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Author: Yacine Aït-Sahalia
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty significantly improves portfolio performance, over and above the performance obtained by conditioning on volatility only.
Author: Yacine Aït-Sahalia
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty significantly improves portfolio performance, over and above the performance obtained by conditioning on volatility only.
Author: Maria Elisa Farias
Publisher:
ISBN: 9783330010567
Category :
Languages : en
Pages : 68
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Author: David E. Allen
Publisher:
ISBN:
Category : Finance
Languages : en
Pages :
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Author: Behrad Foroughizadeh
Publisher: Trafford Publishing
ISBN: 1490752269
Category : Self-Help
Languages : en
Pages : 271
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Book Description
Dawn of a New Era in Economy & Democracy Solutions to economic problems that havent fixed themselves and appear to only be getting worse for a majority of the citizens of the world. Virtus is an important overview of the many challenges the world is facing and provides an economic solution to facing and meeting them. San Francisco Book Review Foroughizadehs first book was defined by Kirkus Reviews: An exploration . . . thats not for the fainthearted . . . offers a fresh perspective . . . to reflect new notions of economic value . . . how market-based economies might evolve into new forms that can sustain economic development and long-term prosperity for all. . . Forward-looking perspectives . . . thought-provoking ideas about the 21st-century global economy. Kirkus Reviews. This book goes beyond. The birth of a new era calls for a new economic paradigmone that fits the pace of current developments in different sectors and industries and addresses the challenges posed by the introduction of such variables as game-changing, disruptive innovation, climate change, sustainability, virtualization of jobs, processes and business models, mass migration, and frailty of geopolitical scenarios. From the economies of entire countries and central banking business sectors from banking to financial services and markets, from retail to manufacturing and services, government and nongovernment organizations are all on the verge of the most significant shift in their business models. A shift that will affect processes, revenue streams, remuneration, employment, taxation, debt, wealth, savings, defense, and delicate international balances. Very little will remain the same. An innovative, unique, and groundbreaking treatise on the imminent, and inevitable step-level evolution of the market economy and democracy towards comprehensive value generating models. Get an overview of the new economic climate, partake in creating the future, and be a step ahead of the race in the new era.
Author: Sandile Hlatshwayo
Publisher: International Monetary Fund
ISBN: 1475540469
Category : Business & Economics
Languages : en
Pages : 30
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Book Description
In recent years, the link between the real effective exchange rate (REER) and exports in South Africa has weakened. While exports still rise in response to REER depreciations, the REER-export elasticity is below historical estimates. The literature has put forward a number of possible explanations, from multi-national supply-chains to muted exchange rate pass-through. This research explores the role of policy uncertainty in reducing the responsiveness of exports to relative price changes. We construct a novel “news chatter” measure of policy uncertainty and examine how it, paired with other supply-side constraints, can improve our understanding of export performance. We find that increased policy uncertainty diminishes the responsiveness of exports to the REER and has short and long-run level effects on export performance. Finally, we show that a measure of competitiveness that adjusts for uncertainty and supply-side constraints greatly outperforms the REER in tracking exports performance.
Author: Marc Joëts
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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: Stefan Collignon
Publisher: Routledge
ISBN: 1134683790
Category : Business & Economics
Languages : en
Pages : 551
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Book Description
The future emergence of a European monetary zone is set to transform the configuration of the international monetary system and the roles of the dollar, the Euro and the yen within this system. This book addresses this issue with discussion of: * exchange rate policies pursued in the principal Asian countries * the measurement of equilibrium exchange rates for these countries * the maintenance of the dollar peg by Asian currencies * the absence of a trend to monetary regionalism based on the yen * the outlook of regional monetary co-operation * the outlook of regional monetary co-operation Case studies pay particular attention to Korea, Taiwan, Singapore and Thailand.
Author: Stephen Bond
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 58
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Book Description
Author: Rom Gayoso
Publisher: Xlibris Corporation
ISBN: 1499057482
Category : Self-Help
Languages : en
Pages : 238
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Book Description
