The Paradox of Asset Pricing /

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"Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption - that markets are efficient processors of informat...

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Detalles Bibliográficos
Autor principal: Bossaerts, Peter L., 1960- (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton, N.J. : Princeton University Press, [2002]
Colección:Book collections on Project MUSE.
Temas:
Stochastische programmering.
Dynamische programmering.
Efficiëntie.
Prijstheorie.
Portfolio-theorie.
Aktienkurs
Kursbildung
Kapitalmarkteffizienz
Capital-Asset-Pricing-Modell
Securities.
Efficient market theory.
Capital assets pricing model.
BUSINESS & ECONOMICS > Economics > Theory.
BUSINESS & ECONOMICS > Finance.
Valeurs mobilieres.
Hypothese du marche efficient.
Modele d'evaluation des actifs financiers.
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Principles of Asset-Pricing Theory
  • Stochastic Dynamic Programming
  • An Application to a Simple Investment-Consumption Problem
  • A Nontrivial Portfolio Problem
  • Portfolio Separation
  • Toward the First Asset-Pricing Model
  • Consumption-Based Asset-Pricing Models
  • Asset-Pricing Theory: The Bottom Line
  • Arrow-Debreu Securities Pricing
  • Roll's Critique
  • Time Nonseparable Preferences
  • Existence of Equilibrium
  • Price Discovery
  • Empirical Methodology
  • The Efficient Markets Hypothesis (EMH)
  • Violations of the Stationarity Assumption
  • Inference in a Nonstationary World
  • Testing the CAPM
  • A Linear Test
  • A Nonlinear Test
  • The Fama-MacBeth Procedure
  • Can One Condition on Less than the Entire State Vector in Tests of the CAPM?
  • Testing Consumption-Based Asset-Pricing Models
  • Diagnostics: Variance Bounds
  • The Empirical Evidence in a Nutshell
  • Empirical Evidence on the CAPM
  • Hansen-Jagannathan Bounds
  • GMM Tests of Consumption-Based Models
  • Cross-Sectional Tests
  • The Experimental Evidence
  • A Typical Asset-Pricing Experiment
  • Theoretical Predictions
  • Experimental Results
  • Announced and Perceived Uncertainty
  • The Scale of Experimentation
  • Formal Tests
  • The CAPM
  • The Arrow-Debreu Model
  • From EMH to Merely Efficient Learning
  • Bayesian Learning
  • Digital Option Prices under ELM
  • Limited Liability Security Prices under ELM
  • Revisiting an Earlier Example
  • Revisiting the Historical Record
  • U.S. IPO Aftermarket Performance.

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