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Author: Judith Klähn
Publisher: Springer Science & Business Media
ISBN: 3322813789
Category : Business & Economics
Languages : en
Pages : 137
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Book Description
Judith Klähn proves that some of the most important variables in predicting U.S. equity returns are not significant for the German stock market. She shows that the composition of Germany's investor base plays an important role, and she outlines the variables crucial for the German stock market.
Author: Judith Klähn
Publisher: Springer Science & Business Media
ISBN: 3322813789
Category : Business & Economics
Languages : en
Pages : 137
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Book Description
Judith Klähn proves that some of the most important variables in predicting U.S. equity returns are not significant for the German stock market. She shows that the composition of Germany's investor base plays an important role, and she outlines the variables crucial for the German stock market.
Author: Wolfgang Bühler
Publisher: Springer Science & Business Media
ISBN: 3642586643
Category : Business & Economics
Languages : en
Pages : 321
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Book Description
This collection of fifteen original articles results from a cooperative intensive program of research on the German capital market. The program objectives included the development of expertise in modern empirical methods in financial economics and the derivation of results that might be specific to the German capital market. The four parts of the book are dedicated to: - problems of market structure and organization - information and capital market - risk and return - futures and options Altogether, the book gives an overview of empirical research on capital markets in Germany and helps to understand their nature. It also shows the application of modern techniques in financial research.
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
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Book Description
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.
Author: Shigeyuki Hamori
Publisher: MDPI
ISBN: 3038977063
Category : Business & Economics
Languages : en
Pages : 276
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Book Description
There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.
Author: Turan G. Bali
Publisher: John Wiley & Sons
ISBN: 1118589475
Category : Business & Economics
Languages : en
Pages : 512
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Book Description
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Author: Ralf Brüggemann
Publisher: Springer
ISBN: 9783540206439
Category : Mathematics
Languages : en
Pages : 218
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Book Description
1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.
Author: Roshima Said
Publisher: Springer
ISBN: 9811069263
Category : Business & Economics
Languages : en
Pages : 273
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Book Description
This book discusses several important issues related to corporate governance reporting, corporate social responsibility (CSR), fraud and bankruptcy. It gathers papers presented at the 6th International Conference on Governance, Fraud, Ethics and Social Responsibility, which was held in Penang, Malaysia on 18–19 November 2015. The content is divided into three major sub-themes: Corporate Governance and Accountability; Corporate Social Responsibility (CSR) and Sustainable Development; and Ethics, Risk and Fraud. The first sub-theme addresses recently identified issues, such as corporate governance reporting, corporate governance regulation differences between countries, governance and financial market economics, financial market supervision, and control and risk management. In turn, the second sub-theme focuses on international auditing standards, green/socially responsible investment, environmental and social accounting and auditing, CSR-related matters, legislation and CSR reporting differences for public listed companies, accounting for sustainable development performance, and sustainability assessment models. The third sub-theme puts the spotlight on financial assessment and diagnosis, modeling, hedging, fraud, bankruptcy, accounting and auditing ethics and ethical problems in financial markets. Taken together, the issues discussed here provide state of art theories and empirical evidence approached from broad perspectives, making the book a valuable resource for researchers, students and practitioners alike.
Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author: Christian Wildmann
Publisher:
ISBN: 9783865586179
Category :
Languages : en
Pages : 0
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Book Description
Author: Larry R. Lang
Publisher: JAI Press Incorporated
ISBN: 9781559389198
Category : Business & Economics
Languages : en
Pages : 364
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Book Description
Discusses a variety of topics in the field of research in international business and finance.
