Download or read book Empirical Tests of the Utility based Asset Pricing Model Using Temporally Aggregated Twentieth Century Data written by Peter Allan Muoio and published by . This book was released on 1988 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Tests of Consumption based Asset Pricing Models Using Household level Consumption Data written by Nataliya Polkovnichenko and published by . This book was released on 2008 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1989-02 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications written by John Heaton and published by . This book was released on 1991 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Capital Asset Pricing Model written by Fischer Black and published by . This book was released on 1972 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Tests of the Capital Asset Pricing Model written by Ali Jahankhani and published by . This book was released on 1977 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Tests of Asset Pricing Models Based on Analysts Forecasts written by Ruoling Shen and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time series Tests of a Non expected utility Model of Asset Pricing written by Alberto Giovannini and published by . This book was released on 1989 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Test of the Capital Asset Pricing Model and the Predictability of Business Cycles Using Financial Variables written by Janet Xiuqing He and published by . This book was released on 1997 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence written by Wessel Marquering and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In intertemporal asset pricing models, transaction costs are usually neglected. In this paper we explicitly incorporate transaction costs in these models and analyze to what extent this extension is helpful in explaining the cross-section of expected returns. An empirical analysis using CRSP data on size-based portfolios examines the role of the transaction costs and shows that incorporating such costs in the consumption-based model with power utility does not yield very satisfactory results. However, the introduction of habit persistence substantially improves the model. We find rather strong evidence of habit persistence in monthly consumption data. The plots of the models' pricing errors indicate that an intertemporal asset pricing model with transaction costs and habit persistence explains the cross-sectional variation in the portfolio returns quite accurately.
Download or read book The role of temporal aggregation in asset pricing test written by A. Roy and published by . This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Tests of Asset Pricing Models written by Philip R. Davies and published by . This book was released on 2007 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first essay I develop a Bayesian approach to test the cross-sectional predictions of the CAPM at the firm level. Using a broad cross-section of NYSE, AMEX, and NASDAQ listed stocks over the period July 1927--June 2005, I find evidence of a robust positive relation between beta and average returns. Fama and French (1993) propose two additional risk factors related to firm size and book-to-market equity. I find no evidence that these additional risk factors help to explain the cross-sectional variation in average returns. These results are consistent with the empirical predictions of the CAPM.
Download or read book Temporal Aggregation and the Continuous Time Capital Asset Pricing Model written by Francis A. Longstaff and published by . This book was released on 1988 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Download or read book Journal of Economic Literature written by and published by . This book was released on 1988 with total page 1246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
