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Overview"""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." Full Product DetailsAuthor: Wolfgang DrobetzPublisher: Deutscher Universitats-Verlag Imprint: Deutscher Universitats-Verlag Edition: 2000 ed. Dimensions: Width: 15.20cm , Height: 1.90cm , Length: 22.90cm Weight: 0.521kg ISBN: 9783824472727ISBN 10: 3824472724 Pages: 332 Publication Date: 30 October 2000 Audience: Professional and scholarly , Professional & Vocational Format: Paperback Publisher's Status: Active Availability: Manufactured on demand We will order this item for you from a manufactured on demand supplier. Language: English Table of Contents1 Introduction.- 2 Theory of asset pricing.- 3 Theory of international asset pricing.- 4 Time varying expected returns and the business cycle on international financial markets.- 5 Testing a conditional version of the consumption-based asset pricing model.- 6 Volatility bounds for stochastic discount factors on global financial markets.- 7 Mean reversion and rational pricing on global stock markets.- 8 On the contributions of this study.ReviewsAuthor InformationDr. Wolfgang Drobetz ist Assistent am Schweizerischen Institut für Banken und Finanzen der Universität St. Gallen, wo er bei Prof. Dr. Heinz Zimmermann promovierte. Tab Content 6Author Website:Countries AvailableAll regions |