Atnaujinkite slapukų nuostatas

El. knyga: Handbook of the Economics of Finance: Asset Pricing

Edited by (The Ohio State University, Columbus, OH, USA), Edited by (University of Chicago, Chicago, IL, USA), Edited by (University of Chicago, Chicago, IL, USA)
  • Formatas: EPUB+DRM
  • Serija: Handbooks in Finance
  • Išleidimo metai: 08-Feb-2013
  • Leidėjas: North-Holland
  • Kalba: eng
  • ISBN-13: 9780444594730
Kitos knygos pagal šią temą:
Handbook of the Economics of Finance: Asset PricingDidesnis paveikslėlis
  • Formatas: EPUB+DRM
  • Serija: Handbooks in Finance
  • Išleidimo metai: 08-Feb-2013
  • Leidėjas: North-Holland
  • Kalba: eng
  • ISBN-13: 9780444594730
Kitos knygos pagal šią temą:

DRM apribojimai

  • Kopijuoti:

    neleidžiama

  • Spausdinti:

    neleidžiama

  • El. knygos naudojimas:

    Skaitmeninių teisių valdymas (DRM)
    Leidykla pateikė šią knygą šifruota forma, o tai reiškia, kad norint ją atrakinti ir perskaityti reikia įdiegti nemokamą programinę įrangą. Norint skaityti šią el. knygą, turite susikurti Adobe ID . Daugiau informacijos  čia. El. knygą galima atsisiųsti į 6 įrenginius (vienas vartotojas su tuo pačiu Adobe ID).

    Reikalinga programinė įranga
    Norint skaityti šią el. knygą mobiliajame įrenginyje (telefone ar planšetiniame kompiuteryje), turite įdiegti šią nemokamą programėlę: PocketBook Reader (iOS / Android)

    Norint skaityti šią el. knygą asmeniniame arba „Mac“ kompiuteryje, Jums reikalinga  Adobe Digital Editions “ (tai nemokama programa, specialiai sukurta el. knygoms. Tai nėra tas pats, kas „Adobe Reader“, kurią tikriausiai jau turite savo kompiuteryje.)

    Negalite skaityti šios el. knygos naudodami „Amazon Kindle“.

The 12 articles in this second of two volumes condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research.  Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research.  For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.  
  • Offers analyses by top scholars of recent asset pricing scholarship
  • Explains how the 2008 financial crises affected theoretical and empirical research
  • Covers core and newly-developing fields


The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.
  • Offers analyses by top scholars of recent asset pricing scholarship
  • Explains how the 2008 financial crises affected theoretical and empirical research
  • Covers core and newly-developing fields

Recenzijos

"A scholarly compendium of contemporary research in Financial Economics which will be of great value not only for researchers in finance but also for researchers in many other of economics including money and banking, growth and development, international economics, public finance, and macro economics." --Edward C. Prescott, Nobel Laureate, Arizona State University

"This Handbook provides a timely and comprehensive account of the state-of-the-art of Financial Economics, including corporate finance and asset pricing, written by many of the leading names in their respective fields." --Harry M.Markowitz, Nobel Laureate, University of California, San Diego

Daugiau informacijos

Authoritative literature summaries about asset pricing define recent advances and probable developments for graduate students and professors
Volume 2B Financial Markets and Asset Pricing
12 Advances in Consumption-Based Asset Pricing: Empirical Tests
799(108)
Sydney C. Ludvigson
1 Introduction
800(3)
2 Consumption-Based Models: Notation and Background
803(3)
3 GMM and Consumption-Based Models
806(1)
3.1 GMM Review (Hansen, 1982)
806(1)
3.2 A Classic Asset Pricing Application: Hansen and Singleton (1982)
807(3)
3.3 GMM Asset Pricing with Non-Optimal Weighting
810(13)
4 Euler Equation Errors and Consumption-Based Models
815(4)
5 Scaled Consumption-Based Models
819(4)
5.1 Econometric Findings
823(1)
5.2 Distinguishing Two Types of Conditioning
824(5)
5.3 Debate
829(11)
6 Asset Pricing with Recursive Preferences
838(2)
6.1 EZW Recursive Preferences
840(2)
6.2 EZW Preferences with Unrestricted Dynamics: Distribution-Free Estimation
842(9)
6.3 EZW Preferences with Restricted Dynamics: Long-Run Risk
851(16)
6.4 Debate
867(16)
7 Stochastic Consumption Volatility
872(9)
8 Asset Pricing with Habits
881(2)
8.1 Structural Estimation of Campbell-Cochrane Habit
883(1)
8.2 Flexible Estimation of Habit Preferences with Unrestricted Dynamics
884(3)
8.3 Econometric Findings
887(2)
8.4 Debate
889(18)
9 Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation
890(7)
10 Conclusion
897(3)
References
900(7)
13 Bond Pricing and the Macroeconomy
907(62)
Gregory R. Duffee
1 Introduction
908(1)
2 A Factor Model
909(1)
2.1 A Bare-Bones Framework
909(2)
2.2 Implications and Alternatives
911(1)
2.3 What are the Factors?
912(1)
2.4 Taylor Rule Stories
913(2)
3 No-Arbitrage Restrictions
915(1)
3.1 Stochastic Discount Factors
915(3)
3.2 Bond Pricing
918(1)
3.3 Implications of No-Arbitrage Restrictions
919(2)
4 The Variation of Yields with the Macroeconomy: US Evidence
921(1)
4.1 Macroeconomic Data
921(2)
4.2 Spanning
923(5)
4.3 A Workhorse Empirical Example
928(3)
4.4 Interpreting and Altering Cross-Sectional Accuracy
931(2)
5 Modeling Risk Premia
933(1)
5.1 Practical Approaches to Modeling Risk Premia
933(1)
5.2 A Brief Example
934(3)
5.3 Some Properties of Observed Bond Returns
937(3)
5.4 Power Utility
940(2)
5.5 Recursive Utility
942(1)
5.6 The Empirical Performance of Power and Recursive Utility
943(5)
5.7 Predictable Variation of Excess Bond Returns
948(4)
5.8 Extensions to Power Utility and Recursive Utility
952(3)
5.9 Moving Away from Endogenous Risk Premia
955(1)
6 New Keynesian Models
956(1)
6.1 A Reduced-Form New Keynesian Model
956(2)
6.2 Nesting the Model in a General Factor Structure
958(2)
6.3 Adding Nominal Bonds
960(1)
6.4 An Empirical Application
961(8)
7 Concluding Comments
965(1)
References
965(4)
14 Investment Performance: A Review and Synthesis
969(42)
Wayne E. Ferson
1 Introduction
970(1)
2 The Stochastic Discount Factor (SDF) Framework
971(1)
2.1 Market Efficiency and Fund Performance
972(2)
2.2 The Treatment of Costs
974(1)
3 Performance Measures
975(1)
3.1 Returns-Based Alpha and Appropriate Benchmarks
975(2)
3.2 The Sharpe Ratio
977(1)
3.3 Conditional Performance Evaluation (CPE)
978(3)
3.4 Unconditional Efficiency and Performance Evaluation
