- Author : Lim Kian Guan
- Release Date : 01 August 2021
- Publisher : Unknown
- Genre : Uncategorized
- Pages : 360
- ISBN 13 : 3110673851
Download Theory and Econometrics of Financial Asset Pricing eBook in PDF, Epub and Kindle
Book Description: This book will provide a firm foundation in the understanding of financial economics applied to asset pricing. It carries the real world perspective of how the market works, including behavioral biases, and also wraps that understanding in the context of a rigorous economics framework of investors' risk preferences, underlying price dynamics, rational choice in the large, and market equilibrium other than inexplicable irrational bubbles. We concentrate on analyses of stock, credit, and option pricing. Existing highly cited finance models in pricing of these assets will be covered in detail, and theory will be accompanied by rigorous applications of econometrics. Econometrics contain elucidations of both the statistical theory as well as the practice of data analyses. Linear regression methods and some nonlinear methods will be covered. The contribution in this book, and at the same time, its novelty, is in employing materials in probability theory, economics optimization, econometrics, and data analyses together to provide a rigorous and sharp intellect for investment and financial decision-making. In my experiences with industry consultations and some boards, long-run mistakes are often made with far too often sweeping pragmatism without deeply knowing the underpinnings of how the market economics works. The book is written at a level that is both academically rigorous for university courses in investment, derivatives, risk management, as well as not too mathematically deep so that finance and banking graduate professionals can have a real journey into the frontier financial economics thinking and rigorous data analytical findings.