Financial asset pricing : theory, global policy and dynamics

Financial asset pricing : theory, global policy and dynamics /

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Bibliographic Details
Online Access: Full text (MCPHS users only)
Other Authors: Schulz, Paul E., 1955-, Hoffmann, Barbara P.
Format: Electronic eBook
Language:English
Published: New York : Nova Science Publishers, Inc., 2011
Series:Economic issues, problems and perspectives series.
Subjects:
Capital assets pricing model.
Local Note:ProQuest Ebook Central
Table of Contents:
  • FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS; FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS; LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA; CONTENTS; PREFACE; Chapter 1: MONETARY POLICY AND BOOM-BUST CYCLES IN ASSET PRICES: A LITERATURE SURVEY; ABSTRACT; 1. INTRODUCTION; 2. SHOULD ASSET PRICES BE INCLUDED IN THE OBJECTIVE FUNCTION?; 2.1 Asset Prices and the Inflation Measure; 2.2 Financial Stability and the Objective Function; 2.3. Monetary Policy and Asset Prices: The Classic Discussion and the Middle Ground; 3. RECENT DEVELOPMENTS; CONCLUSION; REFERENCES.
  • Chapter 2: DYNAMIC MIGRATION BETWEEN STOCK PORTFOLIOS BASED ON DIVIDEND YIELD AND FIRM SIZEABSTRACT; 1. INTRODUCTION; 2. DATA AND METHODOLOGY; 3. INITIAL RESULTS FOR RAW RETURNS; 3.1. Adjustment for Risk; 4. THE MIGRATION STUDY (METHODOLOGY); 4.1. Data; 4.2. Analysis of Results (Presented in Table 7 (a-f)); 4.3. Expanding versus Contracting Companies; 5. LONG-RUN EQUILIBRIUM AND SPEED OF ADJUSTMENT; 5.1. The Transition Matrix as a Markov Process; 5.2. The Dynamics of the Process; 6. EXTENDING THE ANALYSIS TO INCLUDE THE 'TIME' DIMENSION; CONCLUSION; REFERENCES.
  • Chapter 3: RETURN CALCULATION FOR SHORT TIME SERIES: EVIDENCE FROM EMERGING MARKET MUTUAL FUNDSABSTRACT; I. INTRODUCTION; II. GOODNESS OF FITTING; III. INVALIDITY OF THE ASSUMPTIONS OF STANDARD ASSET PRICING TESTS; IV. VISUALIZING NON-NORMALITY; CONCLUDING REMARKS; ACKNOWLEDGMENTS; REFERENCES; Chapter 4: RISK PREMIUM, MARKET PRICE OF RISK, AND STOCHASTIC PRICE MODELS FOR COMMODITIES; ABSTRACT; 1. INTRODUCTION; 2. REVIEW OF THE LITERATURE; 3. STOCHASTIC PRICE MODELS; 3.1. The Geometric Brownian Motion (GBM) Model; 3.2. Mean-Reverting Models; 3.3. Two-Factor Model: IGBM with Stochastic MPR.
  • 3.4. Summary of Stochastic Models4. ESTIMATION; 4.1. Sample Description; 4.2. The GBM Case with Proportional MPR; 4.3. The IGBM Case with Proportional MPR; CONCLUSIONS; REFERENCES; Chapter 5: AUSTRALIAN HOUSE PRICES AFFORDABILITY: AN INTERNATIONAL COMPARISON OF THE DETERMINANTS OF HOUSE PRICE'S PERFORMANCE 1980
  • 2009; ABSTRACT; INTRODUCTION; THE DRIVERS OF AUSTRALIAN HOUSE PRICES
  • BUBBLE OR FUNDAMENTALS!; THE HOUSING BUBBLE IN THE US; HOUSING FINANCE
  • AUSTRALIA VS. US; SUMMARY AND CONCLUSION; REFERENCES; Chapter 6: COMPUTATIONAL FINANCE FOR STOCHASTIC VOLATILITY AND CORRELATION; Abstract.
  • 1. Overview2. .The Model; 3. The Pricing Equation; 4. An Analytical Pricing Formula; 5. Correlation Risk for the Interest-Rate Contingent Claim; 6. Conclusion; Appendix; References; Chapter 7: AN EMPIRICAL TEST OF THE CONSUMPTION-BASED ASSET PRICING MODEL (CCAPM) IN LATIN AMERICA; ABSTRACT; 1. INTRODUCTION; 2. THE INTERTEMPORAL MODEL OF CAPITAL ASSET PRICING CCAPM; 3. METHOD, HYPOTHESES, SAMPLING, DATA COLLECTION AND TREATMENT; 3.1. Estimation Process; 3.2. Formulation of Hypotheses; 3.3. Description of the Sample; 3.4. Data Collection; 3.5. Data Treatment; 4. ANALYSIS OF THE RESULTS.

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