Finance
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Author : Jamie Alcock
language : en
Publisher: John Wiley & Sons
Release Date : 2018-02-13
Asymmetric Dependence In Finance written by Jamie Alcock and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-13 with Business & Economics categories.
Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Asymmetric Information Corporate Finance And Investment
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Author : R. Glenn Hubbard
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
Asymmetric Information Corporate Finance And Investment written by R. Glenn Hubbard and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
In this volume, specialists from traditionally separate areas in economics and finance investigate issues at the conjunction of their fields. They argue that financial decisions of the firm can affect real economic activity—and this is true for enough firms and consumers to have significant aggregate economic effects. They demonstrate that important differences—asymmetries—in access to information between "borrowers" and "lenders" ("insiders" and "outsiders") in financial transactions affect investment decisions of firms and the organization of financial markets. The original research emphasizes the role of information problems in explaining empirically important links between internal finance and investment, as well as their role in accounting for observed variations in mechanisms for corporate control.
Asymmetric Dependence In Finance
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Author : Jamie Alcock
language : en
Publisher: John Wiley & Sons
Release Date : 2018-06-05
Asymmetric Dependence In Finance written by Jamie Alcock and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-05 with Business & Economics categories.
Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Corporate Finance Under Asymmetric Information
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Author : Ejike Ezejiofor
language : en
Publisher: GRIN Verlag
Release Date : 2014-11-18
Corporate Finance Under Asymmetric Information written by Ejike Ezejiofor and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-18 with Business & Economics categories.
Seminar paper from the year 2014 in the subject Economics - Finance, , course: MBA and Engineering, language: English, abstract: The specter of decreased economic activities, financial crisis, unbecoming ethical standards have in the recent past and fore going, characterized asymmetric information on corporate finance. The consequences normally have a ricochet effect and can be generally catastrophic to normal economic activities to mention the least. This paper considers scenario’s where information asymmetry was prevalent or may have had its effects play out. The typical investor mindset and the opportunity cost associated with the preferred capital structure of the capitalizing process were mentioned. A basis for proper appreciation of the concept – Corporate finance under asymmetric information was initiated here, with a detailed explanation of corporate finance and its components, this was succeeded by a summary of scenarios were asymmetric information were prevalent and an intelligent look was also taken at asymmetric information between insiders and investors and the concomitant lemon problem, where the effects were carefully highlighted in a progression to the level of severity - Market breakdown and costly signaling. The fact that asymmetric information has been widely recognized as bad and generally viewed in a negative light must warrant it being viewed with a high level of seriousness. It is widely known that while lot of effort have been put into stemming the tides of the consequences of asymmetric information, a lot of effort too, have been dedicated to innovation and risk assessment, to capture the interest of investors, who have been affected by the consequences of asymmetric information. These may have formed a veritable platform for a recent paper by Pierre Barbaroux (2014), that elucidated the rise of innovation and innovative entrepreneurs based on the management of asymmetric information. An attempt has in any case, been made here to suggest efforts at marginalizing the negative impacts of asymmetric information and also remedies at reducing the far reaching impacts on the lenders and the aggregate economic activity in general.
Asset Pricing Under Asymmetric Information
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Author : Markus K. Brunnermeier
language : en
Publisher: OUP Oxford
Release Date : 2001-01-25
Asset Pricing Under Asymmetric Information written by Markus K. Brunnermeier and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-01-25 with Business & Economics categories.
Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's information by analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information. It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated. The remainder of the survey is devoted to contrasting different market microstructure models that demonstrate how asymmetric information affects asset prices and traders' information , which provide a theoretical explanation for technical analysis and illustrate why some investors "chase the trend." The reader is then introduced to herding models and informational cascades, which can arise in a setting where agents' decision-making is sequential. The insights derived from herding models are used to provide rational explanations for stock market crashes. Models in which all traders are induced to search for the same piece of information are then presented to provide a deeper insight into Keynes' comparison of the stock market with a beauty contest. The book concludes with a brief summary of bank runs and their connection to financial crises.
Asymmetric Information In Financial Markets
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Author : Ricardo N. Bebczuk
language : en
Publisher: Cambridge University Press
Release Date : 2003-08-21
Asymmetric Information In Financial Markets written by Ricardo N. Bebczuk and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-08-21 with Business & Economics categories.
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.
The Oxford Handbook Of Entrepreneurial Finance
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Author : Douglas Cumming
language : en
Publisher: OUP USA
Release Date : 2012-03-22
The Oxford Handbook Of Entrepreneurial Finance written by Douglas Cumming and has been published by OUP USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-22 with Business & Economics categories.
Provides a comprehensive picture of issues dealing with different sources of entrepreneurial finance and different issues with financing entrepreneurs. The Handbook comprises contributions from 48 authors based in 12 different countries.
Financial Modeling Under Non Gaussian Distributions
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Author : Eric Jondeau
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-05
Financial Modeling Under Non Gaussian Distributions written by Eric Jondeau and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-05 with Mathematics categories.
This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Asymmetric Information And Financial Markets
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Author : G. Manjunatha
language : en
Publisher: Ary Publisher
Release Date : 2023-06-10
Asymmetric Information And Financial Markets written by G. Manjunatha and has been published by Ary Publisher this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-10 with categories.
This econometric analysis focuses on the relationship between asymmetric information and financial markets. The study aims to examine how the presence of asymmetric information affects market dynamics and outcomes. By utilizing advanced statistical techniques and econometric modeling, the research investigates the impact of information asymmetry on various financial market variables. The study analyzes the role of information asymmetry in influencing market efficiency, price formation, trading volume, and investor behavior. It explores how differences in information between market participants lead to market inefficiencies, such as mispricing and suboptimal trading strategies. Additionally, the research investigates the implications of asymmetric information for market liquidity, volatility, and the overall stability of financial markets. Through the econometric analysis, the study provides empirical evidence and insights into the effects of asymmetric information on financial markets. It aims to contribute to the existing literature by shedding light on the mechanisms through which information asymmetry influences market dynamics and outcomes. The findings have practical implications for investors, financial institutions, and policymakers, helping to enhance market transparency, investor protection, and the efficiency of financial markets. Overall, this econometric analysis delves into the relationship between asymmetric information and financial markets. By employing rigorous statistical techniques, it aims to understand the impact of information asymmetry on market variables, providing valuable insights for market participants and stakeholders. The research ultimately seeks to contribute to the understanding of market dynamics and inform strategies to mitigate the adverse effects of information asymmetry in financial markets.
Quantile Regression
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Author : Roger Koenker
language : en
Publisher: Cambridge University Press
Release Date : 2005-05-05
Quantile Regression written by Roger Koenker and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-05 with Business & Economics categories.
Quantile regression is gradually emerging as a unified statistical methodology for estimating models of conditional quantile functions. By complementing the exclusive focus of classical least squares regression on the conditional mean, quantile regression offers a systematic strategy for examining how covariates influence the location, scale and shape of the entire response distribution. This monograph is the first comprehensive treatment of the subject, encompassing models that are linear and nonlinear, parametric and nonparametric. The author has devoted more than 25 years of research to this topic. The methods in the analysis are illustrated with a variety of applications from economics, biology, ecology and finance. The treatment will find its core audiences in econometrics, statistics, and applied mathematics in addition to the disciplines cited above.