Essays on Empirical Asset Pricing
Author: Steffen Windmüller
Publisher:
Published: 2021
Total Pages:
ISBN-13: 9783754155042
DOWNLOAD EBOOKRead and Download eBook Full
Author: Steffen Windmüller
Publisher:
Published: 2021
Total Pages:
ISBN-13: 9783754155042
DOWNLOAD EBOOKAuthor: Christian Funke
Publisher: Springer Science & Business Media
Published: 2008-09-15
Total Pages: 123
ISBN-13: 3834998141
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: Liang Zhang
Publisher:
Published: 2008
Total Pages: 206
ISBN-13:
DOWNLOAD EBOOKAuthor: Ziye Nie
Publisher:
Published: 2019
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Junyan Shen
Publisher:
Published: 2016
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Lorne Dwight Johnson
Publisher:
Published: 2000
Total Pages: 198
ISBN-13:
DOWNLOAD EBOOKAuthor: Krista Schwarz
Publisher:
Published: 2010
Total Pages: 342
ISBN-13:
DOWNLOAD EBOOKAuthor: Alexander Wilhelm Boquist
Publisher:
Published: 2011
Total Pages: 77
ISBN-13:
DOWNLOAD EBOOKAuthor: Sungjun Cho
Publisher:
Published: 2007
Total Pages: 158
ISBN-13: 9780549054023
DOWNLOAD EBOOKThis dissertation consists of two chapters, all of which attempt to shed some light on what constitutes the time-varying risk premia in financial markets. The first chapter demonstrates that monetary policy shocks identified from New-Keynesian dynamic stochastic general equilibrium (DSGE) models explain the risk premia in stock markets. Indeed, the implied ICAPMs explain the value and the industry premia for the periods of 1980 to 2004. In particular, the permanent monetary policy shocks to inflation target capture the value premium and part of industry risk premium once I account for the capital market imperfection endogenously in New-Keynesian models. The shocks to investment technology, as a main determinant of the external finance premium, are also important for understanding the value premium.
Author: Kodjo Mawuelona Apedjinou
Publisher:
Published: 2005
Total Pages: 123
ISBN-13:
DOWNLOAD EBOOK