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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… Read more
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Graduate students and professors worldwide working in all subdisciplines of economics and finance
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
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