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
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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
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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
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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
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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
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3.3 Conditional Performance Evaluation (CPE)
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English
Additional Edition:
ISBN 0-444-59406-X
Language:
English
