Intertemporal Asset Pricing
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Intertemporal Asset Pricing Without Consumption
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 1990
Intertemporal Asset Pricing Without Consumption written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Capital assets pricing model categories.
Intertemporal Asset Pricing Without Consumption Data
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Author : John Y. Campbell
language : es
Publisher:
Release Date : 1992
Intertemporal Asset Pricing Without Consumption Data written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Intertemporal Asset Pricing
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Author : Bernd Meyer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Intertemporal Asset Pricing written by Bernd Meyer 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 2012-12-06 with Business & Economics categories.
In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.
Time Varying Expectations And Intertemporal Asset Pricing
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Author : Frances A. Longstaff
language : en
Publisher:
Release Date : 1987
Time Varying Expectations And Intertemporal Asset Pricing written by Frances A. Longstaff and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Capital assets pricing model categories.
A Test Of The Intertemporal Asset Pricing Model
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Author : Rajnish Mehra
language : en
Publisher:
Release Date : 1982
A Test Of The Intertemporal Asset Pricing Model written by Rajnish Mehra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Econometrics categories.
A Model Of Intertemporal Asset Prices Under Asymmetric Information Classic Reprint
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Author : Jiang Wang
language : en
Publisher: Forgotten Books
Release Date : 2018-02-23
A Model Of Intertemporal Asset Prices Under Asymmetric Information Classic Reprint written by Jiang Wang and has been published by Forgotten Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-23 with Business & Economics categories.
Excerpt from A Model of Intertemporal Asset Prices Under Asymmetric Information We explore the implications of our model for the behavior of stock prices, risk premia, price volatility, autocorrelation in stock returns and investors' trading strategies. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
An Intertemporal Asset Pricing Model With Stochastic Consumption And Investment Opportunities
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Author : Douglas T. Breeden
language : en
Publisher:
Release Date : 1979
An Intertemporal Asset Pricing Model With Stochastic Consumption And Investment Opportunities written by Douglas T. Breeden and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Capital assets pricing model categories.
Multifactor Models Regarding Intertemporal Capital Asset Pricing Model Icapm Assumptions On European And Us Market Data Advancing The Capital Asset Pricing Model Capm
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Author : Arno Popanda
language : en
Publisher: GRIN Verlag
Release Date : 2019-10-11
Multifactor Models Regarding Intertemporal Capital Asset Pricing Model Icapm Assumptions On European And Us Market Data Advancing The Capital Asset Pricing Model Capm written by Arno Popanda and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-11 with Business & Economics categories.
Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.7, University of Duisburg-Essen (Faculty of Business and Economics), language: English, abstract: The Capital Asset Pricing Model (CAPM), which is developed by Harry Markowitz, lacks on empirical validation and is not economically fully plausible. By only considering a single period within the CAPM, Merton tried to improve the model by implementing different intertemporal assumptions. This paper focuses on the analysis, if the lack of the CAPM can be improved by using the assumptions of the ICAPM and if the eight investigated models are in the sense of Merton's assumptions. The first chapter reviews a short explanation of the classical CAPM and his critics, followed by Merton's intertemporal CAPM and his assumptions in the next chapter. Additionally, there were models developed, trying to be economically plausible by considering the ICAPM main assumptions, which are presented in the second chapter. A different way to develop an empirical better fitting CAPM is by using empirical motivated state variables. Fama & French started to take this approach by developing the three-factor-model (FF3). A lot of researchers were influenced by the FF3 and made their own version of a multifactor model by implementing variables. Even Fama & French enhanced their three-factor-model by adding further variables. In the third section there is the forecasting power of the four ICAPM models and the four empirical motivated multifactor models on the US market data and on the European market data compared. Then follows an examination if these models can be determined in the sense of the ICAPM restrictions. The last chapter concludes the results.
Specification And Estimation Of Intertemporal Asset Pricing Models
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Author : Kenneth J. Singleton
language : en
Publisher:
Release Date : 1987
Specification And Estimation Of Intertemporal Asset Pricing Models written by Kenneth J. Singleton and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Capital assets pricing model categories.
Intertemporal Asset Pricing In Monetary And Multiple Consumption Good Economies
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Author : E. Philip Jones
language : en
Publisher:
Release Date : 1982
Intertemporal Asset Pricing In Monetary And Multiple Consumption Good Economies written by E. Philip Jones and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Assets (Accounting) categories.