Handbook of the economics of finance. Volume 1B, Financial markets and asset pricing / edited by George M. Constantinides, Milton Harris, and Rene M. Stulz.

Format:

Book

Contributor:

Constantinides, George M.

Harris, Milton.

Stulz, René M.

Series:

Handbook of the Economics of Finance

Language:

English

Subjects (All):

Finance.

Economics.

Corporations--Finance.

Corporations.

Asset pricing.

Assets (Accounting)--Valuation .

Assets (Accounting).

Local Subjects:

Asset pricing.

Physical Description:

1 online resource (698 p.)

Place of Publication:

Amsterdam ; Boston : Elsevier/North-Holland, 2003.

Language Note:

English

Summary:

Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

Contents:

Cover; Handbook of the Economics of Finance; Copyright Page; TOCContents of Volume 1B; Introduction to the Series; Contents of the Handbook; Preface; CHChapter 10. Arbitrage, State Prices and Portfolio Theory; Abstract; Keywords; 1. Introduction; 2. Portfolio problems; 3. Absence of arbitrage and preference-free results; 4. Various analyses: Arrow-Debreu world; 5. Capital asset pricing model (CAPM); 6. Mutual fund separation theory; 7. Arbitrage pricing theory (APT); 8. Conclusion; References; CHChapter 11. Intertemporal Asset Pricing Theory; Abstract; Keywords; 1. Introduction

2. Basic theory3. Continuous-time modeling; 4. Term-structure models; 5. Derivative pricing; 6. Corporate securities; References; CHChapter 12. Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance; Abstract; Keywords; 1. Introduction; 2. Multifactor asset-pricing models: Review and integration; 3. Modern variance bounds; 4. Methodology and tests of multifactor asset-pricing models; 5. Conditional performance evaluation; 6. Conclusions; References; CHChapter 13. Consumption-Based Asset Pricing; Abstract; Keywords; 1. Introduction

2. International stock market data3. The equity premium puzzle; 4. The dynamics of asset returns and consumption; 5. Cyclical variation in the price of risk; 6. Some implications for macroeconomics; References; CHChapter 14. The Equity Premium in Retrospect; Abstract; Keywords; 1. Introduction; 2. The equity premium: history; 3. Is the equity premium due to a premium for bearing non-diversifiable risk?; 4. Is the equity premium due to borrowing constraints, a liquidity premium or taxes?; 5. An equity premium in the future?; Appendix A

Appendix B. The original analysis of the equity premium puzzleReferences; CHChapter 15. Anomalies and Market Efficiency; Abstract; Keywords; 1. Introduction; 2. Selected empirical regularities; 3. Returns to different types of investors; 4. Long-run returns; 5. Implications for asset pricing; 6. Implications for corporate finance; 7. Conclusions; References; CHChapter 16. Are Financial Assets Priced Locally or Globally?; Abstract; Keywords; 1. Introduction; 2. The perfect financial markets model; 3. Home bias; 4. Flows, spillovers, and contagion; 5. Conclusion; References

CHChapter 17. Microstructure and Asset PricingAbstract; Keywords; 1. Introduction; 2. Equilibrium asset pricing; 3. Asset pricing in the short-run; 4. Asset pricing in the long-run; 5. Linking microstructure and asset pricing: puzzles for researchers; References; CHChapter 18. A Survey of Behavioral Finance; Abstract; Keywords; 1. Introduction; 2. Limits to arbitrage; 3. Psychology; 4. Application: The aggregate stock market; 5. Application: The cross-section of average returns; 6. Application: Closed-end funds and comovement; 7. Application: Investor behavior

8. Application: Corporate finance

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786611055738

9781281055736

1281055735

9780080495088

0080495087

OCLC:

711684065