Download or read book On the Estimation of Asset Prices written by Peter Alexander Lee and published by . This book was released on 2007 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.
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 Moment Approximation and Estimation of Diffusion Models of Asset Prices written by Hua He and published by . This book was released on 1990 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing with Estimation Risk and Uncertain Information Quality written by Rodney D. Boehme and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive a conditional CAPM in a general equilibrium model where investors face estimation-risk on mean returns, and learn from information of uncertain quality or precision. In equilibrium, the loading on market risk augments the standard beta with the random or information-dependent conditional covariance matrix of the unknown mean returns. Therefore, announcement effects on equilibrium asset prices can occur because of changes in the required rate of return due to event-induced variations in estimation-risk, rather than revisions in estimated cash flows. In support of this prediction, we find that firms initiating cash payouts through repurchases during 1988-2000 show significant reduction in the post-event betas and their standard errors. The model is consistent with post-earnings-announcement drifts, and generates refutable predictions on the deviation of cross-sectional expected returns from the unconditional CAPM. Quantitatively, numerical simulations with an appropriately calibrated version of the model indicate that information quality risk has a substantial effect on equilibrium asset prices.
Download or read book Asset prices and persistence in fundamentals written by Andrea E. Beltratti and published by . This book was released on 1991 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing in the International Economy written by Mr.José M. Barrionuevo and published by International Monetary Fund. This book was released on 1993-02-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns.
Download or read book Nonparametric Estimation of State price Densities Implicit in Finalcial Asset Prices written by Yacine Aït-Sahalia and published by . This book was released on 1996 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Cost of Capital Estimation written by Malcolm John McLelland and published by Independently Published. This book was released on 2019-03-08 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: McLelland's "International cost of capital estimation" is a definitive, concise treatment of the modern capital asset pricing theories and related empirical methods needed by serious finance professionals for developing unbiased and reliable estimates of international cost of capital (ICC): (1) The fundamental international nature of risks in modern, integrated economies.(2) Derivation of the ICC estimation problem. (3) Solutions based on arbitrage pricing theory. (4) Solutions based on the capital asset pricing model. (5) Solutions based on certainty-equivalent methods. (5) Foreign currency risks and translation. (6) Optimal capital structure relevance and estimation. (7) Transaction cost effects on ICC. (8) Seemingly unobservable and non-systematic risks.Serious finance professionals can also develop a deeper, more practical understanding of modern asset pricing theory and how it is applied rationally in real-world financial decision-making.
Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Download or read book Essays on Asset Pricing and Empirical Estimation written by Pooya Nazeran and published by . This book was released on 2011 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: A considerable portion of the asset pricing literature considers the demand schedule for asset prices to be perfectly elastic (flat). As argued, asset prices are determined using information about future payoff distribution, as well as the discount rate; consequently, an asset would be priced independent of its available supply. Furthermore, such a flat demand curve is considered to be a consequence of the Efficient Market Hypothesis. My dissertation evaluates and questions the factuality of these assertions. I approach this problem from both an empirical and a theoretical perspective. The general argument is that asset prices do respond to supply-shocks; and changes in aggregate demand, stemming from preference changes, new international investments, or quantitative easing by the Fed, can result in price changes. Hence, asset prices are determined by both demand and supply factors. In the first essay, "Downward Sloping Asset Demand: Evidence from the Treasury Bills Market," I report on my empirical study which establishes the existence of a downward sloping demand curve (DSDC) in the T-bill market. In the second essay, "Asset Pricing: Inelastic Supply," I examine the theoretical issues concerning a downward sloping demand curve. I begin by clarifying a common confusion in the literature, namely, that many asset pricing models imply a flat demand curve. I show that the prominent asset pricing models, including Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT) and Consumption Capital Asset Pricing Model (CCAPM), all have an underlying DSDC. I further show that, while these models imply the relevance of supply, they are inconvenient as a vehicle for the estimation and analysis of the DSDC in the data. For those purposes, I develop an asset pricing framework based on the stochastic discount factor framework, specifically designed with a DSDC at its heart. I end the essay with a discussion of the framework's implications and applications. In the third essay I develop on the Factor-Augmented Vector-Autoregression (FAVAR) literature, proposing a bias-corrected method. As implemented in the literature, the Principal Component Analysis stage of FAVAR introduces a classical-error-in-variable problem which leads to bias. I propose an instrument-based method for bias correction.
Download or read book Nonparametric Estimation of State price Densities Implicit in Financial Asset Prices written by Yacine Aït-Sahalia and published by . This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more complex, or less liquid securities while capturing those features of the data that are most relevant from an asset-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform Monte Carlo simulation experiments to show that the SPD estimator can be successfully extracted from option prices and we present an empirical application using S&P 500 index options.
Download or read book A Note on the Estimation of Asset Pricing Models Using Simple Regression Betas written by Raymond Kan and published by . This book was released on 2009 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Model of Estimation Risk in Asset Pricing written by Evgenia Gvozdeva and published by . This book was released on 2009 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation of asymmetrical volatility for asset prices written by Naoto Kunitomo and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonparametric Estimation of State price Densities Implicht in Financial Asset Prices written by and published by . This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
