Financial Asset Pricing : Theory, Global Policy and Dynamics.

Intro -- FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS -- FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS -- LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA -- CONTENTS -- PREFACE -- Chapter 1: MONETARY POLICY AND BOOM-BUST CYCLES IN ASSET PRICES: A LITERATURE SURVEY -- ABSTRACT -- 1. INTRODUCTION -- 2. SHOULD ASSET PRICES BE INCLUDED IN THE OBJECTIVE FUNCTION? -- 2.1 Asset Prices and the Inflation Measure -- 2.2 Financial Stability and the Objective Function -- 2.3. Monetary Policy and Asset Prices: The Classic Discussion and the Middle Ground -- 3. RECENT DEVELOPMENTS -- CONCLUSION -- REFERENCES -- Chapter 2: DYNAMIC MIGRATION BETWEEN STOCK PORTFOLIOS BASED ON DIVIDEND YIELD AND FIRM SIZE -- ABSTRACT -- 1. INTRODUCTION -- 2. DATA AND METHODOLOGY -- 3. INITIAL RESULTS FOR RAW RETURNS -- 3.1. Adjustment for Risk -- 4. THE MIGRATION STUDY (METHODOLOGY) -- 4.1. Data -- 4.2. Analysis of Results (Presented in Table 7 (a-f)) -- 4.3. Expanding versus Contracting Companies -- 5. LONG-RUN EQUILIBRIUM AND SPEED OF ADJUSTMENT -- 5.1. The Transition Matrix as a Markov Process -- 5.2. The Dynamics of the Process -- 6. EXTENDING THE ANALYSIS TO INCLUDE THE 'TIME' DIMENSION -- CONCLUSION -- REFERENCES -- Chapter 3: RETURN CALCULATION FOR SHORT TIME SERIES: EVIDENCE FROM EMERGING MARKET MUTUAL FUNDS -- ABSTRACT -- I. INTRODUCTION -- II. GOODNESS OF FITTING -- III. INVALIDITY OF THE ASSUMPTIONS OF STANDARD ASSET PRICING TESTS -- IV. VISUALIZING NON-NORMALITY -- CONCLUDING REMARKS -- ACKNOWLEDGMENTS -- REFERENCES -- Chapter 4: RISK PREMIUM, MARKET PRICE OF RISK, AND STOCHASTIC PRICE MODELS FOR COMMODITIES -- ABSTRACT -- 1. INTRODUCTION -- 2. REVIEW OF THE LITERATURE -- 3. STOCHASTIC PRICE MODELS -- 3.1. The Geometric Brownian Motion (GBM) Model -- 3.2. Mean-Reverting Models -- 3.3. Two-Factor Model: IGBM with Stochastic MPR.

3.4. Summary of Stochastic Models -- 4. ESTIMATION -- 4.1. Sample Description -- 4.2. The GBM Case with Proportional MPR -- 4.3. The IGBM Case with Proportional MPR -- CONCLUSIONS -- REFERENCES -- Chapter 5: AUSTRALIAN HOUSE PRICES AFFORDABILITY: AN INTERNATIONAL COMPARISON OF THE DETERMINANTS OF HOUSE PRICE'S PERFORMANCE 1980 - 2009 -- ABSTRACT -- INTRODUCTION -- THE DRIVERS OF AUSTRALIAN HOUSE PRICES - BUBBLE OR FUNDAMENTALS! -- THE HOUSING BUBBLE IN THE US -- HOUSING FINANCE - AUSTRALIA VS. US -- SUMMARY AND CONCLUSION -- REFERENCES -- Chapter 6: COMPUTATIONAL FINANCE FOR STOCHASTIC VOLATILITY AND CORRELATION -- Abstract -- 1. Overview -- 2. .The Model -- 3. The Pricing Equation -- 4. An Analytical Pricing Formula -- 5. Correlation Risk for the Interest-Rate Contingent Claim -- 6. Conclusion -- Appendix -- References -- Chapter 7: AN EMPIRICAL TEST OF THE CONSUMPTION-BASED ASSET PRICING MODEL (CCAPM) IN LATIN AMERICA -- ABSTRACT -- 1. INTRODUCTION -- 2. THE INTERTEMPORAL MODEL OF CAPITAL ASSET PRICING CCAPM -- 3. METHOD, HYPOTHESES, SAMPLING, DATA COLLECTION AND TREATMENT -- 3.1. Estimation Process -- 3.2. Formulation of Hypotheses -- 3.3. Description of the Sample -- 3.4. Data Collection -- 3.5. Data Treatment -- 4. ANALYSIS OF THE RESULTS -- CONCLUSION -- ACKNOWLEDGMENTS -- REFERENCES -- Chapter 8: INTRICATE ASSET PRICE DYNAMICS AND ONE-DIMENSIONAL DISCONTINUOUS MAPS -- Abstract -- 1. Introduction -- 2. A Simple Piecewise Linear Financial Model -- 3. Some Properties of the Model -- 4. Maximal Cycles LkR -- 5. Maximal Cycles LRk -- 6. Conclusion -- References -- INDEX.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.