Financial asset pricing : theory, global policy and dynamics / Paul E. Schulz and Barbara P. Hoffmann, editors.

Format:

Book

Contributor:

Schulz, Paul E., 1955-

Hoffmann, Barbara P.

Series:

Economic issues, problems and perspectives series.

Economic issues, problems and perspectives

Language:

English

Subjects (All):

Capital assets pricing model.

Physical Description:

1 online resource (224 p.)

Edition:

1st ed.

Place of Publication:

Hauppauge, N.Y. : Nova Science Publishers, c2011.

Language Note:

English

Summary:

In finance, the capital asset pricing model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset. This book presents current research in the study of financial asset pricing, including monetary policy and boom-bust cycles in asset pricing; migration dynamics of stock movements between portfolios; return calculation in international mutual funds; risk premium, market price of risk, and stochastic price models for commodities; computation finance for stochastic volatility and correlation; and consumption-based asset pricing model (CCAPM) in Latin America.

Contents:

Intro

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 SIZE

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

Chapter 3: RETURN CALCULATION FOR SHORT TIME SERIES: EVIDENCE FROM EMERGING MARKET MUTUAL FUNDS

I. INTRODUCTION

II. GOODNESS OF FITTING

III. INVALIDITY OF THE ASSUMPTIONS OF STANDARD ASSET PRICING TESTS

IV. VISUALIZING NON-NORMALITY

CONCLUDING REMARKS

ACKNOWLEDGMENTS

Chapter 4: RISK PREMIUM, MARKET PRICE OF RISK, AND STOCHASTIC PRICE MODELS FOR COMMODITIES

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 Models

4. ESTIMATION

4.1. Sample Description

4.2. The GBM Case with Proportional MPR

4.3. The IGBM Case with Proportional MPR

CONCLUSIONS

Chapter 5: AUSTRALIAN HOUSE PRICES AFFORDABILITY: AN INTERNATIONAL COMPARISON OF THE DETERMINANTS OF HOUSE PRICE'S PERFORMANCE 1980 - 2009

INTRODUCTION

THE DRIVERS OF AUSTRALIAN HOUSE PRICES - BUBBLE OR FUNDAMENTALS!

THE HOUSING BUBBLE IN THE US

HOUSING FINANCE - AUSTRALIA VS. US

SUMMARY AND CONCLUSION

Chapter 6: COMPUTATIONAL FINANCE FOR STOCHASTIC VOLATILITY AND CORRELATION

Abstract

1. Overview

2. .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

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

Chapter 8: INTRICATE ASSET PRICE DYNAMICS AND ONE-DIMENSIONAL DISCONTINUOUS MAPS

1. Introduction

2. A Simple Piecewise Linear Financial Model

3. Some Properties of the Model

4. Maximal Cycles LkR

5. Maximal Cycles LRk

INDEX.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

1-62081-046-8

OCLC:

779847857