981(1)
3.5 Market Timing
982(2)
3.6 Conditional Market Timing
984(1)
3.7 Holdings-Based Performance Measures
984(6)
4 Implementation Issues and Empirical Examples
989(1)
4.1 Data Issues
990(1)
4.2 Interim Trading
991(1)
4.3 Liquidity
992(3)
4.4 Empirical Examples
995(4)
4.5 Skill Versus Luck
999(3)
5 Fund Managers' Incentives and Investor Behavior
1000(2)
5.1 Flows to Mutual Funds
1002(9)
6 Conclusions
1004(1)
Acknowledgments
1004(1)
References
1004(7)
15 Mutual Funds
1011(52)
Edwin J. Elton
Martin J. Gruber
1 Introduction
1012(2)
1.1 Open-End Mutual Funds
1014(2)
1.2 Closed-End Mutual Funds
1016(1)
1.3 Exchange-Traded Funds
1016(1)
2 Issues with Open-End Funds
1017(1)
2.1 Performance Measurement Techniques
1017(21)
2.2 How Well Have Active Funds Done?
1038(6)
2.3 How Well Do Investors Do in Selecting Funds?
1044(1)
2.4 Other Characteristics of Good-Performing Funds
1045(2)
2.5 What Affects Flows Into Funds?
1047(2)
3 Closed-End Funds
1048(1)
3.1 Explaining the Discount
1049(2)
3.2 Why Closed-End Funds Exist
1051(2)
4 Exchange-Traded Funds (ETFs)
1052(1)
4.1 Tracking Error
1053(1)
4.2 The Relationships of Price to NAV
1054(1)
4.3 Performance Relative to Other Instruments
1054(1)
4.4 Their Use of Price Formation
1055(1)
4.5 The Effect of Leverage
1056(1)
4.6 Active ETFs
1057(6)
5 Conclusion
1057(1)
References
1057(4)
Further Reading
1061(2)
16 Hedge Funds
1063(64)
William Fung
David A. Hsieh
1 The Hedge Fund Business Model---A Historical Perspective
1063(6)
2 Empirical Evidence of Hedge Fund Performance
1069(1)
2.1 Were the Lofty Expectations of Early Hedge Fund Investors Fulfilled?
1069(5)
2.2 The Arrival of Institutional Investors
1074(2)
2.3 Hedge Fund Performance---The Post Dot-com Bubble Era
1076(1)
2.4 Absolute Return and Alpha---A Rose by Any Other Name?
1077(8)
3 The Risk in Hedge Fund Strategies
1085(1)
3.1 From Passive Index Strategies to Active Hedge Fund Styles
1085(2)
3.2 Peer-Group Style Factors
1087(1)
3.3 Return-Based Style Factors
1087(2)
3.4 Top-Down Versus Bottom-Up Models of Hedge Fund Strategy Risk
1089(1)
3.5 Directional Hedge Fund Styles: Trend Followers and Global Macro
1090(3)
3.6 Event-Driven Hedge Fund Styles: Risk Arbitrage and Distressed
1093(3)
3.7 Relative Value and Arbitrage-like Hedge Fund Styles: Fixed Income Arbitrage, Convertible Arbitrage, and Long/Short Equity
1096(5)
3.8 Niche Strategies: Dedicated Short Bias, Emerging Market and Equity Market Neutral
1101(2)
4 Where Do Investors Go From Here?
1103(1)
4.1 Portfolio Construction and Performance Trend
1103(12)
4.2 Risk Management and a Tale of Two Risks
1115(2)
4.3 Alpha-Beta Separation, Replication Products, and Fees
1117(4)
4.4 Concluding Remarks
1121(6)
References
1124(3)
17 Financial Risk Measurement for Financial Risk Management
1127(94)
Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold
1 Introduction
1128(1)
1.1 Six Emergent Themes
1129(1)
1.2 Conditional Risk Measures
1130(3)
1.3 Plan of the
Chapter
1133(1)
2 Conditional Portfolio-Level Risk Analysis
1133(1)
2.1 Modeling Time-Varying Volatilities Using Daily Data and GARCH
1134(8)
2.2 Intraday Data and Realized Volatility
1142(14)
2.3 Modeling Return Distributions
1156(12)
3 Conditional Asset-Level Risk Analysis
1167(1)
3.1 Modeling Time-Varying Covariances Using Daily Data and GARCH
1168(8)
3.2 Intraday Data and Realized Covariances
1176(14)
3.3 Modeling Multivariate Return Distributions
1190(9)
3.4 Systemic Risk and Measurement
1199(5)
4 Conditioning on Macroeconomic Fundamentals
1203(1)
4.1 The Macroeconomic and Return Volatility
1204(1)
4.2 The Macroeconomy and Fundamental Volatility
1205(2)
4.3 Fundamental Volatility and Return Volatility
1207(1)
4.4 Other Links
1207(2)
4.5 Factors as Fundamentals
1209(12)
5 Concluding Remarks
1211(1)
References
1212(9)
18 Bubbles, Financial Crises, and Systemic Risk
1221(68)
Markus K. Brunnermeier
Martin Oehmke
1 Introduction
1222(3)
2 A Brief Historical Overview of Bubbles and Crises
1225(4)
3 Bubbles
1229(2)
3.1 Rational Bubbles without Frictions
1231(2)
3.2 OLG Frictions and Market Incompleteness
1233(3)
3.3 Informational Frictions
1236(2)
3.4 Delegated Investment and Credit Bubbles
1238(1)
3.5 Heterogeneous-Beliefs Bubbles
1239(3)
3.6 Empirical Evidence on Bubbles
1242(1)
3.7 Experimental Evidence on Bubbles
1243(4)
4 Crises
1245(2)
4.1 Counterparty/Bank Runs
1247(6)
4.2 Collateral/Margin Runs
1253(8)
4.3 Lenders' or Borrowers' Friction?
1261(3)
4.4 Network Externalities
1264(4)
4.5 Feedback Effects Between Financial Sector Risk and Sovereign Risk
1268(3)
5 Measuring Systemic Risk
1271(1)
5.1 Systemic Risk Measures
1271(2)
5.2 Data Collection and Macro Modeling
1273(2)
5.3 Challenges in Estimating Systemic Risk Measures
1275(2)
5.4 Some Specific Measures of Systemic Risk
1277(12)
6 Conclusion
1280(1)
References
1281(8)
19 Market Liquidity---Theory and Empirical Evidence
1289(74)
Dimitri Vayanos
Jiang Wang
1 Introduction
1289(6)
2 Theory
1295(2)
2.1 Perfect-Market Benchmark
1297(3)
2.2 Participation Costs
1300(4)
2.3 Transaction Costs
1304(5)
2.4 Asymmetric Information
1309(5)
2.5 Imperfect Competition
1314(8)
2.6 Funding Constraints
1322(6)
2.7 Search
1328(6)
3 Empirical Evidence
1333(1)
3.1 Empirical Measures of Illiquidity
1334(7)
3.2 Properties of Illiquidity Measures
1341(5)
3.3 Illiquidity and Asset Returns
1346(17)
4 Conclusion
1351(1)
References
1352(11)
20 Credit Derivatives
1363(34)
John Hull
Alan White
1 Introduction
1363(1)
2 Risk-Neutral Default Probability Estimates
1364(4)
2.1 The Risk-Free Rate
1368(2)
3 Physical Default Probability Estimates
1369(1)
3.1 Empirical Research on Default Probability Estimates
1370(3)
3.2 Empirical Research on Credit Spreads
1373(5)
4 Credit Default Swaps
1376(2)
4.1 Credit Indices
1378(1)
4.2 Fixed Coupons
1379(1)
5 Collateralized Debt Obligations
1380(1)
5.1 Cash CDOs
1380(2)
5.2 Synthetic CDOs
1382(1)
5.3 Synthetic CDO Valuation
1383(2)
5.4 Default Correlation Models and the Probability of Default
1385(2)
5.5 A Non-Homogeneous Model
1387(1)
5.6 Gaussian and Other Factor Copula Models
1387(2)
5.7 Index CDOs
1389(1)
5.8 CDO Economics
1390(7)
6 Credit Derivatives and the Crisis
1392(2)
7 Conclusions
1394(1)
References
1395(2)
21 Household Finance: An Emerging Field
1397(136)
Luigi Guiso
Paolo Sodini
1 The Rise of Household Finance
1398(1)
1.1 Why a New Field?
1399(2)
1.2 Why Now?
1401(2)
2 Facts About Household Assets and Liabilities
1402(1)
2.1 Components of Lifetime Wealth: Human Capital
1403(3)
2.2 Components of Lifetime Wealth: Tangible Assets
1406(11)
2.3 Liabilities
1417(2)
2.4 Trends
1419(1)
2.5 Overall Reliance on Financial Markets
1420(1)
2.6 International Comparisons
1421(4)
3 Household Risk Preferences and Beliefs: What Do We Know?
1424(1)
3.1 Measuring Individual Risk Aversion
1425(7)
3.2 Determinants of Risk Attitudes
1432(11)
3.3 Time-Varying Risk Aversion?
1443(2)
3.4 Heterogeneity in the Financial Wealth Elasticity of the Risky Share
1445(1)
3.5 Ambiguity and Regret
1446(3)
3.6 Beliefs
1449(1)
3.7 Risk Aversion, Beliefs, and Financial Choices; Putting Merton's Model to the Test
1450(3)
4 Household Portfolio Decisions: From Normative Models to Observed Behavior
1452(1)
4.1 Stock Market Participation
1453(6)
4.2 Portfolio Selection
1459(16)
4.3 Portfolio Rebalancing in Response to Market Movements
1475(3)
4.4 Portfolio Rebalancing Over the Life-Cycle
1478(18)
5 Household Borrowing Decisions
1496(1)
5.1 Liabilities of the Household Sector: Magnitudes and Trends
1496(1)
5.2 Credit Availability
1496(3)
5.3 Optimal Mortgage Choice
1499(6)
5.4 Defaulting on Mortgages
1505(5)
5.5 Credit Card Debt, Debate and Puzzles
1510(23)
6 Conclusion
1512(2)
Appendix A Data Source and Notes
1514(3)
Appendix B Computation of Human Capital
1517(2)
References
1519(14)
22 The Behavior of Individual Investors
1533(38)
Brad M. Barber
Terrance Odean
1 The Performance of Individual Investors
1535(1)
1.1 The Average Individual
1535(9)
1.2 Cross-Sectional Variation in Performance
1544(3)
2 Why do Individual Investors Underperform?
1547(1)
2.1 Asymmetric Information
1547(1)
2.2 Overconfidence
1547(3)
23 Sensation Seeking
1549(1)
2.4 Familiarity
1550(1)
3 The Disposition Effect: Selling Winners and Holding Losers
1551(1)
3.1 The Evidence
1551(6)
3.2 Why Do Investors Prefer to Sell Winners?
1557(14)
4 Reinforcement Learning
1559(1)
5 Attention: Chasing the Action
1559(1)
6 Failure to Diversify
1560(4)
7 Are Individual Investors Contrarians?
1564(1)
8 Conclusion
1565(1)
References
1565(6)
23 Risk Pricing over Alternative Investment Horizons
1571
Lars Peter Hansen
1 Introduction
1572(1)
2 Stochastic Discount Factor Dynamics
1573(1)
2.1 Basic Setup
1573(1)
2.2 A Convenient Factorization
1574(2)
2.3 Other Familiar Changes in Measure
1576(1)
2.4 Log-Linear Models
1577(1)
2.5 Model-Based Factorizations
1578(4)
2.6 Entropy Characterization
1582(1)
3 Cash-Flow Pricing
1583(1)
3.1 Incorporating Stochastic Growth in the Cash Flows
1583(2)
3.2 Holding-Period Returns on Cash Flows
1585(1)
3.3 Shock Elasticities
1585(11)
4 Market Restrictions
1594(2)
4.1 Incomplete Contracting
1596(6)
4.2 Solvency Constraints
1602(4)
4.3 Segmented Market and Nominal Shocks
1606
5 Conclusions
1607(1)
Appendix A Limited Contracting Economies Revisited
1608(1)
References
1609
Index to Volume 2B 1
Milt Harris is a Fellow of the Econometric Society and of the American Finance Association. He is past president of the Western Finance Association and the Society for Financial Studies.
Daugiau apie elektronines knygas Daugiau apie elektronines knygas
Pastovi nuoroda: https://www.kriso.lt/db/97804445947306e.html
Raktažodžiai: