Essays in Asset Pricing with Market Imperfections
Author: Andrea Buffa
Publisher:
Published: 2012
Total Pages:
ISBN-13:
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Author: Andrea Buffa
Publisher:
Published: 2012
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DOWNLOAD EBOOKAuthor: Weiyang Qiu (Ph. D.)
Publisher:
Published: 2010
Total Pages: 176
ISBN-13:
DOWNLOAD EBOOK(cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare.
Author: Alan Douglas White
Publisher:
Published: 1987
Total Pages: 272
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DOWNLOAD EBOOKAuthor: Jun Xu
Publisher:
Published: 2011
Total Pages: 90
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DOWNLOAD EBOOKEssay One: A New Estimate of BetaThis essay examines a new method of estimating systematic risk, or "beta". Due to market imperfection, stock prices, especially those of small firms, do not move with the market index synchronously. Because of nonsynchronous or delayed reaction in price for small firms, the traditional beta estimated from the market model may not be a true reflection of systematic risk. In other words, since stock prices do not fully respond to the market in a single period, the contemporary beta may only reflect the partial systematic risk. As a result, the beta estimated from the market model is underestimated for small firms and overestimated for large firms. The same problem also causes betas estimated from the market model to vary greatly across different estimation horizons. I develop a model of delay/lead price reactions for small/large firms. Based on this model I derive a multiple-period regression equation for the new estimation of beta.^We then estimate the equation for each of the ten size-ranked decile portfolios at different estimation horizons, using monthly, weekly and daily returns. Betas estimated from the optimal estimation horizons for monthly, weekly, and daily returns are discussed. Our results show that, betas estimated at similar horizons, using monthly, weekly, and daily returns, are consistent with each other. Betas estimated for the ten size-decile portfolios from monthly, weekly, and daily average returns are positively related to those returns, respectively. Essay Two: Test of Capital Asset Pricing Model Based on a New Estimate of BetaThis essay tests the Capital Asset Pricing Model (CAPM), based on a new estimate of beta. The test methodology follows the classic Fama-MacBeth (1973) approach, using updated data from 1926-2010.^I ran each test on eleven different periods based on three different estimates of beta: the Ordinary Least Square (OLS) beta, the Scholes-Williams (1977) beta, and a new estimate of beta. From three long testing periods, 1935-1968, 1969-2010, and 1935-2010, all three hypotheses are confirmed based on the new estimate of beta. In other words there is a positive trade-off between average return and risk, and non-linearity and non-beta risk do not play a significant role in explaining the cross section of expected return. Test results from the three long periods based on the OLS beta and the Scholes-Williams beta are mixed and less supportive to CAPM. Our test results from the eight shorter periods do not confirm the CAPM. However, this may be due to the lack of power and efficiency of the test methodology when applied to short periods.^Overall, our results from long periods show that tests based on the new estimate of beta perform better than those based on the OLS beta and the Scholes-Williams beta in terms of supporting CAPM.
Author: Yoon Kang Lee
Publisher:
Published: 2018
Total Pages: 157
ISBN-13:
DOWNLOAD EBOOKThis dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.
Author: James Eric Gunderson
Publisher:
Published: 2004
Total Pages: 336
ISBN-13:
DOWNLOAD EBOOKAuthor: Christian Funke
Publisher: Springer DE
Published: 2008-06-26
Total Pages: 132
ISBN-13: 9783834911421
DOWNLOAD EBOOKChristian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author: Xiaofei Zhao
Publisher:
Published: 2013
Total Pages:
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Published: 1998
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DOWNLOAD EBOOKAuthor: Kazuhiro Hiraki
Publisher:
Published: 2019
Total Pages:
ISBN-13:
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