Risk Aversion and the Structure of Asset Prices
Author | : Robert Rudolph Grauer |
Publisher | : |
Total Pages | : 448 |
Release | : 1975 |
Genre | : |
ISBN | : |
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Author | : Robert Rudolph Grauer |
Publisher | : |
Total Pages | : 448 |
Release | : 1975 |
Genre | : |
ISBN | : |
Author | : Bing Cheng |
Publisher | : World Scientific |
Total Pages | : 91 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 9812704558 |
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 | : Epstein, Larry G |
Publisher | : |
Total Pages | : 23 |
Release | : 1987 |
Genre | : Equilibrium (Economics) |
ISBN | : |
Author | : Willi Semmler |
Publisher | : Springer Science & Business Media |
Total Pages | : 249 |
Release | : 2007-03-21 |
Genre | : Business & Economics |
ISBN | : 3540246967 |
"Asset Prices, Booms and Recessions" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market. Economic activity is described by the activity of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is on theories, dynamic models and empirical evidence. Empirical applications relate to episodes of financial instability and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The current version of the book has moved to a more extensive coverage of the topics in financial economics by updating the literature in the appropriate chapters. Moreover it gives a more extensive treatment of new and more advanced topics in financial economics such as international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and dynamic portfolio decisions. Overall, the book presents material that researchers and practitioners in financial engineering need to know about economic dynamics and that economists, practitioners and policy makers need to know about the financial market.
Author | : Ganlin Chang |
Publisher | : |
Total Pages | : 60 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
Author | : John H. Cochrane |
Publisher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1933019158 |
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author | : Richard C. Stapleton |
Publisher | : |
Total Pages | : |
Release | : 1988 |
Genre | : |
ISBN | : |
Author | : Skander Joannes Van den Heuvel |
Publisher | : |
Total Pages | : 36 |
Release | : 2008 |
Genre | : |
ISBN | : |
Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 76 |
Release | : 2006 |
Genre | : Assets (Accounting) |
ISBN | : |
We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns.
Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 56 |
Release | : 2008 |
Genre | : |
ISBN | : |
We identify the relative importance of changes in the conditional variance of fundamentals (which we call uncertainty) and changes in risk aversion in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in price-dividend ratios and the equity risk premium is primarily driven by risk aversion, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns.