Predictability of Equity Returns and Conditional Asset Pricing
Author:
Publisher:
Published: 2004
Total Pages:
ISBN-13:
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Stock Return Predictability and Conditional Asset Pricing Models
Author: Ane Miren Tamayo
Publisher:
Published: 2002
Total Pages: 368
ISBN-13:
DOWNLOAD EBOOKEmpirical Asset Pricing
Author: Wayne Ferson
Publisher: MIT Press
Published: 2019-03-12
Total Pages: 497
ISBN-13: 0262039370
DOWNLOAD EBOOKAn 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.
Essays on Conditional Asset Pricing Models and Predictability of Finnish Stock Returns
Author: Mika Vaihekoski
Publisher:
Published: 1997
Total Pages: 129
ISBN-13: 9789515555250
DOWNLOAD EBOOKAsset Pricing
Author: Jianping Mei
Publisher: World Scientific
Published: 2003
Total Pages: 265
ISBN-13: 9810245637
DOWNLOAD EBOOKReal estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students.
Evaluating Conditional Asset Pricing Models for the German Stock Market
Author: Andreas Schrimpf
Publisher:
Published: 2008
Total Pages: 45
ISBN-13:
DOWNLOAD EBOOKWe study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the stochastic discount factor. A conditional CAPM with the term spread as a conditioning variable is able to explain the cross-section of German stock returns about as well as the Fama-French model. Structural break tests do not indicate parameter instability of the model - whereas the reverse is found for the Fama-French model. Unconditional model specifications however do a better job than conditional ones at capturing time-series predictability of the test portfolio returns.
Global Stock Markets
Author: Wolfgang Drobetz
Publisher: Springer Science & Business Media
Published: 2013-06-29
Total Pages: 346
ISBN-13: 3663085295
DOWNLOAD EBOOKWolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Predicting Stock Returns
Author: David G McMillan
Publisher: Springer
Published: 2017-11-30
Total Pages: 141
ISBN-13: 3319690086
DOWNLOAD EBOOKThis book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.
Stock Return Predictability and Asset Pricing Models
Author: Doron Avramov
Publisher:
Published: 2003
Total Pages: 62
ISBN-13:
DOWNLOAD EBOOKThis paper develops an asset allocation framework that incorporates prior beliefs about the extent of stock return predictability explained by asset pricing models. We find that when prior beliefs allow even minor deviations from pricing model implications, the resulting asset allocations depart considerably from and substantially outperform allocations dictated by either the underlying models or the sample evidence on return predictability. Under a wide range of beliefs about model pricing abilities, asset allocations based on conditional models outperform their unconditional counterparts that exclude return predictability.
Asset Price Dynamics, Volatility, and Prediction
Author: Stephen J. Taylor
Publisher: Princeton University Press
Published: 2011-02-11
Total Pages: 544
ISBN-13: 1400839254
DOWNLOAD EBOOKThis book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
