This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the US stock market.
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Inside This Book
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First Sentence:
A major difficulty encountered by empirical financial economists is that some key variables and parameters are not observable in models of the equilibrium relationship between risk and return. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, Journal of Financial Economics, Arbitrage Pricing Theory, Working Paper, Princeton University, Journal of Economic Theory, Bulent Gultekin, Gordon Bodnar, Gregory Chow, Journal Political Economy, Know Betas, Robert Shiller New!
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Front Cover | Front Flap | Table of Contents | First Pages | Back Flap | Back Cover | Surprise Me!
A major difficulty encountered by empirical financial economists is that some key variables and parameters are not observable in models of the equilibrium relationship between risk and return. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, Journal of Financial Economics, Arbitrage Pricing Theory, Working Paper, Princeton University, Journal of Economic Theory, Bulent Gultekin, Gordon Bodnar, Gregory Chow, Journal Political Economy, Know Betas, Robert Shiller New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Front Flap | Table of Contents | First Pages | Back Flap | Back Cover | Surprise Me!
Citations (learn more)
This book cites 3
books:
- Asset Pricing by Jianping Mei on page 27, and page 105
- Asymptotic Theory for Econometricians: Revised Edition (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics) by Halbert White on page 105
- Expectations and the Structure of Share Prices (National Bureau of Economic Research Monograph) by John G. Cragg on page 26
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