Asset Pricing Under Asymmetric Information

Author : Markus Konrad Brunnermeier
Publisher : Oxford University Press, USA
Page : 264 pages
File Size : 46,7 Mb
Release : 2001
Category : Business & Economics
ISBN : 0198296983

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Asset Pricing Under Asymmetric Information by Markus Konrad Brunnermeier Pdf

The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.

Author : Anonim
Publisher : Unknown
Page : 0 pages
File Size : 44,9 Mb
Release : 2001
Category : Electronic
ISBN : OCLC:475412170

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Asset Pricing Under Asymmetric Information by Anonim Pdf

Author : Markus Konrad Brunnermeier
Publisher : Unknown
Page : 244 pages
File Size : 43,5 Mb
Release : 2001
Category : Capital assets pricing model
ISBN : 0191596027

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Asset Pricing Under Asymmetric Information by Markus Konrad Brunnermeier Pdf

The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing major models.

Author : Jiang Wang
Publisher : Forgotten Books
Page : 76 pages
File Size : 51,6 Mb
Release : 2018-02-23
Category : Business & Economics
ISBN : 066622336X

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A Model of Intertemporal Asset Prices Under Asymmetric Information (Classic Reprint) by Jiang Wang Pdf

Excerpt from A Model of Intertemporal Asset Prices Under Asymmetric Information We explore the implications of our model for the behavior of stock prices, risk premia, price volatility, autocorrelation in stock returns and investors' trading strategies. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Author : Jiang Wang,Sloan School of Management
Publisher : Andesite Press
Page : 80 pages
File Size : 43,8 Mb
Release : 2015-08-09
Category : Electronic
ISBN : 1298615364

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A Model of Intertemporal Asset Prices Under Asymmetric Information by Jiang Wang,Sloan School of Management Pdf

This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Author : Kerry Back
Publisher : Oxford University Press
Page : 504 pages
File Size : 43,8 Mb
Release : 2010-09-10
Category : Business & Economics
ISBN : 9780199939077

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Asset Pricing and Portfolio Choice Theory by Kerry Back Pdf

In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.

Author : Willi Semmler
Publisher : Springer Science & Business Media
Page : 249 pages
File Size : 52,7 Mb
Release : 2007-03-21
Category : Business & Economics
ISBN : 9783540246961

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Asset Prices, Booms and Recessions by Willi Semmler Pdf

"Asset Prices, Booms and Recessions" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market. Economic activity is described by the activity of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is on theories, dynamic models and empirical evidence. Empirical applications relate to episodes of financial instability and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The current version of the book has moved to a more extensive coverage of the topics in financial economics by updating the literature in the appropriate chapters. Moreover it gives a more extensive treatment of new and more advanced topics in financial economics such as international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and dynamic portfolio decisions. Overall, the book presents material that researchers and practitioners in financial engineering need to know about economic dynamics and that economists, practitioners and policy makers need to know about the financial market.

Author : J. Black,I. Tonks,London School of Economics and Political Science. Financial Markets Group
Publisher : Unknown
Page : 128 pages
File Size : 46,6 Mb
Release : 1988
Category : Economics
ISBN : OCLC:59754358

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Asset Price Variability Under Asymmetric Information by J. Black,I. Tonks,London School of Economics and Political Science. Financial Markets Group Pdf

Author : Darrell Duffie
Publisher : Princeton University Press
Page : 115 pages
File Size : 40,8 Mb
Release : 2012-01-08
Category : Business & Economics
ISBN : 9780691138961

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Dark Markets by Darrell Duffie Pdf

This book offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field.

Author : Spyros Pagratis
Publisher : Unknown
Page : 364 pages
File Size : 45,6 Mb
Release : 2005
Category : Electronic
ISBN : OCLC:940149669

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Asymmetric information in financial economics by Spyros Pagratis Pdf

Author : Emmanuel Jurczenko,Bertrand Maillet
Publisher : John Wiley & Sons
Page : 274 pages
File Size : 44,8 Mb
Release : 2006-10-27
Category : Business & Economics
ISBN : IND:30000109854491

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Multi-moment Asset Allocation and Pricing Models by Emmanuel Jurczenko,Bertrand Maillet Pdf

While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Author : R. Glenn Hubbard
Publisher : University of Chicago Press
Page : 354 pages
File Size : 43,7 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780226355948

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Asymmetric Information, Corporate Finance, and Investment by R. Glenn Hubbard Pdf

In this volume, specialists from traditionally separate areas in economics and finance investigate issues at the conjunction of their fields. They argue that financial decisions of the firm can affect real economic activity—and this is true for enough firms and consumers to have significant aggregate economic effects. They demonstrate that important differences—asymmetries—in access to information between "borrowers" and "lenders" ("insiders" and "outsiders") in financial transactions affect investment decisions of firms and the organization of financial markets. The original research emphasizes the role of information problems in explaining empirically important links between internal finance and investment, as well as their role in accounting for observed variations in mechanisms for corporate control.

Author : Darrell Duffie
Publisher : Princeton University Press
Page : 114 pages
File Size : 53,9 Mb
Release : 2011-12-19
Category : Business & Economics
ISBN : 9781400840519

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Dark Markets by Darrell Duffie Pdf

A concise introduction to modeling over-the-counter markets Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market. In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. Dark Markets offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field. Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents. He gives an overview of asset pricing in OTC markets with symmetric and asymmetric information, showing how information percolates through these markets as investors encounter each other over time. This book also features appendixes containing methodologies supporting the more theory-oriented of the chapters, making this the most self-contained introduction to OTC markets available.

Author : Steve L. Slezak
Publisher : Unknown
Page : 52 pages
File Size : 48,9 Mb
Release : 1992
Category : Stock exchanges
ISBN : IND:30000106667516

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The Behavior of Asset Return Moments with Asymmetric Information, Price Taking and Risk Aversion by Steve L. Slezak Pdf

Author : George Gaetano Pennacchi
Publisher : Addison-Wesley Longman
Page : 0 pages
File Size : 42,5 Mb
Release : 2008
Category : Capital assets pricing model
ISBN : 032112720X

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Theory of Asset Pricing by George Gaetano Pennacchi Pdf

Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing. By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that does not require a high level of mathematical complexity.