Atnaujinkite slapukų nuostatas

El. knyga: Handbook of the Economics of Finance SET:Volumes 2A & 2B: Corporate Finance and Asset Pricing

4.50/5 (3 ratings by Goodreads)
Edited by (University of Chicago, Chicago, IL, USA), Edited by (University of Chicago, Chicago, IL, USA), Edited by (The Ohio State University, Columbus, OH, USA)
Kitos knygos pagal šią temą:
Handbook of the Economics of Finance SET:Volumes 2A & 2B: Corporate Finance and Asset PricingDidesnis paveikslėlis
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“.

This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons.

  • Covers core and newly-developing fields
  • Explains how the 2008 financial crises affected theoretical and empirical research
  • Exposes readers to a wide range of subjects described and analyzed by the best scholars


This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons.

  • Covers core and newly-developing fields
  • Explains how the 2008 financial crises affected theoretical and empirical research
  • Exposes readers to a wide range of subjects described and analyzed by the best scholars

Recenzijos

"The first volume in the two-volume set focuses on corporate finance while the second volume addresses financial markets and assets pricing the 11 essays in volume 2A survey the current literature on securitization, executive compensation, endogeneity, managerial behavior, venture capital, entrepreneurship, and how taxes affect financing policies. The 12 essays in 2B review advances in consumption-based asset pricing, bond pricing,"--ProtoView.com, February 2014 "The authors of these excellent articles take readers to the current frontiers of finance and beyond them.  The articles present finance as a field in which the best practitioners use sophisticated theories to make sense of the extensive datasets now available to observers of financial outcomes."--Thomas J. Sargent, Nobel Laureate, New York University "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 throughout 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

