Download or read book Essays in Asset Pricing written by Hyung-Kwon Chung and published by . This book was released on 2001 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Asset Pricing written by Yoon Kang Lee and published by . This book was released on 2018 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.

Download or read book Essays in Asset Pricing written by Aytek Malkhozov and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing written by Ching Tai Watson and published by . This book was released on 2004 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.

Download or read book Two Essays on Asset Pricing written by Dan Luo and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Two Essays on Asset Pricing" by Dan, Luo, 罗丹, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives. The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments have been reasonably priced and integrated within the financial market generally, both before and during the financial crisis. We first design a procedure to value CDO tranches using an intensity-based model which falls into the affine model class. The CDX tranche spreads are efficiently explained by a three-factor version of this model, before and during the crisis period. We then construct tradable CDX tranche portfolios, representing the three default intensity factors. These portfolios capture the same exposure as the S&P 500 index optionmarket, to a market crash. We regress these CDX factors against the underlying index, the volatility factor, and the smirk factor, extracted from the index option returns, and against the Fama-French market, size and book-to-market factors. We finally argue that the CDX spreads are integrated in the financial market, and their issuers have not made excess returns. The second essay explores the specifications of jumps for modeling stock price dynamics and cross-sectional option prices. We exploit a long sample of about 16 years of S&P500 returns and option prices for model estimation. We explicitly impose the time-series consistency when jointly fitting the return and option series. We specify a separate jump intensity process which affords a distinct source of uncertainty and persistence level from the volatility process. Our overall conclusion is that simultaneous jumps in return and volatility are helpful in fitting the return, volatility and jump intensity time series, while time-varying jump intensities improve the cross-section fit of the option prices. In the formulation with time-varying jump intensity, both the mean jump size and standard deviation of jump size premia are strengthened. Our MCMC approach to estimate the models is appropriate, because it has been found to be powerful by other authors, and it is suitable for dealing with jumps. To the best of our knowledge, our study provides the the most comprehensive application of the MCMC technique to option pricing in affine jump-diffusion models. DOI: 10.5353/th_b4819935 Subjects: Capital assets pricing model

Download or read book Essays in Asset Pricing written by Ming Li and published by . This book was released on 2005 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Asset Pricing written by Zhihong Shi and published by . This book was released on 2005 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Asset Pricing written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing written by Juan Carlos Rodriguez and published by . This book was released on 2002 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing written by Xiaolong Cheng and published by . This book was released on 2011 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Asset Pricing written by Selale Tuzel and published by . This book was released on 2005 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Asset Pricing written by Jianhua Yuan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Asset Pricing and Asset Choice written by James Eric Gunderson and published by . This book was released on 2004 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing and the Horizon Effect written by Chenglu Jin and published by . This book was released on 2018 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing with Generalized Preferences written by Wei-Mun Wang and published by . This book was released on 2004 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing written by Yan Wang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: