Jump Risk Time Varying Risk Premia And Technical Trading Profits

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Jump Risk Time Varying Risk Premia And Technical Trading Profits

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Author : Chenyang Feng
language : en
Publisher:
Release Date : 1997

Jump Risk Time Varying Risk Premia And Technical Trading Profits written by Chenyang Feng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Stocks categories.

Time Varying Risk Premia And The Returns To Buying Winners And Selling Losers

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Author : George Andrew Karolyi
language : en
Publisher:
Release Date : 1998

Time Varying Risk Premia And The Returns To Buying Winners And Selling Losers written by George Andrew Karolyi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.

This paper re-examines the profitability of relative strength trading strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past. We study the changing risk patterns of the stocks that comprise this investment strategy and argue that the profits could represent appropriate compensation for the risk assumed under a simple equilibrium model of asset pricing with time-varying conditional expected returns and risk. We implement our tests using a robust procedure based on bootstrap methodology. Hundreds of new series for individual stock returns are simulated from the equilibrium asset pricing model. The trading rules are applied to these new returns series and are compared with results from the actual series. The results show that the simulated spreads from buying winners and selling losers can often be at least as large as those of the actual series, even after controlling for risk within size- and beta-based subsamples.

Financial Markets And The Real Economy

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Author : John H. Cochrane
language : en
Publisher: Now Publishers Inc
Release Date : 2005

Financial Markets And The Real Economy written by John H. Cochrane and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.

Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

International Convergence Of Capital Measurement And Capital Standards

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Author :
language : en
Publisher: Lulu.com
Release Date : 2004

International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.

Modelling Financial Time Series

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Author : Stephen J. Taylor
language : en
Publisher: World Scientific
Release Date : 2008

Modelling Financial Time Series written by Stephen J. Taylor 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.

This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.

Common Stocks As Long Term Investments

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Author : Edgar Lawrence Smith
language : en
Publisher: Pickle Partners Publishing
Release Date : 2015-11-06

Common Stocks As Long Term Investments written by Edgar Lawrence Smith and has been published by Pickle Partners Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-06 with Business & Economics categories.

Edgar Lawrence Smith, (1882-1971) was an economist, investment manager and author of the influential book “Common Stocks as Long Term Investments”, which promoted the then-surprising idea that stocks excel bonds in long-term yield. . He worked in banking and other financial endeavors in the years after college, then signed on in 1922 as an adviser to the brokerage firm Low, Dixon & Company. While there, he later recounted in his Harvard class’s 50th reunion yearbook, “I tried to write a pamphlet on why bonds were the best form of long term investment. But supporting evidence for this thesis could not be found.” This discovery led to the 1924 publication of “Common Stocks as Long Term Investments.” The book was widely reviewed and praised, and became a key intellectual support for the 1920s stock market boom. Its success enabled Smith to launch a mutual fund firm, “Investment Managers Company.” It also garnered him an invitation from the economist John Maynard Keynes, who had favorably reviewed the book in “The Nation”, to join the Royal Economic Society. The Wall Street Crash of 1929 brought a turn in Smith’s fortunes.—Print Ed.

Journal Of Investment Management

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Author :
language : en
Publisher:
Release Date : 2004

Journal Of Investment Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Investment analysis categories.

Stock Market Volatility

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Author : Greg N. Gregoriou
language : en
Publisher: CRC Press
Release Date : 2009-04-08

Stock Market Volatility written by Greg N. Gregoriou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-08 with Business & Economics categories.

Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

The Volatility Surface

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Author : Jim Gatheral
language : en
Publisher: Wiley
Release Date : 2006-09-11

The Volatility Surface written by Jim Gatheral and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-09-11 with Business & Economics categories.

Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP

The Long Run Real Effects Of Monetary Policy

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Author : Marco Espinosa-Vega
language : en
Publisher:
Release Date : 1998

The Long Run Real Effects Of Monetary Policy written by Marco Espinosa-Vega and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Bank reserves categories.