Handbook of the Economics of Finance

Asset Pricing

1st Edition, Volume 2B - December 19, 2012
Editors: George M. Constantinides, Milton Harris, Rene M. Stulz
Language: English
Paperback ISBN:
9 7 8 - 0 - 4 4 4 - 6 3 8 0 2 - 1
Hardback ISBN:
9 7 8 - 0 - 4 4 4 - 5 9 4 0 6 - 8
eBook ISBN:
9 7 8 - 0 - 4 4 4 - 5 9 4 7 3 - 0

The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard… Read more

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The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.

Introduction to the Series

Preface

VOLUME 2B Financial Markets and Asset Pricing

Chapter 12. Advances in Consumption-Based Asset Pricing: Empirical Tests

1 Introduction

2 Consumption-Based Models: Notation and Background

3 GMM and Consumption-Based Models

4 Euler Equation Errors and Consumption-Based Models

5 Scaled Consumption-Based Models

6 Asset Pricing with Recursive Preferences

7 Stochastic Consumption Volatility

8 Asset Pricing with Habits

9 Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation

10 Conclusion

References

Chapter 13. Bond Pricing and the Macroeconomy

1 Introduction

2 A Factor Model

3 No-Arbitrage Restrictions

4 The Variation of Yields with the Macroeconomy: US Evidence

5 Modeling Risk Premia

6 New Keynesian Models

7 Concluding Comments

References

Chapter 14. Investment Performance: A Review and Synthesis

1 Introduction

2 The Stochastic Discount Factor (SDF) Framework

3 Performance Measures

4 Implementation Issues and Empirical Examples

5 Fund Managers’ Incentives and Investor Behavior

6 Conclusions

References

Chapter 15. Mutual Funds

1 Introduction

2 Issues with Open-End Funds

3 Closed-End Funds

4 Exchange-Traded Funds (ETFs)

5 Conclusion

References

Chapter 16. Hedge Funds

1 The Hedge Fund Business Model—A Historical Perspective

2 Empirical Evidence of Hedge Fund Performance

3 The Risk in Hedge Fund Strategies

4 Where Do Investors Go From Here?

4.2 Risk Management and a Tale of Two Risks

References

Chapter 17. Financial Risk Measurement for Financial Risk Management

1 Introduction

2 Conditional Portfolio-Level Risk Analysis

3 Conditional Asset-Level Risk Analysis

4 Conditioning on Macroeconomic Fundamentals

5 Concluding Remarks

References

Chapter 18. Bubbles, Financial Crises, and Systemic Risk

1 Introduction

2 A Brief Historical Overview of Bubbles and Crises

3 Bubbles

4 Crises

5 Measuring Systemic Risk

6 Conclusion

References

Chapter 19. Market Liquidity—Theory and Empirical Evidence

1 Introduction

2 Theory

3 Empirical Evidence

4 Conclusion

References

Chapter 20. Credit Derivatives

1 Introduction

2 Risk-Neutral Default Probability Estimates

3 Physical Default Probability Estimates

4 Credit Default Swaps

5 Collateralized Debt Obligations

6 Credit Derivatives and the Crisis

7 Conclusions

References

Chapter 21. Household Finance: An Emerging Field

1 The Rise of Household Finance

2 Facts About Household Assets and Liabilities

3 Household Risk Preferences and Beliefs: What Do We Know?

4 Household Portfolio Decisions, from Normative Models to Observed Behavior

5 Household Borrowing Decisions

6 Conclusion

References

Chapter 22. The Behavior of Individual Investors

1 The Performance of Individual Investors

2 Why do Individual Investors Underperform?

3 The Disposition Effect: Selling Winners and Holding Losers

4 Reinforcement Learning

5 Attention: Chasing the Action

6 Failure to Diversify

7 Are Individual Investors Contrarians?

8 Conclusion

References

Chapter 23. Risk Pricing over Alternative Investment Horizons

1 Introduction

2 Stochastic Discount Factor Dynamics

3 Cash-Flow Pricing

4 Market Restrictions

5 Conclusions

References

Index

Life Sciences

Physical Sciences & Engineering

Social Sciences & Humanities

Health

Handbook of the Economics of Finance

Asset Pricing

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Institutional subscription on ScienceDirect

George M. Constantinides

Milton Harris

Rene M. Stulz