Redistribution with growth : policies to improve income distribution in devel…

Includes bibliography

The Concepts and practice of mathematical finance 2nd ed

An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black–Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the …

Time series data analysis : using eviews

Edisi

-

ISBN/ISSN

978047023675

Deskripsi Fisik

-

Judul Seri

-

No. Panggil

Tan 519. 55 Agu t

The Ecological detective : confronting models with data

.

A Model of Financialization of Commodities

We analyze how institutional investors entering commodity futures markets, referred to as the financialization of commodities, affect commodity prices. Institutional investors care about their performance relative to a commodity index. We find that all commodity futures prices, volatilities, and correlations go up with financialization, but more so for index futures than for nonindex futures. T…

Good-Specific Habit Formation and the Cross-Section of Expected Returns

I study asset prices in a general equilibrium framework in which agents form habits over individual varieties of goods rather than over an aggregate consumption bundle. Goods are produced by monopolistically competitive firms whose elasticities of demand depend on consumers' habit formation. Firms that produce goods with a high habit level relative to consumption have low demand elasticities, s…

The Economics of networks : interaction and behaviours

For economists, the concept of network refers both to the structure of agents’ interaction and to the economic property of positive externalities. So networks can be viewed both as a set of links that build the interaction among agents, and as a set of agents that adopt a similar behavior for different economic purposes.

Participation costs and the sensitivity of fund flows to past performance

We present a simple rational model to highlight the effect of investors' participation costs on the response of mutual fund flows to past fund performance. By incorporating participation costs into a model in which investors learn about managers' ability from past returns, we show that mutual funds with lower participation costs have a higher flow sensitivity to medium performance and a lower f…

Simple forecasts and paradigm shifts

We study the asset pricing implications of learning in an environment in which the true model of the world is a multivariate one, but agents update only over the class of simple univariate models. Thus, if a particular simple model does a poor job of forecasting over a period of time, it is discarded in favor of an alternative simple model. The theory yields a number of distinctive predictions …

The Underwriter persistence phenomenon

This study presents new evidence that initial IPO returns have persistent underwriter-specific components. These components cannot be explained by existing measures of underwriter quality, underwriter service, or controls for several known predictors of initial IPO returns. Tests that trace the roots of persistence most broadly support theories of asymmetric information among underwriters. I pr…

Giving content to investor sentiment: the role of media in the stock market

I quantitatively measure the interactions between the media and the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These and similar results are consistent with theoretical mode…

A Guide to econometrics 2nd ed

Includes bibliographies and index

A Guide to econometrics 4th ed

Includes bibliographies & index

The Econometrics of inflationary expectations

Edisi

-

ISBN/ISSN

0444862080

Deskripsi Fisik

xxii, 208 p. : ill. ; 26 cm.

Judul Seri

-

No. Panggil

332.410 28 Lah e

Prices, cycles, and growth

Includes bibliographies, index and tables

Microeconomics of banking

Includes bibliographies, index and tables

Investment valuation : tools and techniques for determining the value of any …

The definitive source of information on all topics related to investment valuation tools and techniques Valuation is at the heart of any investment decision, whether that decision is buy, sell or hold. But the pricing of many assets has become a more complex task in modern markets, especially after the recent financial crisis. In order to be successful at this endeavor, you must have a firm un…

Investment valuation : tools and techniques for determining the value of any …

Valuation is at the heart of any investment decision, whether that decision is buy, sell or hold. But the pricing of many assets has become a more complex task in modern markets, especially after the recent financial crisis. In order to be successful at this endeavor, you must have a firm understanding of the proper valuation techniques. One valuation book stands out as withstanding the test of…

Equity Term Structures without Dividend Strips Data

We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and a…

Putting the Price in Asset Pricing

We propose a novel way to estimate a portfolio's abnormal price, the percentage gap between price and the present value of dividends computed with a chosen asset pricing model. Our method, based on a novel identity, resembles the time-series estimator of abnormal returns, avoids the issues in alternative approaches, and clarifies the role of risk and mispricing in long-horizon returns. We apply…