Risk Aversion And The Intertemporal Behaviour Of Asset Prices PDF Download
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Author | : Richard C. Stapleton |
Publisher | : |
Total Pages | : |
Release | : 1988 |
Genre | : |
ISBN | : |
Download Risk Aversion and the Intertemporal Behavior of Asset Prices Book in PDF, ePub and Kindle
Author | : Richard C. Stapleton |
Publisher | : |
Total Pages | : 39 |
Release | : 1988 |
Genre | : Speculation |
ISBN | : |
Download Risk Aversion and the Intertemporal Behaviour of Asset Prices Book in PDF, ePub and Kindle
Author | : Alberto Giovannini |
Publisher | : |
Total Pages | : 32 |
Release | : 1989 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model Book in PDF, ePub and Kindle
When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1
Author | : Hersh Shefrin |
Publisher | : Elsevier |
Total Pages | : 513 |
Release | : 2005-02-03 |
Genre | : Business & Economics |
ISBN | : 0080476031 |
Download A Behavioral Approach to Asset Pricing Book in PDF, ePub and Kindle
A Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It constructs a solid, intact structure that challenges classic assumptions and at the same time provides a strong theory and efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author provides a general behaviorally based intertemporal treatment of asset pricing theory that extends to the discussion of derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book develops a series of examples to illustrate the theoretical results. The CD-ROM contains most of the examples, worked out as Excel spreadsheets, so that a diligent reader can follow them through. Instructors might also want to use the examples to assign class exercises, asking students to modify the numbers and see what happens. * The first book to focus completely on how behavioral finance principles affect asset pricing * Hersh Shefrin is a recognized expert in behavioral finance * Behavioral finance is a growth area in finance scholarship and moving more and more into practice
Author | : Skander Joannes Van den Heuvel |
Publisher | : |
Total Pages | : 36 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Temporal Risk Aversion and Asset Prices Book in PDF, ePub and Kindle
Author | : Philippe Weil |
Publisher | : |
Total Pages | : 34 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model Book in PDF, ePub and Kindle
When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 1989 |
Genre | : |
ISBN | : |
Download Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model Book in PDF, ePub and Kindle
Author | : John H. Cochrane |
Publisher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1933019158 |
Download Financial Markets and the Real Economy Book in PDF, ePub and Kindle
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author | : Dimitrios Koutmos |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Asset Pricing and the Intertemporal Risk-return Tradeoff Book in PDF, ePub and Kindle
The intertemporal risk-return tradeoff is the cornerstone of modern empirical finance and has been the focus of much debate over the years. The reason for this is because extant literature cannot agree as to the very nature of this important relation. This is troublesome in terms of academic theory given that it challenges the notion that investors are risk-averse agents and is furthermore troublesome in practice given that market participants expect to be rewarded with higher expected returns in order to take on higher risks. The motivation for this thesis stems from the conflicting and inconclusive empirical evidence regarding the risk-return tradeoff. Through each of the chapters, it sheds new light on possible reasons as to why extant studies offer conflicting evidence and, given the enhancements and innovative approaches proposed here, it provides empirical evidence in support of a positive intertemporal risk-return tradeoff when examining several international stock markets. The research questions this thesis addresses are as follow. Firstly, is it possible that extant conflicting evidence is manifested in the use of historical realized returns to proxy for investors' forward-looking expected returns? Secondly, can accounting for shifts in investment opportunities (i.e. intertemporal risk) better explain investors' risk aversion and changes in the dynamic risk premium? Thirdly, is it possible that conflicting findings are the result of neglecting to account for the possibility that there exist heterogeneous investors in the stock market with divergent expectations? The empirical findings can be summarized as follows; firstly, there is a strong possibility that many existing studies cannot find a positive risk-return relation because they are relying on ex post historical realized returns as a proxy for investors' forward-looking expected returns. Secondly, there is evidence in favor of the Merton (1973) notion that there exists intertemporal risk which impacts investors and that this type of risk should be considered. This has been also another reason why extant literature cannot agree on the nature of the intertemporal risk-return tradeoff. Finally, even after accounting for investor heterogeneity, the findings provide support for the Merton (1973) theoretical Intertemporal Capital Asset Pricing Model. Namely, in contrast to existing studies on the matter, there is evidence of fundamental traders over longer horizons and no evidence of feedback traders at such horizons. Although this sheds new light on some of the driving forces behind stock prices, the nature of investors' degree of risk aversion seems to be best supported by the Merton (1973) theoretical Intertemporal Capital Asset Pricing Model.
Author | : G. Constantinides |
Publisher | : Elsevier |
Total Pages | : 698 |
Release | : 2003-11-04 |
Genre | : Business & Economics |
ISBN | : 9780444513632 |
Download Handbook of the Economics of Finance Book in PDF, ePub and Kindle
Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.