New scholarship in corporate finance and asset pricing described and analyzed by the world's top scholars for graduate students and professors
Introduction to the Series xxiii
Preface xxv
Volume 2A Corporate Finance
1 Securitization
1(70)
Gary Gorton
Andrew Metrick
1 Introduction
2(3)
2 Securitization: Some Institutional Details
5(8)
2.1 Legal Structure
5(2)
2.2 Securitization Example: Credit Card Securitization via the Chase Issuance Trust
7(5)
2.3 Other Forms of Securitization
12(1)
3 Overview of the Performance of Asset-Backed Securities
13(12)
3.1 The Size and Growth of the ABS Market
13(2)
3.2 The Default and Ratings Performance of ABS
15(5)
3.3 ABS Performance in Terms of Spreads
20(2)
3.4 Performance During the Financial Crisis
22(3)
4 A Simple Model of the Securitization Decision
25(4)
5 The Origins of Securitization
29(11)
5.1 The Supply of Securitized Bonds
29(3)
5.2 Relative Convenience Yield and the Demand for Securitized Bonds
32(3)
5.3 Securitization and Financial Innovation
35(5)
6 Security Design and the Cost of Capital: Theory
40(4)
7 Security Design and the Cost of Capital: Evidence
44(9)
7.1 Does Securitization Lower the Cost of Capital?
44(1)
7.2 Components of the Return Differential
45(8)
8 Securitization, Regulation, and Public Policy
53(9)
8.1 Securitization and Financial Stability
53(3)
8.2 The Federal Reserve and Asset-Backed Securities during the Crisis
56(3)
8.3 Securitization and Monetary Policy
59(1)
8.4 The Future of Securitization
60(2)
9 Final Comments and Open Questions
62(3)
References
65(6)
2 Dynamic Security Design and Corporate Financing
71(52)
Yuliy Sannikov
1 Introduction
71(3)
2 Informational Problems in Static Models
74(13)
2.1 Moral Hazard
75(7)
2.2 Adverse Selection
82(5)
3 Simple Securities in Dynamic Models
87(3)
4 Optimal Dynamic Security Design under Moral Hazard
90(21)
4.1 Other Models that Involve Dynamic Moral Hazard
102(9)
5 Asymmetric Information in Dynamic Settings
111(10)
5.1 Static Contracts in Dynamic Settings
111(6)
5.2 Optimal Dynamic Contracts with Adverse Selection
117(4)
References
121(2)
3 Do Taxes Affect Corporate Decisions? A Review
123(88)
John R. Graham
1 Introduction
124(2)
2 Taxes and Capital Structure---The US Tax System
126(37)
2.1 Theory and Empirical Predictions
126(7)
2.2 Empirical Evidence on Whether the Tax Advantage of Debt Increases Firm Value
133(8)
2.3 Empirical Evidence on Whether Corporate Taxes Affect Debt vs. Equity Policy
141(9)
2.4 Empirical Evidence on Whether Personal Taxes Affect Corporate Debt vs. Equity Policy
150(8)
2.5 Beyond Debt vs. Equity
158(5)
3 Taxes and Capital Structure---Multinational Tax Issues
163(12)
3.1 Tax Incentives and Financial Policy in Multinational Firms: Theory and Tax Rules
164(6)
3.2 Empirical Evidence Related to Multinational Tax Incentives to Use Debt
170(3)
3.3 Other Predictions and Evidence about Multinational Tax Incentives
173(1)
3.4 Empirical Evidence Related to Repatriation of Profits Earned Abroad
174(1)
4 Taxes, LBOs, Corporate Restructuring, and Organizational Form
175(4)
4.1 Theory and Predictions
175(1)
4.2 Empirical Evidence
176(3)
5 Taxes and Payout Policy
179(10)
5.1 Theory and Empirical Predictions
180(1)
5.2 Empirical Evidence on Whether Firm Value Is Negatively Affected by Dividend Payments
181(1)
5.3 Empirical Evidence on Whether Corporate Payout Policy Changes in Response to Investor-Level Payout Tax Rates
182(2)
5.4 Evidence on Whether Ex-day Stock Returns and Payout Policy Are Affected by Investor Taxes
184(5)
6 Taxes and Compensation Policy
189(4)
6.1 Theory and Empirical Predictions
189(2)
6.2 Empirical Evidence
191(2)
7 Taxes, Corporate Risk Management, and Earnings Management
193(3)
7.1 Theory and Empirical Predictions
194(1)
7.2 Empirical Evidence
195(1)
8 Tax Shelters
196(1)
9 Summary and Suggestions for Future Research
197(3)
References
200(11)
4 Executive Compensation: Where We Are, and How We Got There
211(146)
Kevin J. Murphy
1 Introduction
212(5)
2 Where We Are: A Primer on Executive Compensation
217(31)
2.1 Measuring Executive Pay
217(16)
2.2 Measuring Executive Incentives
233(8)
2.3 (Dis)Incentives from Bonus Plans
241(5)
2.4 (Dis)Incentives from Capital Markets
246(2)
3 How We Got There: A Brief History of CEO Pay
248(65)
3.1 Introduction
248(1)
3.2 Executive Compensation Before the Great Depression
249(2)
3.3 Depression-Era Outrage and Disclosure Requirements (1930s)
