The Behavior Of Asset Return Moments With Asymmetric Information Price Taking And Risk Aversion
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The Behavior Of Asset Return Moments With Asymmetric Information Price Taking And Risk Aversion
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Author : Steve L. Slezak
language : en
Publisher:
Release Date : 1992
The Behavior Of Asset Return Moments With Asymmetric Information Price Taking And Risk Aversion written by Steve L. Slezak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Stock exchanges categories.
Asset Pricing Under Asymmetric Information
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Author : Markus Konrad Brunnermeier
language : en
Publisher: Oxford University Press, USA
Release Date : 2001
Asset Pricing Under Asymmetric Information written by Markus Konrad Brunnermeier 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 2001 with Business & Economics categories.
The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.
Multi Moment Asset Allocation And Pricing Models
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Author : Emmanuel Jurczenko
language : en
Publisher: Wiley
Release Date : 2006-10-02
Multi Moment Asset Allocation And Pricing Models written by Emmanuel Jurczenko and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-02 with Business & Economics categories.
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Asset Pricing And Portfolio Choice Theory
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Author : Kerry Back
language : en
Publisher: Financial Management Associati
Release Date : 2010
Asset Pricing And Portfolio Choice Theory written by Kerry Back and has been published by Financial Management Associati this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
This book is intended as a textbook for Ph.D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, and continuous-time models. It also treats various proposed explanations for the equity premium and risk-free rate puzzles: persistent heterogeneous idiosyncratic risks, internal habits, external habits, and recursive utility. Most of the book assumes rational behavior, but two topics important for behavioral finance are covered: heterogeneous beliefs and non-expected-utility preferences. There are also chapters on asymmetric information and production models. The book includes numerous exercises designed to provide practice with the concepts and also to introduce additional results. Each chapter concludes with a notes and references section that supplies references to additional developments in the field.
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.
Journal Of Financial Econon
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Author :
language : en
Publisher:
Release Date : 1994
Journal Of Financial Econon written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Financial Decisions And Markets
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Author : John Y. Campbell
language : en
Publisher: Princeton University Press
Release Date : 2017-10-31
Financial Decisions And Markets written by John Y. Campbell and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-31 with Business & Economics categories.
From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the field’s most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. The book shows how models make predictions not only about asset prices but also about investors’ financial positions, and how they often draw on insights from behavioral economics. After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics. The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Markets is an essential resource for all graduate students and practitioners in finance and related fields. Integrated treatment of asset pricing theory and empirical evidence Emphasis on investors’ decisions Broad view linking the field to financial econometrics, household finance, and macroeconomics Topics treated in discrete time, with no requirement for stochastic calculus Forthcoming solutions manual for problems available to professors
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.
Empirical Asset Pricing
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Author : Wayne Ferson
language : en
Publisher: MIT Press
Release Date : 2019-03-12
Empirical Asset Pricing written by Wayne Ferson and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-12 with Business & Economics categories.
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.
Market Microstructure Theory
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Author : Maureen O'Hara
language : en
Publisher: John Wiley & Sons
Release Date : 1998-03-06
Market Microstructure Theory written by Maureen O'Hara 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 1998-03-06 with Business & Economics categories.
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.