Information Structure And Equilibrium Asset Prices Classic Reprint

Author : Chi-Fu Huang
Publisher : Forgotten Books
Page : 62 pages
File Size : 44,6 Mb
Release : 2018-02-07
Category : Mathematics
ISBN : 0483264679

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Information Structure and Equilibrium Asset Prices (Classic Reprint) by Chi-Fu Huang Pdf

Excerpt from Information Structure and Equilibrium Asset Prices All the results in this paper are valid if agents are endowed with different probability measures on provided each agent's endowed probability measure is equivalent to P. Two probability measures on the measurable space are said to be equivalent if they have the same null sets. For expository purpose, however, we shall assume that agents are endowed with a common probability measure P. 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 : Lü-weng Huang,Sloan School of Management
Publisher : Unknown
Page : 51 pages
File Size : 55,7 Mb
Release : 1984
Category : Information theory in mathematics
ISBN : OCLC:15467583

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Information Structure and Equilibrium Asset Prices by Lü-weng Huang,Sloan School of Management Pdf

Author : Chi-Fu Huang,Sloan School of Management
Publisher : Palala Press
Page : 64 pages
File Size : 52,9 Mb
Release : 2015-09-09
Category : Electronic
ISBN : 1342069854

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Information Structure and Equilibrium Asset Prices by Chi-Fu Huang,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 : Jiang Wang
Publisher : Forgotten Books
Page : 76 pages
File Size : 55,5 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 : Markus K. Brunnermeier
Publisher : OUP Oxford
Page : 262 pages
File Size : 53,7 Mb
Release : 2001-01-25
Category : Business & Economics
ISBN : 9780191606922

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Asset Pricing under Asymmetric Information by Markus K. Brunnermeier Pdf

Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's information by analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information. It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated. The remainder of the survey is devoted to contrasting different market microstructure models that demonstrate how asymmetric information affects asset prices and traders' information , which provide a theoretical explanation for technical analysis and illustrate why some investors "chase the trend." The reader is then introduced to herding models and informational cascades, which can arise in a setting where agents' decision-making is sequential. The insights derived from herding models are used to provide rational explanations for stock market crashes. Models in which all traders are induced to search for the same piece of information are then presented to provide a deeper insight into Keynes' comparison of the stock market with a beauty contest. The book concludes with a brief summary of bank runs and their connection to financial crises.

Author : Terry A. Marsh
Publisher : Forgotten Books
Page : 44 pages
File Size : 49,7 Mb
Release : 2018-02-23
Category : Mathematics
ISBN : 0666234272

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Asset Pricing Model Specification and the Term Structure Evidence (Classic Reprint) by Terry A. Marsh Pdf

Excerpt from Asset Pricing Model Specification and the Term Structure Evidence Fisher (1930) presented a comprehensive analysis of the determinants of interest rates under certainty, but stopped short of any real efforts to extend his results to a world in which the return streams generated by capital assets are uncertain. Such an extension requires a tractable model for defining and pricing the differences across assets with respect to the uncertainty of their returns. Sharpe Lintner Mossin and Black (1972) all showed that an equilibrium in which investors hold mean-variance efficient portfolios, as they will do if asset returns are normally distributed and/or if their utility functions are quadratic [tobin implies that a capital asset pricing model (capm) describes the risk and return characteristics of all assets. 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 : Philippe Aghion,Roman Frydman,Joseph E. Stiglitz,Michael Woodford
Publisher : Princeton University Press
Page : 128 pages
File Size : 42,9 Mb
Release : 2021-01-12
Category : Business & Economics
ISBN : 9780691223933

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Knowledge, Information, and Expectations in Modern Macroeconomics by Philippe Aghion,Roman Frydman,Joseph E. Stiglitz,Michael Woodford Pdf

Macroeconomics would not be what it is today without Edmund Phelps. This book assembles the field's leading figures to highlight the continuing influence of his ideas from the past four decades. Addressing the most important current debates in macroeconomic theory, it focuses on the rates at which new technologies arise and information about markets is dispersed, information imperfections, and the heterogeneity of beliefs as determinants of an economy's performance. The contributions, which represent a breadth of contemporary theoretical approaches, cover topics including the real effects of monetary disturbances, difficulties in expectations formation, structural factors in unemployment, and sources of technical progress. Based on an October 2001 conference honoring Phelps, this incomparable volume provides the most comprehensive and authoritative account in years of the present state of macroeconomics while also pointing to its future. The fifteen chapters are by the editors and by Daron Acemoglu, Jess Benhabib, Guillermo A. Calvo, Oya Celasun, Michael D. Goldberg, Bruce Greenwald, James J. Heckman, Bart Hobijn, Peter Howitt, Hehui Jin, Charles I. Jones, Michael Kumhof, Mordecai Kurz, David Laibson, Lars Ljungqvist, N. Gregory Mankiw, Dale T. Mortensen, Maurizio Motolese, Stephen Nickell, Luca Nunziata, Wolfgang Ochel, Christopher A. Pissarides, Glenda Quintini, Ricardo Reis, Andrea Repetto, Thomas J. Sargent, Jeremy Tobacman, and Gianluca Violante. Commenting are Olivier J. Blanchard, Jean-Paul Fitoussi, Mark Gertler, Robert E. Hall, Robert E. Lucas, Jr., David H. Papell, Robert A. Pollak, Robert M. Solow, Nancy L. Stokey, and Lars E. O. Svensson. Also included are reflections by Phelps, a preface by Paul A. Samuelson, and the editors' introduction.

