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Sommaire : Contents of volume 1B
Introducton to the series
Contents of the handbook
Preface
Financial markets and asset pricing
Chapter 10 Arbitrage, state prices and portfolio theory
Abstract
Keywords
1. Introduction
2. Portfolio problems
3. Absence of arbitrage and preference-free results
4. Various analyses: Arrow–Debreu world
5. Capital asset pricing model (CAPM)
6. Mutual fund separation theory
7. Arbitrage pricing theory (APT)
8. Conclusion
References
Chapter 11 Intertemporal Asset Pricing Theory
Abstract
Keywords
1. Introduction
2. Basic theory
2.1. Setup
3. Continuous-time modeling
4. Term-structure models
5. Derivative pricing
6. Corporate securities
References
Chapter 12 Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
Abstract
Keywords
1. Introduction
2. Multifactor asset-pricing models: review and integration
3. Modern variance bounds
4. Methodology and tests of multifactor asset-pricing models
5. Conditional performance evaluation
6. Conclusions
References
Chapter 13 Consumption-Based Asset Pricing
Abstract
Keywords
1. Introduction
2. International stock market data
3. The equity premium puzzle
4. The dynamics of asset returns and consumption
5. Cyclical variation in the price of risk
6. Some implications for macroeconomics
References
Chapter 14 The Equity Premium in Retrospect
Abstract
Keywords
1. Introduction
2. The equity premium: history
3. Is the equity premium due to a premium for bearing non-diversifiable risk?
4. Is the equity premium due to borrowing constraints, a liquidity premium or taxes?
5. An equity premium in the future?
Appendix A
Appendix B. The original analysis of the equity premium puzzle
B.1. The economy, asset prices and returns
References
Chapter 15 Anomalies and Market Efficiency
Abstract
Keywords
1. Introduction
2. Selected empirical regularities
3. Returns to different types of investors
4. Long-run returns
4.1. Returns to firms issuing equity
5. Implications for asset pricing
6. Implications for corporate finance
6.1. Firm size and liquidity
7. Conclusions
References
Chapter 16 Are Financial Assets Priced Locally or Globally?
Abstract
Keywords
1. Introduction
2. The perfect financial markets model
3. Home bias
4. Flows, spillovers, and contagion
5. Conclusion
References
Chapter 17 Microstructure and Asset Pricing
Abstract
Keywords
1. Introduction
2. Equilibrium asset pricing
3. Asset pricing in the short-run
4. Asset pricing in the long-run
5. Linking microstructure and asset pricing: puzzles for researchers
References
Chapter 18 A Survey of Behavioral Finance
Abstract
Keywords
1. Introduction
2. Limits to arbitrage
3. Psychology
4. Application: The aggregate stock market
5. Application: The cross-section of average returns
6. Application: Closed-end funds and comovement
7. Application: Investor behavior
8. Application: Corporate finance
9. Conclusion
Appendix A
References
Finance, Optimization, and the Irreducibly Irrational Component of Human Behavior
Chapter 19 Derivatives
Abstract
Keywords
1. Introduction
2. Background
3. No-arbitrage pricing relations
4. Option valuation
5. Studies of no-arbitrage price relations
6. Studies of option valuation models
7. Social costs/benefits of derivatives trading
8. Summary
References
Chapter 20 Fixed-Income Pricing
Abstract
Keywords
1. Introduction
2. Fixed-income pricing in a diffusion setting
3. Dynamic term-structure models for default-free bonds
4. Dynamic term-structure models with jump diffusions
5. Dynamic term-structure models with regime shifts
6. Dynamic term-structure models with rating migrations
7. Pricing of fixed-income derivatives
References
Subject index

Langue : Anglais

Edition : 2ème

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque