Three Essays in Asset Pricing Theory

Three Essays in Asset Pricing Theory
Title Three Essays in Asset Pricing Theory PDF eBook
Author Lionel Martellini
Publisher
Pages 390
Release 2000
Genre
ISBN

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Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance

Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance
Title Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance PDF eBook
Author Ehud Peleg
Publisher ProQuest
Pages 356
Release 2008
Genre Capital assets pricing model
ISBN

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Three Essays on Asset Pricing Model with Heterogenous Agents

Three Essays on Asset Pricing Model with Heterogenous Agents
Title Three Essays on Asset Pricing Model with Heterogenous Agents PDF eBook
Author Tae-Jin Kang
Publisher
Pages 174
Release 1991
Genre
ISBN

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Three Essays in Empirical Asset Pricing

Three Essays in Empirical Asset Pricing
Title Three Essays in Empirical Asset Pricing PDF eBook
Author Alessio Alberto Saretto
Publisher
Pages 322
Release 2006
Genre Bonds
ISBN

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Three Essays on Empirical Asset Pricing

Three Essays on Empirical Asset Pricing
Title Three Essays on Empirical Asset Pricing PDF eBook
Author Wenqing Wang
Publisher
Pages 342
Release 2004
Genre Investments
ISBN

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Three Essays on Information and Asset Prices

Three Essays on Information and Asset Prices
Title Three Essays on Information and Asset Prices PDF eBook
Author Gang Li
Publisher
Pages 218
Release 2003
Genre
ISBN

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Empirical Asset Pricing

Empirical Asset Pricing
Title Empirical Asset Pricing PDF eBook
Author Wayne Ferson
Publisher MIT Press
Pages 497
Release 2019-03-12
Genre Business & Economics
ISBN 0262039370

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An 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.