Format:
Online-Ressource
ISBN:
9780444513632
Series Statement:
Handbooks in economics 21
Content:
Volume 1B covers the economics of financial markets: the saving and investment decisions, the valuation of equities, derivatives, and fixed income securities, and market microstructure.
Content:
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure
Note:
Includes bibliographical references and index. - Print version record
,
Cover; Handbook of the Economics of Finance; Copyright Page; TOCContents of Volume 1B; Introduction to the Series; Contents of the Handbook; Preface; CHChapter 10. Arbitrage, State Prices and Portfolio Theory; Abstract; Keywords; 1. Introduction; 2. Portfolio problems; 3. Absence of arbitrage and preference-free results; 4. Various analyses: Arrow-Debreu world; 5. Capital asset pricing model (CAPM); 6. Mutual fund separation theory; 7. Arbitrage pricing theory (APT); 8. Conclusion; References; CHChapter 11. Intertemporal Asset Pricing Theory; Abstract; Keywords; 1. Introduction
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2. Basic theory3. Continuous-time modeling; 4. Term-structure models; 5. Derivative pricing; 6. Corporate securities; References; CHChapter 12. Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance; Abstract; Keywords; 1. Introduction; 2. Multifactor asset-pricing models: Review and integration; 3. Modern variance bounds; 4. Methodology and tests of multifactor asset-pricing models; 5. Conditional performance evaluation; 6. Conclusions; References; CHChapter 13. Consumption-Based Asset Pricing; Abstract; Keywords; 1. Introduction; 2. International stock market data
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3. The equity premium puzzle4. The dynamics of asset returns and consumption; 5. Cyclical variation in the price of risk; 6. Some implications for macroeconomics; References; CHChapter 14. The Equity Premium in Retrospect; Abstract; Keywords; 1. Introduction; 2. The equity premium: history; 3. Is the equity premium due to a premium for bearing non-diversifiable risk?; 4. Is the equity premium due to borrowing constraints, a liquidity premium or taxes?; 5. An equity premium in the future?; Appendix A; Appendix B. The original analysis of the equity premium puzzle; References
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CHChapter 15. Anomalies and Market EfficiencyAbstract; Keywords; 1. Introduction; 2. Selected empirical regularities; 3. Returns to different types of investors; 4. Long-run returns; 5. Implications for asset pricing; 6. Implications for corporate finance; 7. Conclusions; References; CHChapter 16. Are Financial Assets Priced Locally or Globally?; Abstract; Keywords; 1. Introduction; 2. The perfect financial markets model; 3. Home bias; 4. Flows, spillovers, and contagion; 5. Conclusion; References; CHChapter 17. Microstructure and Asset Pricing; Abstract; Keywords; 1. Introduction
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2. Equilibrium asset pricing3. Asset pricing in the short-run; 4. Asset pricing in the long-run; 5. Linking microstructure and asset pricing: puzzles for researchers; References; CHChapter 18. A Survey of Behavioral Finance; Abstract; Keywords; 1. Introduction; 2. Limits to arbitrage; 3. Psychology; 4. Application: The aggregate stock market; 5. Application: The cross-section of average returns; 6. Application: Closed-end funds and comovement; 7. Application: Investor behavior; 8. Application: Corporate finance; 9. Conclusion; Appendix A; References
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Finance, Optimization, and the Irreducibly Irrational Component of Human Behavior
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Arbitrage, State Prices and Portfolio Theory (P.H. Dybvig, S. Ross). Intertemporal Asset Pricing Theory (D. Duffie). Tests of Multi-Factor Pricing Models, Volatility, and Portfolio Performance (W.E. Ferson). Consumption-Based Asset Pricing (J.Y. Campbell). The Equity Premium in Retrospect (R. Mehra, E.C. Prescott). Anomalies and Market Efficiency (G.W. Schwert). Are financial assets priced locally or globally? (G.A. Karolyi, R. Stulz). Microstructure and Asset Pricing (D. Easley, M. O'Hara). A Survey of Behavioral Finance (N.C. Barberis, R.H. Thaler). Finance, Optimization, and the Irreducibly Irrational Component of Human Behavior (R.J. Shiller). Derivatives (R.E Whaley). Fixed Income Pricing (Q. Dai, K.Singleton).
In:
1,B
Additional Edition:
ISBN 0444513639
Additional Edition:
ISBN 044450298X
Additional Edition:
ISBN 9780444513632
Additional Edition:
ISBN 9780444502988
Additional Edition:
Druckausg. Handbook of the economics of finance ; 1,B: Financial markets and asset pricing Amsterdam : North-Holland, 2003 ISBN 0444513639
Language:
English
Subjects:
Economics
Keywords:
Mikrostrukturtheorie
;
Corporate Finance
;
Electronic books
;
Electronic books
URL:
Volltext
(Deutschlandweit zugänglich)
URL:
Volltext
(Deutschlandweit zugänglich)
Author information:
Kōnstantinidēs, Giōrgos 1947-
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