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Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
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Handbook of the Economics of Finance
Financial Markets and Asset Pricing
Authors: G. Constantinides, Rene M. Stulz, M. Harris Publisher: Elsevier Science Publication date: 2003 Publication language: Angielski Number of pages: 698 Publication formats: EAN: 9780080495088 ISBN: 9780080495088 Category: Investment & securities Publisher's index: S1574-0102(03)X0256-3 Bibliographic note: -
TOC
- Cover 2
- Handbook of the Economics of Finance 5
- Copyright Page 6
- Introduction to the Series 7
- Contents of the Handbook 9
- Preface 11
- TOC$Contents of Volume 1B 19
-
CH$Chapter 10. Arbitrage, State Prices and Portfolio Theory
29
- Abstract 30
- Keywords 30
- 2. Portfolio problems 31
- 1. Introduction 31
- 3. Absence of arbitrage and preference-free results 36
- 4. Various analyses: Arrow–Debreu world 42
- 5. Capital asset pricing model (CAPM) 48
- Cover 2
- Handbook of the Economics of Finance 5
- Copyright Page 6
- Introduction to the Series 7
- Contents of the Handbook 9
- Preface 11
- TOC$Contents of Volume 1B 19
-
CH$Chapter 10. Arbitrage, State Prices and Portfolio Theory
29
- Abstract 30
- Keywords 30
- 2. Portfolio problems 31
- 1. Introduction 31
- 3. Absence of arbitrage and preference-free results 36
- 4. Various analyses: Arrow–Debreu world 42
- 5. Capital asset pricing model (CAPM) 48
- 6. Mutual fund separation theory 53
- 7. Arbitrage pricing theory (APT) 57
- 8. Conclusion 58
- References 58
-
CH$Chapter 11. Intertemporal Asset Pricing Theory
63
- Keywords 65
- Abstract 65
- 1. Introduction 66
- 2. Basic theory 66
- 3. Continuous-time modeling 85
- 4. Term-structure models 110
- 5. Derivative pricing 126
- 6. Corporate securities 135
- References 149
-
CH$Chapter 12. Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
167
- Abstract 169
- Keywords 169
- 1. Introduction 170
- 2. Multifactor asset-pricing models: Review and integration 172
- 3. Modern variance bounds 192
- 4. Methodology and tests of multifactor asset-pricing models 198
- 5. Conditional performance evaluation 209
- 6. Conclusions 218
- References 219
-
CH$Chapter 13. Consumption-Based Asset Pricing
227
- Abstract 228
- Keywords 228
- 1. Introduction 229
- 2. International stock market data 234
- 3. The equity premium puzzle 240
- 4. The dynamics of asset returns and consumption 256
- 5. Cyclical variation in the price of risk 290
- 6. Some implications for macroeconomics 303
- References 305
-
CH$Chapter 14. The Equity Premium in Retrospect
313
- Keywords 314
- Abstract 314
- 2. The equity premium: history 315
- 1. Introduction 315
- 3. Is the equity premium due to a premium for bearing non-diversifiable risk? 323
- 4. Is the equity premium due to borrowing constraints, a liquidity premium or taxes? 345
- 5. An equity premium in the future? 351
- Appendix A 352
- Appendix B. The original analysis of the equity premium puzzle 354
- References 359
-
CH$Chapter 15. Anomalies and Market Efficiency
363
- Abstract 365
- Keywords 365
- 1. Introduction 366
- 2. Selected empirical regularities 367
- 3. Returns to different types of investors 380
- 4. Long-run returns 385
- 5. Implications for asset pricing 390
- 6. Implications for corporate finance 392
- 7. Conclusions 394
- References 394
-
CH$Chapter 16. Are Financial Assets Priced Locally or Globally?
399
- Abstract 400
- Keywords 400
- 1. Introduction 401
- 2. The perfect financial markets model 402
- 3. Home bias 421
- 4. Flows, spillovers, and contagion 428
- 5. Conclusion 438
- References 438
-
CH$Chapter 17. Microstructure and Asset Pricing
445
- Abstract 446
- Keywords 446
- 1. Introduction 447
- 2. Equilibrium asset pricing 448
- 3. Asset pricing in the short-run 449
- 4. Asset pricing in the long-run 459
- 5. Linking microstructure and asset pricing: puzzles for researchers 468
- References 471
-
CH$Chapter 18. A Survey of Behavioral Finance
477
- Keywords 478
- Abstract 478
- 1. Introduction 479
- 2. Limits to arbitrage 480
- 3. Psychology 489
- 4. Application: The aggregate stock market 499
- 5. Application: The cross-section of average returns 511
- 6. Application: Closed-end funds and comovement 522
- 7. Application: Investor behavior 525
- 8. Application: Corporate finance 530
- 9. Conclusion 537
- Appendix A 539
- References 540
- Finance, Optimization, and the Irreducibly Irrational Component of Human Behavior 549
-
CH$Chapter 19. Derivatives
553
- Abstract 555
- Keywords 555
- 1. Introduction 556
- 2. Background 557
- 3. No-arbitrage pricing relations 563
- 4. Option valuation 572
- 5. Studies of no-arbitrage price relations 590
- 6. Studies of option valuation models 597
- 7. Social costs/benefits of derivatives trading 613
- 8. Summary 622
- References 623
-
CH$Chapter 20. Fixed-Income Pricing
631
- Abstract 632
- Keywords 633
- 1. Introduction 633
- 2. Fixed-income pricing in a diffusion setting 634
- 3. Dynamic term-structure models for default-free bonds 639
- 4. Dynamic term-structure models with jump diffusions 646
- 5. Dynamic term-structure models with regime shifts 647
- 6. Dynamic term-structure models with rating migrations 649
- 7. Pricing of fixed-income derivatives 655
- References 666
- IDX$Subject Index 671
- Handbooks in Economics 696
- Forthcoming Titles 699