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Global Stock Markets - Wolfgang Drobetz
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Wolfgang Drobetz:

Global Stock Markets - neues Buch

ISBN: 9783824472727

ID: 2e7a9f08f475b377a82f75bdd17a6f06

Expected returns, consumption, and the business cycle. Diss. Whit a forew. by Heinz Zimmermann "While the state-preference approach is perhaps more general than the mean­ variance approach and provides an elegant framework for investigating theo­ retical issues, it is unfortunately difficult to give it empirical content. " I The state of the art in asset pricing has substantially changed over the past years. While the seminal CAPM represents an equilibrium model derived under rather restrictive assumptions on preferences or return distributions and places a lot of emphasis on the efficiency of a somehow arbitrary market portfolio, subsequent models were much less restrictive with respect to the underlying economic struc­ ture. For example, the arbitrage pricing theory maintains the linear relationship between risk and return simply by assuming the absence of arbitrage profits. While empirically more tractable than the CAPM, the main drawback of arbitrage pricing models is that they do not provide much insight into the economic and dynamic nature of risk premia. The "conditional" CAPM provides an elegant econometric framework to characterize how changing economic conditions de­ termine the variability of multiple risk premia. However, this framework still re­ quires some rather ad-hoc assumptions about the economic nature of the pricing kernel. An ingenious next step in asset pricing modeling was therefore to revert the question to be addressed. Instead of placing strong restrictions on distribu­ tions and preferences, observed returns are used to derive restrictions which must be imposed on the stochastic properties of the pricing kernel. A simple Euler-type equation is typically used to characterize that approach. Bücher / Fremdsprachige Bücher / Englische Bücher 978-3-8244-7272-7, Deutscher Universitätsverlag

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Global Stock Markets - Wolfgang Drobetz
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)

Wolfgang Drobetz:

Global Stock Markets - neues Buch

ISBN: 9783824472727

ID: 155765497

While the state-preference approach is perhaps more general than the mean­ variance approach and provides an elegant framework for investigating theo­ retical issues, it is unfortunately difficult to give it empirical content. ´´ I The state of the art in asset pricing has substantially changed over the past years. While the seminal CAPM represents an equilibrium model derived under rather restrictive assumptions on preferences or return distributions and places a lot of emphasis on the efficiency of a somehow arbitrary market portfolio, subsequent models were much less restrictive with respect to the underlying economic struc­ ture. For example, the arbitrage pricing theory maintains the linear relationship between risk and return simply by assuming the absence of arbitrage profits. While empirically more tractable than the CAPM, the main drawback of arbitrage pricing models is that they do not provide much insight into the economic and dynamic nature of risk premia. The ´´conditional´´ CAPM provides an elegant econometric framework to characterize how changing economic conditions de­ termine the variability of multiple risk premia. However, this framework still re­ quires some rather ad-hoc assumptions about the economic nature of the pricing kernel. An ingenious next step in asset pricing modeling was therefore to revert the question to be addressed. Instead of placing strong restrictions on distribu­ tions and preferences, observed returns are used to derive restrictions which must be imposed on the stochastic properties of the pricing kernel. A simple Euler-type equation is typically used to characterize that approach. Expected returns, consumption, and the business cycle. Diss. Whit a forew. by Heinz Zimmermann Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, Deutscher Universitätsverlag

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Global Stock Markets - Wolfgang Drobetz
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Wolfgang Drobetz:
Global Stock Markets - neues Buch