251(2)
3.4 The Rise (and Fall) of Restricted Stock Options (1950-1969)
253(6)
3.5 Wage-and-Price Controls and Economic Stagnation (1970-1982)
259(8)
3.6 The Emerging Market for Corporate Control (1983-1992)
267(7)
3.7 The Stock Option Explosion (1992-2001)
274(14)
3.8 The Accounting and Backdating Scandals (2001-2007)
288(13)
3.9 Pay Restrictions for TARP Recipients (2008-2009)
301(7)
3.10 The Dodd-Frank Executive Compensation Reform Act (2010-2011)
308(5)
4 International Comparisons: Are US CEOs Still Paid More?
313(9)
4.1 The US Pay Premium: What We Thought We Knew
313(2)
4.2 New International Evidence
315(4)
4.3 Why Do US CEOs Receive More Options?
319(3)
5 Towards a General Theory of Executive Compensation
322(25)
5.1 Agency Problems: Solutions and Sources
323(6)
5.2 "Competing" Hypotheses to Explain the Increase in CEO Pay
329(17)
5.3 Explaining Executive Compensation: It's Complicated
346(1)
References
347(10)
5 Behavioral Corporate Finance: An Updated Survey
357(68)
Malcolm Baker
Jeffrey Wurgler
1 Introduction
358(3)
2 Market Timing and Catering
361(30)
2.1 Background on Investor Behavior and Market Inefficiency
361(5)
2.2 Theoretical Framework: Rational Managers in Irrational Markets
366(4)
2.3 Empirical Challenges
370(2)
2.4 Investment Policy
372(4)
2.5 Financial Policy
376(10)
2.6 Other Corporate Decisions
386(5)
3 Managerial Biases
391(14)
3.1 Background on Managerial Behavior
391(3)
3.2 Theoretical Framework
394(2)
3.3 Empirical Challenges
396(1)
3.4 Investment Policy
397(4)
3.5 Financial Policy
401(4)
4 Behavioral Signaling
405(6)
4.1 Theoretical Framework
406(3)
4.2 Applications
409(2)
5 Some Open Questions
411(2)
References
413(12)
6 Law and Finance After a Decade of Research
425(68)
Rafael La Porta
Florencio Lopez-de-Silanes
Andrei Shleifer
1 Introduction
426(2)
2 Background on Legal Origins
428(5)
3 Some Evidence
433(17)
3.1 Organizing the Evidence
433(1)
3.2 Investor Protection and Financial Markets
434(4)
3.3 Tunneling
438(1)
3.4 Consequences of Shareholder Protection
439(2)
3.5 Ownership
441(1)
3.6 Consequences of Creditor Protection
442(1)
3.7 Substitute Mechanisms
443(1)
3.8 Reforms
443(2)
3.9 Legal Rules Versus Law Enforcement
445(1)
3.10 Legal Origins Beyond Finance
446(4)
3.11 Summary
450(1)
4 Explaining the Facts
450(10)
4.1 Explanations Based on Revolutions
451(3)
4.2 Explanations Based on Medieval Developments
454(1)
4.3 Legal Origins Theory
455(4)
4.4 Interpretation of the Evidence
459(1)
5 Legal Origins and Culture
460(1)
6 Legal Origins and Politics
461(4)
7 Legal Origins and History
465(12)
7.1 Stock Markets and the Start of the 20th Century
470(3)
7.2 Britain at the Start of the 20th Century
473(3)
7.3 Explaining Divergence
476(1)
8 Conclusion
477(1)
Appendix
478(5)
References
483(10)
7 Endogeneity in Empirical Corporate Finance
493(80)
Michael R. Roberts
Toni M. Whited
1 Introduction
494(2)
2 The Causes and Consequences of Endogeneity
496(15)
2.1 Regression Framework
497(7)
2.2 Potential Outcomes and Treatment Effects
504(7)
2.3 Identifying and Discussing the Endogeneity Problem
511(1)
3 Instrumental Variables
511(9)
3.1 What are Valid Instruments?
511(2)
3.2 Estimation
513(1)
3.3 Where do Valid Instruments Come From? Some Examples
514(1)
3.4 So Called Tests of Instrument Validity
515(1)
3.5 The Problem of Weak Instruments
516(1)
3.6 Lagged Instruments
517(1)
3.7 Limitations of Instrumental Variables
518(2)
4 Difference-in-Differences Estimators
520(11)
4.1 Single Cross-Sectional Differences After Treatment
520(1)
4.2 Single Time-Series Difference Before and After Treatment
521(2)
4.3 Double Difference Estimator: Difference-in-Differences (DD)
523(6)
4.4 Checking Internal Validity
529(2)
4.5 Further Reading
531(1)
5 Regression Discontinuity Design
531(18)
5.1 Sharp RDD
533(3)
5.2 Fuzzy RDD
536(3)
5.3 Graphical Analysis
539(2)
5.4 Estimation
541(5)
5.5 Checking Internal Validity
546(3)
6 Matching Methods
549(8)
6.1 Treatment Effects and Identification Assumptions
549(2)
6.2 The Propensity Score
551(1)
6.3 Matching on Covariates and the Propensity Score
551(2)
6.4 Practical Considerations
553(4)
7 Panel Data Methods
557(3)
7.1 Fixed and Random Effects
557(3)
8 Econometric Solutions to Measurement Error
560(6)
8.1 Instrumental Variables
560(2)
8.2 High Order Moment Estimators
562(2)
8.3 Reverse Regression Bounds
564(2)
8.4 Avoiding Proxies and Using Proxies Wisely
566(1)
9 Conclusion
566(1)
References
567(6)
8 A Survey of Venture Capital Research
573(76)
Marco Da Rin
Thomas Hellmann
Manju Puri
1 Introduction
574(3)
2 Data Sources and Methodology for Empirical Research
577(6)
2.1 Main Commercial Databases
577(1)
2.2 Hand-Collected Survey Data
578(1)
2.3 Proprietary Industry Data
579(1)
2.4 Census Databases
579(1)
2.5 Other Databases
580(1)
2.6 Choice of Sample
580(2)
2.7 Empirical Estimation Challenges
582(1)
3 Venture Capital Investments in Entrepreneurial Companies
583(21)
3.1 Investment Choices
583(6)
3.2 Contracting
589(6)
3.3 Post-Investment
595(4)
3.4 Exits
599(5)
4 The Analysis of Venture Capital Firms
604(15)
4.1 The Organizational Structure of Venture Capital Firms
604(8)
4.2 Venture Capital Firms' Investment Strategies
612(2)
4.3 Relationships Among Venture Capital Firms
614(3)
4.4 The Relationship Between General and Limited Partners
617(2)
5 Returns to Venture Capital Investments
619(12)
5.1 Data and Methodological Challenges
620(3)
5.2 Return Estimates
623(8)
6 Venture Capital and the Economy
631(6)
6.1 The Contribution of Venture-Backed Companies to Innovation
631(2)
6.2 The Role of Venture Capital for Entry, Employment And Growth
633(1)
6.3 Public Policy For Venture Capital
634(3)
7 Conclusion
637(1)
References
637(12)
9 Entrepreneurship and the Family Firm
649(34)
Vikas Mehrotra
Randall Morck
1 Creative Destruction and the Family Firm
649(7)
2 The Succession Decision
656(8)
3 Economic Development and the Family Firm
664(3)
4 The Importance of Oligarchs
667(4)
5 Schumpeter and Chandler, Reconciled?
671(4)
References
675(8)
10 Financing in Developing Countries
683(76)
Meghana Ayyagari
Asli Demirguc-Kunt
Vojislav Maksimovic
1 Introduction
683(3)
2 Stylized Facts About Firms in Developing Countries
686(6)
3 Firms in Developing Countries---Theories and Empirical Research Issues
692(12)
3.1 Models of Firms in Developing Countries
692(5)
3.2 Empirical Research Issues
697(7)
4 Institutions and Access to Finance in Developing Countries
704(12)
4.1 Finance and Growth
704(3)
4.2 Legal Traditions and Property Rights
707(5)
4.3 Information Quality and Availability
712(2)
4.4 Government Intervention, Corruption, and Political Ties
714(2)
5 Firm Financing in Developing Countries
716(19)
5.1 Financing Constraints
716(2)
5.2 Firm Financing Patterns (Capital Structure Choice)
718(3)
5.3 Cash Holdings and Liquidity Management
721(1)
5.4 Issuance Activities
722(5)
5.5 Small Firm Financing
727(8)
6 Bank-based Versus Market-based Systems
735(5)
6.1 Prevalence of Bank-based and Market-based Systems Across the World
735(1)
6.2 Banks Versus Market-based Systems---Theory and Empirical Evidence
736(4)
7 Formal and Informal Systems
740(3)
8 Conclusion
743(1)
References
744(15)
11 Financial Intermediation, Markets, and Alternative Financial Sectors
759(40)
Franklin Allen
Elena Carletti
Jun "QJ" Qian
Patricio Valenzuela
1 Introduction
759(4)
2 State of the Financial System and Firms' Financing Channels
763(15)
2.1 The Banking and Intermediation Sector
765(3)
2.2 Financial Markets: Stock Markets and Bond Markets
768(2)
2.3 International Sectors
770(5)
2.4 Alternative Sectors
775(3)
3 Firms' Financing Channels: The Role of Alternative Finance
778(11)
3.1 Overview of Alternative Financing Channels
778(4)
3.2 Different Types of Alternative Financing Channels
782(6)
3.3 Data Issues
788(1)
4 Comparing Traditional and Alternative Financial Sectors
789(6)
4.1 Comparing Different Forms of Financing
792(1)
4.2 Conditions Conducive to Developing Legal and Alternative Institutions
793(1)
4.3 Future Research on Alternative Finance
794(1)
5 Concluding Remarks
795(1)
References
796
Index to Volume 2A
1(798)
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(9)
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(5)
4 Euler Equation Errors and Consumption-Based Models
815(4)
5 Scaled Consumption-Based Models
819(19)
5.1 Econometric Findings
823(1)
5.2 Distinguishing Two Types of Conditioning
824(5)
5.3 Debate
829(9)
6 Asset Pricing with Recursive Preferences
838(34)
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(5)
7 Stochastic Consumption Volatility
872(9)
8 Asset Pricing with Habits
881(9)
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(1)
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(6)
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(6)
