'Asset pricing' diaporamas de présentation

Housing, consumption, and the economy: Why do house prices become misaligned, and what are the consequences?

Housing, consumption, and the economy: Why do house prices become misaligned, and what are the consequences? Andrew Farlow University of Oxford Department of Economics, and Oriel College Guest Lecture (with expanded post-lecture notes) The London Business School 2 June 2005

1.85k views • 140 slides

Chapter 3 Arbitrage and Financial Decision Making

Chapter 3 Arbitrage and Financial Decision Making. Chapter Outline. 3.1 Valuing Costs and Benefits 3.2 Interest Rates and the Time Value of Money 3.3 Present Value and the NPV Decision Rule 3.4 Arbitrage and the Law of One Price 3.5 No-Arbitrage and Security Prices

1.07k views • 72 slides

Efficient Market Theory

Efficient Market Theory. Dr. Rana Singh Associate Professor www.ranasingh.org. Efficient Capital Markets. In an efficient capital market, security prices adjust rapidly to the arrival of new information, therefore the current prices of securities reflect all information about the security

1.35k views • 65 slides

Chp.19 Term Structure of Interest Rates (II)

Chp.19 Term Structure of Interest Rates (II). Continuous time models. Term structure models are usually more convenient in continuous time. Specifying a discount factor process and then find bond prices. A wide and popular class models for the discount factor:. Implications.

789 views • 63 slides

Chapter 10

Chapter 10. EFFICIENT CAPITAL MARKETS. Chapter 10 Questions. What do we mean when we say that capital markets are efficient? Why should capital markets be efficient? What factors contribute to an efficient market?

1.16k views • 57 slides

Stochastic Discount Factors

Stochastic Discount Factors. Chapter 4. Complete markets. Section 4.1.1. Arrow/Debreu securities. Fundamental asset pricing formula. Almost all of modern asset pricing can be written in this form. Risk neutral probabilities. Utility.

871 views • 46 slides

LECTURE 8 : FACTOR MODELS

LECTURE 8 : FACTOR MODELS. (Asset Pricing and Portfolio Theory). Contents. The CAPM Single index model Arbitrage portfolioS Which factors explain asset prices ? Empirical results. Introduction. CAPM : Equilibrium model One factor, where the factor is the excess return on the market.

558 views • 30 slides

Risk Indicators in the equity market

X workshop on Quantitative Finance Politecnico di Milano, 29-30.1.2009. Risk Indicators in the equity market. giorgio.consigli@unibg.it Joint work with L. MacLean, Y. Zhao and W.T. Ziemba. Financial instability The US equity market The asset pricing model Parameter estimation

390 views • 27 slides

The Role of Soft and Hard Information in the Pricing of Assets and contract Design -- Evidence from Screenplays Sales

William N. Goetzmann Yale School of Management S. Abraham Ravid, Rutgers University and Cornell University Ron Sverdlove, Rutgers University Vicente Pons-Sanz, Renaissance Capital

607 views • 26 slides

EMH and RW

EMH and RW . CLM Chapter 2. Data and Statistics. It is important to understand the difficulties associated with estimating something as simple as the mean return. We focus on now are the properties of estimates of Means Other moments. Mean and Variance Estimation.

602 views • 26 slides

Investor Contagion: A Network Model for Asset Markets

Investor Contagion: A Network Model for Asset Markets. James Luo ELE 381 Mini-project Presentation. Introduction. Traditional finance models make many assumptions when formulating asset pricing theories In reality, many of these assumptions are unrealistic

395 views • 26 slides

The Green Budget

The Green Budget. Funding issues and debt management. January 2006 Professor David Miles +44 20 7425 1820 david.miles@morganstanley.com Niki Anderson +44 20 7677 6951 niki.anderson@morganstanley.com.

444 views • 23 slides

Allocating the Cost of Capital

413 views • 23 slides

Psychology, economics, and financial markets: General Views

Psychology, economics, and financial markets: General Views. Avanidhar Subrahmanyam. Traditional finance. Agents choose portfolios based on risk and reward Risk is indeed rewarded in equilibrium No arbitrage permitted in mathematical models. Limitations of Traditional Finance.

375 views • 23 slides

Module Briefing Professor Peter Wright Director of Postgraduate Taught Programmes

Module Briefing Professor Peter Wright Director of Postgraduate Taught Programmes. Clerical Matters. Programme Specifications Module Choice Timetables. Degree Regulations. Each taught module 15 credits Normally credits awarded only if pass mark of 50 is achieved Credit accumulation

362 views • 20 slides

Writing Tips for Ph. D. Students

403 views • 18 slides

Strategic Asset Allocation

476 views • 16 slides

Introduction

340 views • 12 slides

Investor sentiment and the Closed-end fund puzzle

Investor sentiment and the Closed-end fund puzzle Closed-end fund- issues a fixed number of shares that are traded on the stock market;shares are liquidated by selling the shares to other investors.

827 views • 7 slides

Asset Pricing in Chinese capital market

110 views • 0 slides