Author : Emilio Barucci
Publisher : Springer Science & Business Media
Page : 488 pages
File Size : 41,7 Mb
Release : 2002-12-11
Category : Business & Economics
ISBN : 185233469X

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Financial Markets Theory by Emilio Barucci Pdf

A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.

Author : Gregory William Huffman,University of Western Ontario. Department of Economics
Publisher : London : Department of Economics, University of Western Ontario
Page : 44 pages
File Size : 54,8 Mb
Release : 1991
Category : Capital
ISBN : UCSD:31822007649403

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The Role of Transaction Volume in Producing Information about Asset Prices by Gregory William Huffman,University of Western Ontario. Department of Economics Pdf

Author : John H. Cochrane
Publisher : Princeton University Press
Page : 560 pages
File Size : 43,8 Mb
Release : 2009-04-11
Category : Business & Economics
ISBN : 9781400829132

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Asset Pricing by John H. Cochrane Pdf

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 : Fernando Restoy
Publisher : Unknown
Page : 26 pages
File Size : 42,5 Mb
Release : 1998
Category : Assets (Accounting)
ISBN : OCLC:39693044

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Approximate Equilibrium Asset Prices by Fernando Restoy Pdf

Author : Terry A. Marsh
Publisher : Forgotten Books
Page : 66 pages
File Size : 42,7 Mb
Release : 2018-02-04
Category : Mathematics
ISBN : 0267778171

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Capital Asset Pricing Model Tests in a Term Structure Context (Classic Reprint) by Terry A. Marsh Pdf

Excerpt from Capital Asset Pricing Model Tests in a Term Structure Context The stochastic beta model under the second interpretation of (1) includes the stable beta as a special case; i.e., it nests the stable beta model. Additionally, it will be shown that the stable beta model (1) nests the traditional capm. The rationale for nesting models in this manner is that it takes a model to beat a model, so that tests are best structured to focus on the incremental explanatory power of the increasingly more elaborate models. Indeed, outside this nested hypothesis framework, it is not clear what it even means to reject (say) the traditional capm against a general unspecified alternative. 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 : Emmanuel Haven,Andrei Khrennikov
Publisher : Springer
Page : 377 pages
File Size : 54,8 Mb
Release : 2017-02-06
Category : Business & Economics
ISBN : 9781137492760

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The Palgrave Handbook of Quantum Models in Social Science by Emmanuel Haven,Andrei Khrennikov Pdf

It is not intuitive to accept that there exists a link between quantum physical systems and cognitive systems. However, recent research has shown that cognitive systems and collective (social) systems, including biology, exhibit uncertainty which can be successfully modelled with quantum probability. The use of such probability allows for the modelling of situations which typically violate the laws of classical probability. The Palgrave Handbook of Quantum Models in Social Science is is a unique volume that brings together contributions from leading experts on key topics in this new and emerging field. Completely self-contained, it begins with an introductory section which gathers all the fundamental notions required to be able to understand later chapters. The handbook then moves on to address some of the latest research and applications for quantum methods in social science disciplines, including economics, politics and psychology. It begins with the issue of how the quantum mechanical framework can be applied to economics. Chapters devoted to this topic range from how Fisher information can be argued to play a role in economics, to the foundations and application of quantum game theory. The handbook then progresses in considering how belief states can be updated with the theory of quantum measurements (and also with more general methods). The practical use of the Hilbert space (and Fock space) in decision theory is then introduced, and open quantum systems are also considered. The handbook also treats a model of neural oscillators that reproduces some of the features of quantum cognition. Other contributions delve into causal reasoning using quantum Bayes nets and the role of quantum probability in modelling so called affective evaluation. The handbook is rounded off with two chapters which discuss the grand challenges which lie ahead of us. How can the quantum formalism be justified in social science and is the traditional quantum formalism too restrictive? Finally, a question is posed: whether there is a necessary role for quantum mathematical models to go beyond physics. This book will bring the latest and most cutting edge research on quantum theory to social science disciplines. Students and researchers across the discipline, as well as those in the fields of physics and mathematics will welcome this important addition to the literature.

Author : Torsten Persson
Publisher : World Scientific
Page : 382 pages
File Size : 43,7 Mb
Release : 2003
Category : Business & Economics
ISBN : 9810249616

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Economic Sciences, 1996-2000 by Torsten Persson Pdf

Below is a list of the prizewinners during the period 1996 ? 2000 with a description of the works which won them their prizes: (1996) J A MIRRLEES & W S VICKREY ? for their fundamental contributions to the economic theory of incentives under asymmetric information; (1997) R C MERTON & M A SCHOLES ? for a new method to determine the value of derivatives; (1998) A K SEN ? for his contributions to welfare economics; (1999) R A MUNDELL ? for his analysis of monetary and fiscal policy under different exchange rate regimes and his analysis of optimum currency areas; (2000) J J HECKMAN ? for his development of theory and methods for analyzing selective samples & D L McFADDEN ? for his development of theory and methods for analyzing discrete choice.

Author : Thorsten Hens,Klaus Reiner Schenk-Hoppe
Publisher : Elsevier
Page : 607 pages
File Size : 47,5 Mb
Release : 2009-06-12
Category : Business & Economics
ISBN : 9780080921433

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Handbook of Financial Markets: Dynamics and Evolution by Thorsten Hens,Klaus Reiner Schenk-Hoppe Pdf

The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics