Capital Market Equilibrium and Efficiency PDF Download
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Author: James L. Bicksler
Publisher: Free Press
ISBN:
Category : Business & Economics
Languages : en
Pages : 664
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Book Description
Author: James L. Bicksler
Publisher: Free Press
ISBN:
Category : Business & Economics
Languages : en
Pages : 664
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Emilio Barucci
Publisher: Springer
ISBN: 1447173228
Category : Mathematics
Languages : en
Pages : 843
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Book Description
This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS
Author: Huan Zhang
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 196
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Book Description
Author: Günter Bamberg
Publisher: Springer Science & Business Media
ISBN: 3642709958
Category : Business & Economics
Languages : en
Pages : 233
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Book Description
Author: Mr.Lamin Leigh
Publisher: International Monetary Fund
ISBN: 1451843224
Category : Business & Economics
Languages : en
Pages : 42
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Book Description
This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and “semi-strongly” efficient in asset-pricing terms but not “strongly” efficient. Granger causality tests based on the efficiency test results indicate that developments in the stock market appear to be systematically related to the overall economy in Singapore and can thus serve as a leading indicator of its intertemporal behavior.
Author: John E. Gilster
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 38
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Book Description
Author: Emilio Barucci
Publisher: Springer
ISBN: 9781447100904
Category : Business & Economics
Languages : en
Pages : 467
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Book Description
A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
Author: Blaise Allaz Bernard Dumas
Publisher: Springer
ISBN: 1489971165
Category : Business & Economics
Languages : en
Pages : 385
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Book Description
Finance is an area of business practice that has been deeply influenced by theoretical developments. This book provides the basic theoretical foundations necessary to understand how three broad classes of assets - stocks, options and bonds - are valued on financial markets, while developing the crucial concepts of market equilibrium and arbitrage. The analysis is rigorous, yet successfully bridges the gap between mathematical and non-mathematical approaches to provide a book which will be of interest to both academics and practitioners.
Author: Haim Shalit
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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Book Description
As a two-parameter model that satisfies stochastic dominance, the mean-extended Gini model is used to build efficient portfolios. The model also quantifies risk aversion heterogeneity in capital markets. Using a simple Edgeworth box framework, we show how capital market equilibrium is achieved for risky assets. This approach provides a richer basis for analysis of the pricing of risky assets under heterogeneous preferences. Our main results are: (1) At equilibrium all homogeneous mean-variance investors and mean-extended Gini investors will hold portfolios of risky assets that are identical to the market portfolio; and (2) heterogeneous investors as expressed by the variance or the extended Gini hold different risky assets in portfolios, and no one must hold the market portfolio.
