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eISBN : 9780262351300

Sommaire :
Introduction

I INTRODUCTION TO EMPIRICAL ASSET PRICING
1 Stochastic Discount Factors and m-Talk
2 State Pricing
3 Maximization and the m-Talk Euler Equation
4 Expected Risk Premiums and Alphas
5 So Many Models, So Little Time
6 Applications of m-Talk
7 Three Paradigms of Empirical Asset Pricing

II MEAN VARIANCE MODELS
8 Mean Variance Analysis
9 Mean Variance Efficiency with Conditioning Information
10 Variance Bounds
11 Variance Bounds with Conditioning Information

III MULTIBETA PRICING
12 Arbitrage Pricing and Factor Analysis
13 Multibeta Equilibrium Models
14 Multibeta Models with Conditioning Information

IV EMPIRICAL ASSET PRICING TOOLS
15 Introduction to the Generalized Method of Moments
16 GMM Implementation
17 Covariance Matrices for the GMM
18 GMM Tests
19 Advanced GMM
20 GMM Examples
21 Multivariate Regression Methods
22 Cross-Sectional Regression
23 Introduction to Panel Methods
24 Bootstrap Methods and Multiple Comparisons

V INVESTMENT PERFORMANCE EVALUATION
25 Classical Investment Performance Evaluation
26 Conditional Performance Evaluation
27 Term Structure and Bond Fund Performance
28 Investment Performance Evaluation: A Modern Perspective

VI SELECTED TOPICS
29 Production-Based Asset Pricing
30 The Campbell-Shiller Approximation and Vector Autoregressions
31 Long-Run Risk Models
32 Predictability: An Overview
33 Characteristics versus Covariances
34 Volatility and the Cross Section of Stock Returns

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque