Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Download or read book Essays on Trading Strategy written by Graham L Giller and published by Giller Investments (New Jersey), LLC. This book was released on 2021-12-31 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following on from his Adventures in Financial Data Science, Graham Giller, one of Wall Streets original data scientists, collects together a set of pieces on optimal trading strategy design. These address the key issue not answered in the first volume of the series on Financial Data Science, how to go from an alpha to a trade. The division of topics is shaped by what Graham calls "Peter Muller's Rule": the analysis of systems to predict prices and systems to trade from predictions should be separated. This makes trading strategy agnostic as to the origins of the information contained within the alpha and clarifies the analytical methodology developed.
Download or read book Essays in Financial Economics written by Francisco Jose Guedes dos Santos and published by Stanford University. This book was released on 2011 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that examine various problems in financial economics. Chapter 1 fills in a gap in the IPO literature by documenting a close connection between IPO underpricing and the long-term underperformance of IPOs. Firms going public in periods of low underpricing do not underperform in the long run, while firms going public in high underpricing periods do. Furthermore, IPOs in later stages of high underpricing periods underperform even relative to their offer prices, which suggests that many of the most "underpriced" IPOs are in fact priced above fundamental value. This result is unlikely to be explained by differences in risk, or to be driven by a peso problem. I also find that firms going public in later stages of high underpricing periods display worse operating performance and profitability, lower asset growth, lower investment rates and higher cash holdings. Finally, I provide evidence that investor sentiment is stronger in high-underpricing periods. These results are consistent with a setting in which low quality firms, in periods in which the average underpricing in the market is high, try to exploit investors' sentiment by going public. Chapter 2 looks at the return predictability information in Single Country Closed-End Fund (SCCEF) discounts. It is long argued that discounts in closed-end funds are caused by differences in sentiment between investors that trade the fund and investors that trade the underlying assets. SCCEFs provide an interesting setting given the clear market segmentation. American SCCEFs are priced by American investors, while underlying assets are mainly traded by investors in the respective country. I argue that if cross-sectional and time-series variation in SCCEFs are linked to differences in sentiment, then the SCCEF discount can be used to predict future performance of SCCEFs, international stock markets, or both. The evidence on international stock markets' return predictability using SCCEF discounts is mixed. A trading strategy designed to exploit potential differences in sentiment by buying and selling international stock indices delivers alphas of around 90bps per month in an International CAPM. Adding three extra factors: value, size and momentum in U.S. equity does not change the result. However, once we control for international value and momentum in stock markets, we no longer observe positive alphas for short-horizon investments. The evidence on SCCEF return predictability from SCCEF discounts is very strong. For all three asset pricing models considered, a strategy that exploits differences in sentiment yields positive alphas, with magnitudes ranging from 2% to 4% per month. In Chapter 3, I investigate how the stock market reacts to earnings surprises announced during major sport events in the U.S. In a rational and frictionless market, investors should not react differently to announcements released during sport events. However, major sport events combine two known psychological biases. First, sports can be distracting, impairing investors' judgment. Second, sports can change people's mood. Hence, through these biases, market prices could be affected. Considering the Super Bowl, World Series of Baseball and NBA finals I find that investors, immediately after sport events, underreact to positive surprises, and overreact to negative surprises in earnings. After this initial reaction, I find that, investors undo their 'mistakes' in the following weeks to the announcement. However, for the most negative and positive surprises, they over-compensate. In this study, I show that non relevant financial events have an impact on market prices. Moreover, I show that the observed impact cannot be explained only by limited attention, as investor mood seems to be crucial to explain investors' reactions.
Download or read book Essays in Honor of M Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Download or read book Three essays on empirical finance written by Tse-Chun Lin and published by Rozenberg Publishers. This book was released on 2009 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Behavioral Finance written by Lucy F. Ackert and published by South Western Educational Publishing. This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
Download or read book Essays in Economics written by James Tobin and published by MIT Press. This book was released on 1996 with total page 838 pages. Available in PDF, EPUB and Kindle. Book excerpt: This fourth volume in the series of Nobel laureate James Tobin's classic papers represents his work since 1980. This fourth volume in the series of Nobel laureate James Tobin's classic papers represents his work since 1980. Both national and international views are intermingled among the 36 chapters on macroeconomics and fiscal policy, savings, stabilization policy, international coordination of macroeconomic policy, monetary policy, and exchange rates. Several tributes to colleagues--including Walter Heller and Seymour Harris--round out the collection.
