9783824472727 - Global Stock Markets: Expected Returns, Consumption, and the Business Cycle di Drobetz, Wolfgang (13 risultati)

Condizione: New. In.

PF. Condizione: New.

Condizione: New. Num Pages: 332 pages, 26 black & white tables, biography. BIC Classification: KJS; KJSM. Category: (G) General (US: Trade). Dimension: 229 x 152 x 19. Weight in Grams: 521. . 2000. Paperback. . . . .

Condizione: New. pp. 356.

Paperback. Condizione: Brand New. 2000 edition. 356 pages. 9.00x6.00x0.74 inches. In Stock.

Condizione: New. Num Pages: 332 pages, 26 black & white tables, biography. BIC Classification: KJS; KJSM. Category: (G) General (US: Trade). Dimension: 229 x 152 x 19. Weight in Grams: 521. . 2000. Paperback. . . . . Books ship from the US and Ireland.

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 356 pp. Englisch.

Condizione: New. Print on Demand pp. 356 23:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on White w/Gloss Lam.

Condizione: New. PRINT ON DEMAND pp. 356.

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Dr. Wolfgang Drobetz ist Assistent am Schweizerischen Institut fuer Banken und Finanzen der Universitaet St. Gallen, wo er bei Prof. Dr. Heinz Zimmermann promovierte.Wolfgang Drobetz provides empirical evidence on the time variation of expected stock retu.

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -'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.Deutscher Universitätsverlag in Springer Science + Business , Tiergartenstr. 15-17, 69121 Heidelberg 356 pp. Englisch.

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - '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.; 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.

Taschenbuch. Condizione: Neu. Global Stock Markets | Expected returns, consumption, and the business cycle | Wolfgang Drobetz | Taschenbuch | XIX | Englisch | 2000 | Deutscher Universitätsverlag | EAN 9783824472727 | Verantwortliche Person für die EU: Deutscher Universitätsverlag in Springer Science + Business, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu Print on Demand.