Handbook of the economics of finance Volume 2B, Financial markets and asset pricing Volume 2B, Financial markets and asset pricing /
The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 finan...
| Otros Autores: | , , |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam :
North-Holland is an imprint of Elsevier
2013.
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| Edición: | 1st ed |
| Colección: | Handbooks in Finance
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627759306719 |
Tabla de Contenidos:
- Financial Markets and Asset Pricing; Title Page; Copyright; CONTENTS; INTRODUCTION TO THE SERIES; PREFACE; 12 Advances in Consumption-Based Asset Pricing: Empirical Tests*; 1.Introduction; 2. Consumption-Based Models: Notation and Background; 3. GMM and Consumption-Based Models; 3.1 GMM Review (Hansen, 1982); 3.2 A Classic Asset Pricing Application: Hansen and Singleton (1982); 3.3 GMM Asset Pricing with Non-Optimal Weighting; 3.3.1 Comparing Specification Error: Hansen and Jagannathan (1997); 3.3.2 Statistical Comparison of HJ Distance
- 3.3.3 Reasons to Use (and Not to Use) Identity Weighting4. Euler Equation Errors and Consumption-Based Models; 5. Scaled Consumption-Based Models; 5.1 Econometric Findings; 5.2 Distinguishing Two Types of Conditioning; 5.3 Debate; 6. Asset Pricing with Recursive Preferences; 6.1 EZW Recursive Preferences; 6.2 EZW Preferences with Unrestricted Dynamics: Distribution-Free Estimation; 6.2.1 Two-Step Procedure; 6.2.2 First Step; 6.2.3 Second Step; 6.2.4 Econometric Findings; 6.3 EZW Preferences with Restricted Dynamics: Long-Run Risk; 6.3.1 Econometric Findings on Long-Run Risk; 6.4 Debate
- 7. Stochastic Consumption Volatility8. Asset Pricing with Habits; 8.1 Structural Estimation of Campbell-Cochrane Habit; 8.2 Flexible Estimation of Habit Preferences with Unrestricted Dynamics; 8.3 Econometric Findings; 8.4 Debate; 9. Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation; 10. Conclusion; References; 13 Bond Pricing and the Macroeconomy; 1. Introduction; 2. A Factor Model; 2.1 A Bare-Bones Framework; 2.2 Implications and Alternatives; 2.3 What are the Factors?; 2.4 Taylor Rule Stories; 3. No-Arbitrage Restrictions; 3.1 Stochastic Discount Factors
- 3.2 Bond Pricing3.3 Implications of No-Arbitrage Restrictions; 4. The Variation of Yields with the Macroeconomy: US Evidence; 4.1 Macroeconomic Data; 4.2 Spanning; 4.3 A Workhorse Empirical Example; 4.4 Interpreting and Altering Cross-Sectional Accuracy; 5. Modeling Risk Premia; 5.1 Practical Approaches to Modeling Risk Premia; 5.2 A Brief Example; 5.3 Some Properties of Observed Bond Returns; 5.4 Power Utility; 5.5 Recursive Utility; 5.6 The Empirical Performance of Power and Recursive Utility; 5.7 Predictable Variation of Excess Bond Returns
- 5.8 Extensions to Power Utility and Recursive Utility5.9 Moving Away from Endogenous Risk Premia; 6. New Keynesian Models; 6.1 A Reduced-Form New Keynesian Model; 6.2 Nesting the Model in a General Factor Structure; 6.3 Adding Nominal Bonds; 6.4 An Empirical Application; 7. Concluding Comments; References; 14 Investment Performance: A Review and Synthesis; 1. Introduction; 2. The Stochastic Discount Factor (SDF) Framework; 2.1 Market Efficiency and Fund Performance; 2.2 The Treatment of Costs; 3. Performance Measures; 3.1 Returns-Based Alpha and Appropriate Benchmarks; 3.2 The Sharpe Ratio
- 3.3 Conditional Performance Evaluation (CPE)