Download or read book Three essays on real estate finance written by Xiaolong Liu and published by Rozenberg Publishers. This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Download or read book ESSAYS IN ECONOMIC AND MANAGEMENTS IN HONOUR OF MOSTAFA EMAMI written by London Palestine Pilgrims' Text Society and published by MOSTAFA EMAMI. This book was released on 2016-08-27 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: ESSAYS IN ECONOMIC AND MANAGEMENTS IN HONOUR OF MOSTAFA EMAMI Mostafa Emami’s work on the history of economic and management thought has been provoking debate for over one decades. This book brings together key contributions of recent years, in addition to some brand new pieces, including an extensive Article often neglected arguments for government intervention in the economy to correct market failures, and his critical view of the business class as an anti-social force. If you are interested in political economy and have some grounding in the subject matter then Emami’s essays make for engaging, essential reading, concludes Nick Taylor. essays in economic and management and managements in honour of mostafa emami: Collected Essays IV. Mostafa Emami’s. Rutledge. January 2013. Find this book: Mostafa Emami’s first volume of Collected Essays is, by all means, a book for those already acquainted with the history of economic and management thought. It is the work of an author who has such familiarity with his subject matter that each essay reads with the assumption of a thorough grounding in the subject. Mostafa Emami (PHD ECO.FIN) has been a Member Talent of Young Researchers and Elite Club (since 2010) and a Member of the Iran's National Elites Foundation (since 2012), and Research Fellow of Centre for Scientific Cooperation & Elite Affairs, Iran's Ministry of Defence, where he was promoted to Study in Doctor of Philosophy in field of financial behaviour from Michigan Technological University in 2013.He served as a graduate at "Tarbiat Modares University " from 2010 to 2012. He has carved out a vast area of expertise on the classical economists and his list of publications is dizzying in length. What has made him so influential is his possession of a renowned fighting spirit in the development of an of ten-controversial perspective of the subject matter. Fortunately for the reader, and certainly for the student of economic and managements, this means his papers consist of a set of clearly argued and lively debates on the classical economic and managements canon. This volume, which presents work from roughly the last decade, covers new fields of economists . One of his skills is his ability to make sense of the evolution of thought across such a daunting time-scale, and this collection demonstrates this quality admirably. This same attribute, however, is where much of the controversy surrounding his work lies. ,Publications,Profitability,Developing Country,United States,Cross Section,Economic Growth,Time Series,Interest Rate,Empirical Evidence,Case Study,Panel Data,Exchange Rate,Decision Making,Stock Returns,Monetary Policy,Indexation,Stock Market,Empirical Study,Human Capital,Competitive Advantage,Empirical Analysis,Stock Price,Business Cycle,Asset Prices,Satisfiability,International Business,Risk Aversion,Labor Market,Growth Rate,International Trade,Financial Market,Firm Performance,Supply Chain,Economic Development,Empirical Research,New Products,Design Methodology,Transaction Cost,Information Technology,Corporate Governance,Unit Root,Service Quality,Performance Measure,Economic Theory,Capital Market,Theoretical Model,Small Firms,Customer Satisfaction,Statistical Significance,Cash Flow,United Kingdom,Technological Change,Foreign Direct Investment,Public Good,Firm Size,Strategic Management,Asymmetric Information,Capital Structure,Supply Chain Management,Public Policy,Organizational Learning,Market Structure,Option Pricing,Term Structure,Property Rights,Conceptual Framework,Political Economy,Life Cycle,Rational Expectation,Utility Function,Market Share,Private Information,Decision Maker,New Technology,Time Varying,Dynamic Model,Instrumental Variable,Survey Data,Resource Based View,Data Collection
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2004 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Uncertainty Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Download or read book Geopolitical Risk on Stock Returns Evidence from Inter Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Download or read book The Great Crash 1929 written by John Kenneth Galbraith and published by Houghton Mifflin Harcourt. This book was released on 2009 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classic examination of the 1929 financial collapse, with an introduction by economist James K. Galbraith Of John Kenneth Galbraith's The Great Crash 1929, the Atlantic Monthly said: "Economic writings are seldom notable for their entertainment value, but this book is. Galbraith's prose has grace and wit, and he distills a good deal of sardonic fun from the whopping errors of the nation's oracles and the wondrous antics of the financial community." Originally published in 1955, Galbraith's book became an instant bestseller, and in the years since its release it has become the unparalleled point of reference for readers looking to understand American financial history."
Download or read book Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards written by and published by . This book was released on 2009 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
