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  • 1
    Online Resource
    Online Resource
    Handbook of the economics of finance; Vol. 2,B: Financial markets and asset pricing (2013)
    Amsterdam : North-Holland, Elsevier
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    Details
    UID:
    gbv_1470861836
    Format: Online-Ressource
    ISBN: 9780444594068
    Series Statement: Handbooks in economics [21]
    Content: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. Offers analyses by top scholars of recent asset pricing scholarshipExplains how the 2008 financial crises affected theoretical and empirical researchCovers core and newly-developing fields
    Note: Includes bibliographical references and index. - Print version record
    In: 2,B
    Additional Edition: ISBN 129915705X
    Additional Edition: ISBN 9781299157057
    Additional Edition: Druckausg. Handbook of the economics of finance ; Vol. 2,B: Financial markets and asset pricing Amsterdam : North-Holland, Elsevier, 2013 ISBN 9780444594068
    Language: English
    Subjects: Economics
    RVK:
    QL 000
    Keywords: Mikrostrukturtheorie ; Corporate Finance ; Electronic books ; Electronic books
    URL: Volltext  (Deutschlandweit zugänglich)
    URL: Volltext
    URL: Inhaltstext
    Author information: Kōnstantinidēs, Giōrgos 1947-
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    Stabi Berlin
    UB Potsdam
  • 2
    Online Resource
    Online Resource
    Handbook of the economics of finance : 2B: Financial markets and asset pricing (2013)
    Amsterdam : North Holland
    Details
    UID:
    kobvindex_INTNLM01035719X
    Format: online resource (S. 799-1612 ) , Ill
    Edition: Online edition Elsevier Handbooks in Economics Series on ScienceDirect
    ISBN: 044459406X , 9780444594068
    Series Statement: Handbooks in Finance [21]
    Content: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. Offers analyses by top scholars of recent asset pricing scholarshipExplains how the 2008 financial crises affected theoretical and empirical researchCovers core and newly-developing fields
    Content: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. Offers analyses by top scholars of recent asset pricing scholarshipExplains how the 2008 financial crises affected theoretical and empirical researchCovers core and newly-developing fields
    Note: Includes bibliographical references and index
    Additional Edition: ISBN 129915705X
    Additional Edition: ISBN 9781299157057
    Language: English
    URL: FULL  ((Currently Only Available on Campus))
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    Berlin International
  • 3
    Online Resource
    Online Resource
    Handbook of the economics of finance.; Volume 2B,: Financial markets and asset pricing / (2013)
    Amsterdam :North-Holland is an imprint of Elsevier,
    Details
    UID:
    almahu_9947367748302882
    Format: 1 online resource (873 p.)
    Edition: 1st ed.
    ISBN: 0-444-59473-6 , 1-299-15705-X
    Series Statement: Handbooks in Finance
    Content: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.Offe
    Note: Description based upon print version of record. , Financial Markets and Asset Pricing; Title Page; Copyright; CONTENTS; INTRODUCTION TO THE SERIES; PREFACE; 12 Advances in Consumption-Based Asset Pricing: Empirical Tests*; 1.Introduction; 2. Consumption-Based Models: Notation and Background; 3. GMM and Consumption-Based Models; 3.1 GMM Review (Hansen, 1982); 3.2 A Classic Asset Pricing Application: Hansen and Singleton (1982); 3.3 GMM Asset Pricing with Non-Optimal Weighting; 3.3.1 Comparing Specification Error: Hansen and Jagannathan (1997); 3.3.2 Statistical Comparison of HJ Distance , 3.3.3 Reasons to Use (and Not to Use) Identity Weighting4. Euler Equation Errors and Consumption-Based Models; 5. Scaled Consumption-Based Models; 5.1 Econometric Findings; 5.2 Distinguishing Two Types of Conditioning; 5.3 Debate; 6. Asset Pricing with Recursive Preferences; 6.1 EZW Recursive Preferences; 6.2 EZW Preferences with Unrestricted Dynamics: Distribution-Free Estimation; 6.2.1 Two-Step Procedure; 6.2.2 First Step; 6.2.3 Second Step; 6.2.4 Econometric Findings; 6.3 EZW Preferences with Restricted Dynamics: Long-Run Risk; 6.3.1 Econometric Findings on Long-Run Risk; 6.4 Debate , 7. Stochastic Consumption Volatility8. Asset Pricing with Habits; 8.1 Structural Estimation of Campbell-Cochrane Habit; 8.2 Flexible Estimation of Habit Preferences with Unrestricted Dynamics; 8.3 Econometric Findings; 8.4 Debate; 9. Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation; 10. Conclusion; References; 13 Bond Pricing and the Macroeconomy; 1. Introduction; 2. A Factor Model; 2.1 A Bare-Bones Framework; 2.2 Implications and Alternatives; 2.3 What are the Factors?; 2.4 Taylor Rule Stories; 3. No-Arbitrage Restrictions; 3.1 Stochastic Discount Factors , 3.2 Bond Pricing3.3 Implications of No-Arbitrage Restrictions; 4. The Variation of Yields with the Macroeconomy: US Evidence; 4.1 Macroeconomic Data; 4.2 Spanning; 4.3 A Workhorse Empirical Example; 4.4 Interpreting and Altering Cross-Sectional Accuracy; 5. Modeling Risk Premia; 5.1 Practical Approaches to Modeling Risk Premia; 5.2 A Brief Example; 5.3 Some Properties of Observed Bond Returns; 5.4 Power Utility; 5.5 Recursive Utility; 5.6 The Empirical Performance of Power and Recursive Utility; 5.7 Predictable Variation of Excess Bond Returns , 5.8 Extensions to Power Utility and Recursive Utility5.9 Moving Away from Endogenous Risk Premia; 6. New Keynesian Models; 6.1 A Reduced-Form New Keynesian Model; 6.2 Nesting the Model in a General Factor Structure; 6.3 Adding Nominal Bonds; 6.4 An Empirical Application; 7. Concluding Comments; References; 14 Investment Performance: A Review and Synthesis; 1. Introduction; 2. The Stochastic Discount Factor (SDF) Framework; 2.1 Market Efficiency and Fund Performance; 2.2 The Treatment of Costs; 3. Performance Measures; 3.1 Returns-Based Alpha and Appropriate Benchmarks; 3.2 The Sharpe Ratio , 3.3 Conditional Performance Evaluation (CPE) , English
    Additional Edition: ISBN 0-444-59406-X
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    HU Berlin
  • 4
    Online Resource
    Online Resource
    Handbook of the economics of finance.; Volume 2B,: Financial markets and asset pricing / (2013)
    Amsterdam :North-Holland is an imprint of Elsevier,
    Details
    UID:
    edocfu_9960130552202883
    Format: 1 online resource (873 p.)
    Edition: 1st ed.
    ISBN: 0-444-59473-6 , 1-299-15705-X
    Series Statement: Handbooks in Finance
    Content: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.Offe
    Note: Description based upon print version of record. , Financial Markets and Asset Pricing; Title Page; Copyright; CONTENTS; INTRODUCTION TO THE SERIES; PREFACE; 12 Advances in Consumption-Based Asset Pricing: Empirical Tests*; 1.Introduction; 2. Consumption-Based Models: Notation and Background; 3. GMM and Consumption-Based Models; 3.1 GMM Review (Hansen, 1982); 3.2 A Classic Asset Pricing Application: Hansen and Singleton (1982); 3.3 GMM Asset Pricing with Non-Optimal Weighting; 3.3.1 Comparing Specification Error: Hansen and Jagannathan (1997); 3.3.2 Statistical Comparison of HJ Distance , 3.3.3 Reasons to Use (and Not to Use) Identity Weighting4. Euler Equation Errors and Consumption-Based Models; 5. Scaled Consumption-Based Models; 5.1 Econometric Findings; 5.2 Distinguishing Two Types of Conditioning; 5.3 Debate; 6. Asset Pricing with Recursive Preferences; 6.1 EZW Recursive Preferences; 6.2 EZW Preferences with Unrestricted Dynamics: Distribution-Free Estimation; 6.2.1 Two-Step Procedure; 6.2.2 First Step; 6.2.3 Second Step; 6.2.4 Econometric Findings; 6.3 EZW Preferences with Restricted Dynamics: Long-Run Risk; 6.3.1 Econometric Findings on Long-Run Risk; 6.4 Debate , 7. Stochastic Consumption Volatility8. Asset Pricing with Habits; 8.1 Structural Estimation of Campbell-Cochrane Habit; 8.2 Flexible Estimation of Habit Preferences with Unrestricted Dynamics; 8.3 Econometric Findings; 8.4 Debate; 9. Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation; 10. Conclusion; References; 13 Bond Pricing and the Macroeconomy; 1. Introduction; 2. A Factor Model; 2.1 A Bare-Bones Framework; 2.2 Implications and Alternatives; 2.3 What are the Factors?; 2.4 Taylor Rule Stories; 3. No-Arbitrage Restrictions; 3.1 Stochastic Discount Factors , 3.2 Bond Pricing3.3 Implications of No-Arbitrage Restrictions; 4. The Variation of Yields with the Macroeconomy: US Evidence; 4.1 Macroeconomic Data; 4.2 Spanning; 4.3 A Workhorse Empirical Example; 4.4 Interpreting and Altering Cross-Sectional Accuracy; 5. Modeling Risk Premia; 5.1 Practical Approaches to Modeling Risk Premia; 5.2 A Brief Example; 5.3 Some Properties of Observed Bond Returns; 5.4 Power Utility; 5.5 Recursive Utility; 5.6 The Empirical Performance of Power and Recursive Utility; 5.7 Predictable Variation of Excess Bond Returns , 5.8 Extensions to Power Utility and Recursive Utility5.9 Moving Away from Endogenous Risk Premia; 6. New Keynesian Models; 6.1 A Reduced-Form New Keynesian Model; 6.2 Nesting the Model in a General Factor Structure; 6.3 Adding Nominal Bonds; 6.4 An Empirical Application; 7. Concluding Comments; References; 14 Investment Performance: A Review and Synthesis; 1. Introduction; 2. The Stochastic Discount Factor (SDF) Framework; 2.1 Market Efficiency and Fund Performance; 2.2 The Treatment of Costs; 3. Performance Measures; 3.1 Returns-Based Alpha and Appropriate Benchmarks; 3.2 The Sharpe Ratio , 3.3 Conditional Performance Evaluation (CPE) , English
    Additional Edition: ISBN 0-444-59406-X
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    FU Berlin
  • 5
    Online Resource
    Online Resource
    Handbook of the economics of finance.; Volume 2B,: Financial markets and asset pricing / (2013)
    Amsterdam :North-Holland is an imprint of Elsevier,
    Details
    UID:
    edoccha_9960130552202883
    Format: 1 online resource (873 p.)
    Edition: 1st ed.
    ISBN: 0-444-59473-6 , 1-299-15705-X
    Series Statement: Handbooks in Finance
    Content: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.Offe
    Note: Description based upon print version of record. , Financial Markets and Asset Pricing; Title Page; Copyright; CONTENTS; INTRODUCTION TO THE SERIES; PREFACE; 12 Advances in Consumption-Based Asset Pricing: Empirical Tests*; 1.Introduction; 2. Consumption-Based Models: Notation and Background; 3. GMM and Consumption-Based Models; 3.1 GMM Review (Hansen, 1982); 3.2 A Classic Asset Pricing Application: Hansen and Singleton (1982); 3.3 GMM Asset Pricing with Non-Optimal Weighting; 3.3.1 Comparing Specification Error: Hansen and Jagannathan (1997); 3.3.2 Statistical Comparison of HJ Distance , 3.3.3 Reasons to Use (and Not to Use) Identity Weighting4. Euler Equation Errors and Consumption-Based Models; 5. Scaled Consumption-Based Models; 5.1 Econometric Findings; 5.2 Distinguishing Two Types of Conditioning; 5.3 Debate; 6. Asset Pricing with Recursive Preferences; 6.1 EZW Recursive Preferences; 6.2 EZW Preferences with Unrestricted Dynamics: Distribution-Free Estimation; 6.2.1 Two-Step Procedure; 6.2.2 First Step; 6.2.3 Second Step; 6.2.4 Econometric Findings; 6.3 EZW Preferences with Restricted Dynamics: Long-Run Risk; 6.3.1 Econometric Findings on Long-Run Risk; 6.4 Debate , 7. Stochastic Consumption Volatility8. Asset Pricing with Habits; 8.1 Structural Estimation of Campbell-Cochrane Habit; 8.2 Flexible Estimation of Habit Preferences with Unrestricted Dynamics; 8.3 Econometric Findings; 8.4 Debate; 9. Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation; 10. Conclusion; References; 13 Bond Pricing and the Macroeconomy; 1. Introduction; 2. A Factor Model; 2.1 A Bare-Bones Framework; 2.2 Implications and Alternatives; 2.3 What are the Factors?; 2.4 Taylor Rule Stories; 3. No-Arbitrage Restrictions; 3.1 Stochastic Discount Factors , 3.2 Bond Pricing3.3 Implications of No-Arbitrage Restrictions; 4. The Variation of Yields with the Macroeconomy: US Evidence; 4.1 Macroeconomic Data; 4.2 Spanning; 4.3 A Workhorse Empirical Example; 4.4 Interpreting and Altering Cross-Sectional Accuracy; 5. Modeling Risk Premia; 5.1 Practical Approaches to Modeling Risk Premia; 5.2 A Brief Example; 5.3 Some Properties of Observed Bond Returns; 5.4 Power Utility; 5.5 Recursive Utility; 5.6 The Empirical Performance of Power and Recursive Utility; 5.7 Predictable Variation of Excess Bond Returns , 5.8 Extensions to Power Utility and Recursive Utility5.9 Moving Away from Endogenous Risk Premia; 6. New Keynesian Models; 6.1 A Reduced-Form New Keynesian Model; 6.2 Nesting the Model in a General Factor Structure; 6.3 Adding Nominal Bonds; 6.4 An Empirical Application; 7. Concluding Comments; References; 14 Investment Performance: A Review and Synthesis; 1. Introduction; 2. The Stochastic Discount Factor (SDF) Framework; 2.1 Market Efficiency and Fund Performance; 2.2 The Treatment of Costs; 3. Performance Measures; 3.1 Returns-Based Alpha and Appropriate Benchmarks; 3.2 The Sharpe Ratio , 3.3 Conditional Performance Evaluation (CPE) , English
    Additional Edition: ISBN 0-444-59406-X
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Charité
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