Theory and Econometrics of Financial Asset Pricing
  • 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.

Theory and Econometrics of Financial Asset Pricing

Theory and Econometrics of Financial Asset Pricing

Author : Lim Kian Guan
Publisher : Unknown
Genre : Uncategorized
Get Book

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 ...

Financial Asset Pricing Theory

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Author : Claus Munk
Publisher : OUP Oxford
Genre : Business & Economics
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Publisher : Princeton University Press
Genre : Business & Economics
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Publisher : Princeton University Press
Genre : Business & Economics
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From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the field’s most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for ...

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Publisher : Springer Science & Business Media
Genre : Business & Economics
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Publisher : Springer
Genre : Business & Economics
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Publisher : Springer Nature
Genre : Business & Economics
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Publisher : Princeton University Press
Genre : Business & Economics
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Author : Kenneth J. Singleton
Publisher : Princeton University Press
Genre : Business & Economics
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Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores ...

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Author : Andrew Wen-Chuan Lo
Publisher : Edward Elgar Pub
Genre : Business & Economics
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Publisher : Academic Press
Genre : Business & Economics
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Author : Bing Cheng
Publisher : World Scientific
Genre : Business & Economics
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Publisher : Routledge
Genre : Business & Economics
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Author : Chenghu Ma
Publisher : World Scientific
Genre : Business & Economics
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This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset ...

Static Asset pricing Models

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Author : Andrew Wen-Chuan Lo
Publisher : Edward Elgar Pub
Genre : Business & Economics
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Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more....