The Capital Asset Pricing Model In The 21st Century
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Author |
: Haim Levy |
Publisher |
: Cambridge University Press |
Total Pages |
: 457 |
Release |
: 2011-10-30 |
ISBN-10 |
: 9781139503020 |
ISBN-13 |
: 1139503022 |
Rating |
: 4/5 (20 Downloads) |
Synopsis The Capital Asset Pricing Model in the 21st Century by : Haim Levy
The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Author |
: Daniel Anthony |
Publisher |
: Createspace Independent Publishing Platform |
Total Pages |
: 412 |
Release |
: 2017-02-14 |
ISBN-10 |
: 1548177857 |
ISBN-13 |
: 9781548177850 |
Rating |
: 4/5 (57 Downloads) |
Synopsis The Capital Asset Pricing Model in the 21st Century by : Daniel Anthony
The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. daniel Anthony argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms.
Author |
: Haim Levy |
Publisher |
: |
Total Pages |
: 442 |
Release |
: 2012 |
ISBN-10 |
: 1139189484 |
ISBN-13 |
: 9781139189484 |
Rating |
: 4/5 (84 Downloads) |
Synopsis The Capital Asset Pricing Model in the 21st Century by : Haim Levy
"Project Theory and the classical models in finance (e.g., the CAPM) seemingly contradict each other, creating a teachin and a research dilemma to professors in finanace and econommics, This tension is particualrly strong for professors who teach both the CAPM and behavioral finance. This book bridges between Prospect Theory and the Classical Models in finance showing that there is no contradictions between them"--
Author |
: John H. Cochrane |
Publisher |
: Princeton University Press |
Total Pages |
: 560 |
Release |
: 2009-04-11 |
ISBN-10 |
: 9781400829132 |
ISBN-13 |
: 1400829135 |
Rating |
: 4/5 (32 Downloads) |
Synopsis Asset Pricing by : John H. Cochrane
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author |
: Claus Munk |
Publisher |
: Oxford University Press, USA |
Total Pages |
: 598 |
Release |
: 2013-04-18 |
ISBN-10 |
: 9780199585496 |
ISBN-13 |
: 0199585490 |
Rating |
: 4/5 (96 Downloads) |
Synopsis Financial Asset Pricing Theory by : Claus Munk
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Author |
: Thomas Mazzoni |
Publisher |
: Cambridge University Press |
Total Pages |
: 599 |
Release |
: 2018-03-29 |
ISBN-10 |
: 9781108419574 |
ISBN-13 |
: 1108419577 |
Rating |
: 4/5 (74 Downloads) |
Synopsis A First Course in Quantitative Finance by : Thomas Mazzoni
Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.
Author |
: William F. Sharpe |
Publisher |
: McGraw-Hill Companies |
Total Pages |
: 0 |
Release |
: 2000 |
ISBN-10 |
: 0071353208 |
ISBN-13 |
: 9780071353205 |
Rating |
: 4/5 (08 Downloads) |
Synopsis Portfolio Theory and Capital Markets by : William F. Sharpe
"Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author |
: Thomas Piketty |
Publisher |
: Harvard University Press |
Total Pages |
: 817 |
Release |
: 2017-08-14 |
ISBN-10 |
: 9780674979857 |
ISBN-13 |
: 0674979850 |
Rating |
: 4/5 (57 Downloads) |
Synopsis Capital in the Twenty-First Century by : Thomas Piketty
What are the grand dynamics that drive the accumulation and distribution of capital? Questions about the long-term evolution of inequality, the concentration of wealth, and the prospects for economic growth lie at the heart of political economy. But satisfactory answers have been hard to find for lack of adequate data and clear guiding theories. In this work the author analyzes a unique collection of data from twenty countries, ranging as far back as the eighteenth century, to uncover key economic and social patterns. His findings transform debate and set the agenda for the next generation of thought about wealth and inequality. He shows that modern economic growth and the diffusion of knowledge have allowed us to avoid inequalities on the apocalyptic scale predicted by Karl Marx. But we have not modified the deep structures of capital and inequality as much as we thought in the optimistic decades following World War II. The main driver of inequality--the tendency of returns on capital to exceed the rate of economic growth--today threatens to generate extreme inequalities that stir discontent and undermine democratic values if political action is not taken. But economic trends are not acts of God. Political action has curbed dangerous inequalities in the past, the author says, and may do so again. This original work reorients our understanding of economic history and confronts us with sobering lessons for today.
Author |
: Seth Armitage |
Publisher |
: Cambridge University Press |
Total Pages |
: 380 |
Release |
: 2005-03-17 |
ISBN-10 |
: 0521000440 |
ISBN-13 |
: 9780521000444 |
Rating |
: 4/5 (40 Downloads) |
Synopsis The Cost of Capital by : Seth Armitage
A thorough exposition of the theory relating to the cost of capital.
Author |
: Costis Skiadas |
Publisher |
: Princeton University Press |
Total Pages |
: 363 |
Release |
: 2009-02-09 |
ISBN-10 |
: 9781400830145 |
ISBN-13 |
: 1400830141 |
Rating |
: 4/5 (45 Downloads) |
Synopsis Asset Pricing Theory by : Costis Skiadas
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises