International Asset Pricing With Strategic Business Groups PDF Download
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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 | : Sumru Altug |
Publisher | : Cambridge University Press |
Total Pages | : 686 |
Release | : 2008-09-11 |
Genre | : Business & Economics |
ISBN | : 1139474367 |
Download Asset Pricing for Dynamic Economies Book in PDF, ePub and Kindle
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
Author | : Columbia University. Graduate School of Business |
Publisher | : |
Total Pages | : |
Release | : 1974 |
Genre | : |
ISBN | : |
Download International Asset Pricing, Default Risk and the Forward Exchange Market Book in PDF, ePub and Kindle
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 | : 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 | : James W. Kolari |
Publisher | : Springer Nature |
Total Pages | : 247 |
Release | : 2023-01-01 |
Genre | : Business & Economics |
ISBN | : 3031167848 |
Download Investment Valuation and Asset Pricing Book in PDF, ePub and Kindle
This textbook is intended to fill a gap in undergraduate finance curriculums by providing an asset pricing text that is accessible for undergraduate finance students. It offers an overview of original works on foundational asset pricing studies that follows their historical publication chronologically throughout the text. Each chapter stays close to the original works of these major authors, including quotations, examples, graphical exhibits, and empirical results. Additionally, it includes statistical concepts and methods as applied to finance. These statistical materials are crucial to learning asset pricing, which often applies statistical tests to evaluate different asset pricing models. It offers practical examples, questions, and problems to help students check their learning and better understand the fundamentals of asset pricing., alongside including PowerPoint slides and an instructor’s manual for professors.
Author | : Heinz Zimmermann |
Publisher | : John Wiley & Sons |
Total Pages | : 340 |
Release | : 2003-02-03 |
Genre | : Business & Economics |
ISBN | : 047144555X |
Download Global Asset Allocation Book in PDF, ePub and Kindle
Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Author | : Bing Cheng |
Publisher | : World Scientific |
Total Pages | : 91 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 9812832505 |
Download Asset Pricing Book in PDF, ePub and Kindle
Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.
Author | : Pheng Lui Chng |
Publisher | : |
Total Pages | : 288 |
Release | : 1998 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Two Essays on International Asset Pricing Book in PDF, ePub and Kindle
Author | : Robert A. Korajczyk |
Publisher | : |
Total Pages | : 424 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : |
Download Asset Pricing and Portfolio Performance Book in PDF, ePub and Kindle
A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.