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(12)
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(23)
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(9)
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(4)
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(4)
2.1 Market Efficiency and Fund Performance
972(2)
2.2 The Treatment of Costs
974(1)
3 Performance Measures
975(14)
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 Tirning
984(1)
3.7 Holdings-Based Performance Measures
984(5)
4 Implementation Issues and Empirical Examples
989(11)
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(1)
5 Fund Managers' Incentives and Investor Behavior
1000(4)
5.1 Flows to Mutual Funds
1002(2)
6 Conclusions
1004(1)
Acknowledgments
1004(1)
References
1004(7)
15 Mutual Funds
1011(52)
Edwin J. Elton
Martin J. Gruber
1 Introduction
1012(5)
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(31)
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(1)
3 Closed-End Funds
1048(4)
3.1 Explaining the Discount
1049(2)
3.2 Why Closed-End Funds Exist
1051(1)
4 Exchange-Traded Funds (ETFs)
1052(5)
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(1)
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(16)
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(18)
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(21)
4.1 Portfolio Construction and Performance Trend
1103(12)
4.2 Risk Management find a Tale of Two Risks
1115(2)
4.3 Alpha-Beta Separation, Replication Products, and Fees
1117(4)
4.4 Concluding Remarks
1121(3)
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(5)
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(34)
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(11)
3 Conditional Asset-Level Risk Analysis
1167(36)
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(4)
4 Conditioning on Macroeconomic Fundamentals
1203(8)
4.1 The Macroeconomy 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(2)
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(16)
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(2)
4 Crises
1245(26)
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(9)
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(3)
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(38)
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(5)
3 Empirical Evidence
1333(18)
3.1 Empirical Measures of Illiquidity
1334(7)
3.2 Properties of Illiquidity Measures
1341(5)
3.3 Illiquidity and Asset Returns
1346(5)
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(5)
2.1 The Risk-Free Rate
1368(1)
3 Physical Default Probability Estimates
1369(7)
3.1 Empirical Research on Default Probability Estimates
1370(3)
3.2 Empirical Research on Credit Spreads
1373(3)
4 Credit Default Swaps
1376(4)
4.1 Credit Indices
1378(1)
4.2 Fixed Coupons
1379(1)
5 Collateralized Debt Obligations
1380(12)
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(2)
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(4)
1.1 Why a New Field?
1399(2)
1.2 Why Now?
1401(1)
2 Facts About Household Assets and Liabilities
1402(22)
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(3)
3 Household Risk Preferences and Beliefs: What Do We Know?
1424(28)
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(2)
4 Household Portfolio Decisions: From Normative Models to Observed Behavior
1452(44)
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(16)
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(2)
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(12)
1.1 The Average Individual
1535(9)
1.2 Cross-Sectional Variation in Performance
1544(3)
2 Why do Individual Investors Underperform?
1547(4)
2.1 Asymmetric Information
1547(1)
2.2 Overconfidence
1547(2)
2.3 Sensation Seeking
1549(1)
2.4 Familiarity
1550(1)
3 The Disposition Effect: Selling Winners and Holding Losers
1551(8)
3.1 The Evidence
1551(6)
3.2 Why Do Investors Prefer to Sell Winners?
1557(2)
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(10)
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(11)
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(9)
4 Market Restrictions
1594(13)
4.1 Incomplete Contracting
1596(6)
4.2 Solvency Constraints
1602(4)
4.3 Segmented Market and Nominal Shocks
1606(1)
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/97804445946552e.html
Raktažodžiai: