International Asset Pricing PDF Download
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Author | : Samuel P. Fraiberger |
Publisher | : International Monetary Fund |
Total Pages | : 33 |
Release | : 2018-12-10 |
Genre | : Business & Economics |
ISBN | : 1484389212 |
Download Media Sentiment and International Asset Prices Book in PDF, ePub and Kindle
We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.
Author | : William Curt Hunter |
Publisher | : MIT Press |
Total Pages | : 650 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 9780262582537 |
Download Asset Price Bubbles Book in PDF, ePub and Kindle
A study of asset price bubbles and the implications for preventing financial instability.
Author | : Massimo Massa |
Publisher | : |
Total Pages | : 49 |
Release | : 2021 |
Genre | : Assets (Accounting) |
ISBN | : |
Download International Asset Pricing with Strategic Business Groups Book in PDF, ePub and Kindle
Firms in global markets often belong to business groups. We argue that this feature can have a profound influence on international asset pricing. In bad times, business groups may strategically reallocate risk across affiliated firms to protect core "central firms." The ensuing hedging demand induces co-movement among central firms, creating a new intertemporal risk factor. Based on a novel dataset of worldwide ownership for 2002-2012, we find that central firms are better protected in bad times and that they earn relatively lower-expected returns. Moreover, a centrality factor augments traditional models in explaining the cross-section of international stock returns.
Author | : Sundaram Janakiramanan |
Publisher | : |
Total Pages | : 356 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Essays on International Asset Pricing in Partially Segmented Markets Book in PDF, ePub and Kindle
Author | : Magnus Dahlquist |
Publisher | : |
Total Pages | : 38 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download An Evaluation of International Asset Pricing Models Book in PDF, ePub and Kindle
This paper assesses the ability of international asset pricing models to explain the cross-sectional variation in expected returns. All the models considered seem to capture national market returns fairly well. However, global portfolios, sorted on earnings-price ratio and market value, pose a special challenge. We find that an unconditional international CAPM cannot explain the cross-sectional variation in these portfolio returns. Interestingly, a conditional international asset pricing model that includes foreign exchange risk factors is able to explain a large part of the variation in average returns. Our empirical work suggests that this model has the same explanatory ability as an international three-factor model, where zero-cost portfolios based on earnings-price ratios and market values are used in addition to the world market portfolio. Importantly, the loadings associated with the zero-cost portfolios are driven out by the characteristics themselves, indicating a misspecification.
Author | : Mr.José M. Barrionuevo |
Publisher | : International Monetary Fund |
Total Pages | : 46 |
Release | : 1993-02-01 |
Genre | : Business & Economics |
ISBN | : 1451843186 |
Download Asset Pricing in the International Economy Book in PDF, ePub and Kindle
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.
Author | : Charles M.C. Lee |
Publisher | : |
Total Pages | : 48 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download International Asset Pricing Book in PDF, ePub and Kindle
This study presents a new methodology for estimating international cost of capital. Using a discounted cash flow model, we estimate market implied risk premia for firms in the G-7 countries during the 1990 to 2000 time period. We find that the average risk premia in G-7 countries typically fall within a narrow range of 2% to 4%, and that risk premia are consistently higher for some countries and industries. Variables most useful in explaining cross-sectional variation in implied risk premia are return volatility, size, B/M ratio, analyst growth forecast, and lagged industry-country risk premia. Together, these variables explain 20% to 30% of the cross-sectional variation in international risk premia. Interestingly, beta measures from various international asset pricing models have little explanatory power, while betas corresponding to empirical size and book-to-market factors do much better.
Author | : John H. Cochrane |
Publisher | : Princeton University Press |
Total Pages | : 560 |
Release | : 2009-04-11 |
Genre | : Business & Economics |
ISBN | : 1400829135 |
Download Asset Pricing Book in PDF, ePub and Kindle
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.
Author | : Wayne Ferson |
Publisher | : MIT Press |
Total Pages | : 497 |
Release | : 2019-03-12 |
Genre | : Business & Economics |
ISBN | : 0262039370 |
Download Empirical Asset Pricing Book in PDF, ePub and Kindle
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.
Author | : Adam S. Iqbal |
Publisher | : Springer Nature |
Total Pages | : 246 |
Release | : 2022-02-22 |
Genre | : Business & Economics |
ISBN | : 3030935558 |
Download Foreign Exchange Book in PDF, ePub and Kindle
One of the great challenges that many participants in foreign exchange (FX) markets face is sifting through the often overwhelming amount of information that is available. Media outlets stream updates on international politics, economics, and other factors that move FX prices twenty-four hours a day. It is difficult to work out what is and what is not important. This book helps its reader overcome these challenges by combining the insights gained from a market practitioner who has traded FX at Goldman Sachs, PIMCO, and Barclays Investment Bank, with textbook-level modern financial macroeconomic theory. The book covers macroeconomics relating to exchange rate determination. While you could obtain this information from a disparate set of sources―textbooks, academic literature, industry research notes, conversations with other market practitioners, and theories cited in media reports―this book brings all of these sources together to translate the information into concrete FX views that are firmly rooted in the macroeconomic theory of risk premiums, interest rates, and inflation, among other topics. The book promotes time consistent thought that avoids the daily temptation to jump from that day’s economic narrative to the next. Of particular interest to buy- and sell-side industry practitioners, finance and economics graduate students, academics, and others interested in FX markets, this book teaches its readers how to do this and improve their own trading and understanding of the FX markets.