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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- Explains how the 2008 financial crises affected theoretical and empirical research
- Covers core and newly developing fields
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
- No. of pages: 872
- Language: English
- Edition: 1
- Volume: 2B
- Published: December 19, 2012
- Imprint: North Holland
- Paperback ISBN: 9780444638021
- Hardback ISBN: 9780444594068
- eBook ISBN: 9780444594730
GC
George M. Constantinides
MH
Milton Harris
RS