Essays on Banking, Asset Pricing, and Learning

Essays on Banking, Asset Pricing, and Learning PDF Author: Martin Schneider (Professor of economics)
Publisher:
ISBN:
Category :
Languages : en
Pages : 334

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Book Description

Essays on Banking, Asset Pricing, and Learning

Essays on Banking, Asset Pricing, and Learning PDF Author: Martin Schneider (Professor of economics)
Publisher:
ISBN:
Category :
Languages : en
Pages : 334

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Book Description


Empirical Asset Pricing

Empirical Asset Pricing PDF 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.

Media Sentiment and International Asset Prices

Media Sentiment and International Asset Prices PDF Author: Samuel P. Fraiberger
Publisher: International Monetary Fund
ISBN: 1484389212
Category : Business & Economics
Languages : en
Pages : 33

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Book Description
We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.

Machine Learning in Asset Pricing

Machine Learning in Asset Pricing PDF Author: Stefan Nagel
Publisher: Princeton University Press
ISBN: 0691218706
Category : Business & Economics
Languages : en
Pages : 156

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Book Description
A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.

Selected Essays in Empirical Asset Pricing

Selected Essays in Empirical Asset Pricing PDF Author: Christian Funke
Publisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123

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Book Description
Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.

Financial Asset Pricing Theory

Financial Asset Pricing Theory PDF Author: Claus Munk
Publisher: Oxford University Press, USA
ISBN: 0199585490
Category : Business & Economics
Languages : en
Pages : 598

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Book Description
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.

Theory of Asset Pricing

Theory of Asset Pricing PDF Author: George Gaetano Pennacchi
Publisher: Addison-Wesley Longman
ISBN: 9780321127204
Category : Capital assets pricing model
Languages : en
Pages : 0

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Book Description
Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing. By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that does not require a high level of mathematical complexity.

Market Liquidity

Market Liquidity PDF Author: Yakov Amihud
Publisher: Cambridge University Press
ISBN: 0521191769
Category : Business & Economics
Languages : en
Pages : 293

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Book Description
This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

Liquidity and Asset Prices

Liquidity and Asset Prices PDF Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109

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Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Essays in Honor of M. Hashem Pesaran

Essays in Honor of M. Hashem Pesaran PDF Author: Alexander Chudik
Publisher: Emerald Group Publishing
ISBN: 180262063X
Category : Business & Economics
Languages : en
Pages : 316

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Book Description
The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.