ISBN: 9783824472727

ID: 31202936

While the state-preference approach is perhaps more general than the mean­ variance approach and provides an elegant framework for investigating theo­ retical issues, it is unfortunately difficult to give it empirical content. ´´ I The state of the art in asset pricing has substantially changed over the past years. While the seminal CAPM represents an equilibrium model derived under rather restrictive assumptions on preferences or return distributions and places a lot of emphasis on the efficiency of a somehow arbitrary market portfolio, subsequent models were much less restrictive with respect to the underlying economic struc­ ture. For example, the arbitrage pricing theory maintains the linear relationship between risk and return simply by assuming the absence of arbitrage profits. While empirically more tractable than the CAPM, the main drawback of arbitrage pricing models is that they do not provide much insight into the economic and dynamic nature of risk premia. The ´´conditional´´ CAPM provides an elegant econometric framework to characterize how changing economic conditions de­ termine the variability of multiple risk premia. However, this framework still re­ quires some rather ad-hoc assumptions about the economic nature of the pricing kernel. An ingenious next step in asset pricing modeling was therefore to revert the question to be addressed. Instead of placing strong restrictions on distribu­ tions and preferences, observed returns are used to derive restrictions which must be imposed on the stochastic properties of the pricing kernel. A simple Euler-type equation is typically used to characterize that approach. Expected returns, consumption, and the business cycle. Diss. Whit a forew. by Heinz Zimmermann Buch (fremdspr.) Bücher>Fachbücher>Wirtschaft, Deutscher Universitätsverlag

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Gabler Edition Wissenschaft: Global Stock Markets - Expected returns, consumption, and the business cycle. Diss. Whit a forew. by Heinz Zimmermann
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Gabler Edition Wissenschaft: Global Stock Markets - Expected returns, consumption, and the business cycle. Diss. Whit a forew. by Heinz Zimmermann - Taschenbuch

2000, ISBN: 9783824472727

[ED: Taschenbuch / Paperback], [PU: Deutscher Universitätsverlag Gabler], AUSFÜHRLICHERE BESCHREIBUNG: Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of global stock portfolios successfully. Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle: If the time variation in expected returns is rational, driven by shocks to taste or technology, the variation in expected returns should be related to variation in consumption, investment and savings. Testing both stochastic discount factor models and beta pricing models, the author finds that predictability of stock returns is perfectly consistent with the concept of market efficiency and stock prices need not follow a random walk. Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle. INHALT: Time varying expected returns and the business cycle on international financial markets - Testing a conditional version of the consumption-based asset pricing model - Volatility bounds for stochastic discount factors on global financial markets - Mean reversion and rational pricing on global stock markets, [SC: 0.00], Neuware, gewerbliches Angebot, 229 mm, [GW: 450g]

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Global Stock Markets: Expected Returns, Consumption, and the Business Cycle - Wolfgang Drobetz
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Wolfgang Drobetz:
Global Stock Markets: Expected Returns, Consumption, and the Business Cycle - Taschenbuch

2013, ISBN: 3824472724

[SR: 1005480], Taschenbuch, [EAN: 9783824472727], Deutscher Universitäts-Verlag, Deutscher Universitäts-Verlag, Book, [PU: Deutscher Universitäts-Verlag], 2013-10-04, Deutscher Universitäts-Verlag, 58319011, Marketing, 1322114031, Direkt, 58325011, Forschung, 1322115031, Industriell, 58323011, Multilevel, 1322116031, Produktmanagement, 1322117031, Telemarketing, 58278011, Web Marketing, 58288011, Weltweit, 58316011, Marketing & Verkauf, 58173011, Business, Karriere & Geld, 54071011, Genres, 52044011, Fremdsprachige Bücher, 1322120031, Einkauf & Handel, 58348011, Nachschlagewerke, 58173011, Business, Karriere & Geld, 54071011, Genres, 52044011, Fremdsprachige Bücher

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Global Stock Markets
Autor:

Wolfgang Drobetz

Titel:

Global Stock Markets

ISBN-Nummer:

3824472724

Detailangaben zum Buch - Global Stock Markets


EAN (ISBN-13): 9783824472727
ISBN (ISBN-10): 3824472724
Taschenbuch
Erscheinungsjahr: 2000
Herausgeber: Deutscher Universitatsverlag

Buch in der Datenbank seit 25.10.2007 23:08:40
Buch zuletzt gefunden am 14.11.2016 12:39:40
ISBN/EAN: 3824472724

ISBN - alternative Schreibweisen:
3-8244-7272-4, 978-3-8244-7272-7

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