Matches in Harvard for { <http://id.lib.harvard.edu/aleph/008844668/catalog> ?p ?o. }
Showing items 1 to 26 of
26
with 100 items per page.
- catalog abstract ""Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. In The Paradox of Asset Pricing, a leading financial researcher argues that the empirical record is weak at best." "Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption - that markets are efficient processors of information, that risk is a knowable quantity, and so on - can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math- and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance."--Jacket.".
- catalog contributor b12408852.
- catalog created "c2002.".
- catalog date "2002".
- catalog date "c2002.".
- catalog dateCopyrighted "c2002.".
- catalog description ""Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. In The Paradox of Asset Pricing, a leading financial researcher argues that the empirical record is weak at best."".
- catalog description ""Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption - that markets are efficient processors of information, that risk is a knowable quantity, and so on - can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money.".
- catalog description "Includes bibliographical references (p. [163]-167) and index.".
- catalog description "Principles of Asset-Pricing Theory -- Stochastic Dynamic Programming -- An Application to a Simple Investment-Consumption Problem -- A Nontrivial Portfolio Problem -- Portfolio Separation -- Toward the First Asset-Pricing Model -- Consumption-Based Asset-Pricing Models -- Asset-Pricing Theory: The Bottom Line -- Arrow-Debreu Securities Pricing -- Roll's Critique -- Time Nonseparable Preferences -- Existence of Equilibrium -- Price Discovery -- Empirical Methodology -- The Efficient Markets Hypothesis (EMH) -- Violations of the Stationarity Assumption -- Inference in a Nonstationary World -- Testing the CAPM -- A Linear Test -- A Nonlinear Test -- The Fama-MacBeth Procedure -- Can One Condition on Less than the Entire State Vector in Tests of the CAPM? -- Testing Consumption-Based Asset-Pricing Models -- Diagnostics: Variance Bounds -- The Empirical Evidence in a Nutshell -- Empirical Evidence on the CAPM -- Hansen-Jagannathan Bounds -- GMM Tests of Consumption-Based Models -- Cross-Sectional Tests -- The Experimental Evidence -- A Typical Asset-Pricing Experiment -- Theoretical Predictions -- Experimental Results -- Announced and Perceived Uncertainty -- The Scale of Experimentation -- Formal Tests -- The CAPM -- The Arrow-Debreu Model -- From EMH to Merely Efficient Learning -- Bayesian Learning -- Digital Option Prices under ELM -- Limited Liability Security Prices under ELM -- Revisiting an Earlier Example -- Revisiting the Historical Record -- U.S. IPO Aftermarket Performance.".
- catalog description "This book will be welcomed by finance scholars and all those math- and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance."--Jacket.".
- catalog extent "xiii, 170 p. :".
- catalog identifier "0691090297 (CL : alk. paper)".
- catalog isPartOf "Frontiers of economic research".
- catalog issued "2002".
- catalog issued "c2002.".
- catalog language "eng".
- catalog publisher "Princeton, N.J. : Princeton University Press,".
- catalog subject "332.6 21".
- catalog subject "Capital assets pricing model.".
- catalog subject "Efficient market theory.".
- catalog subject "HG4636 .B67 2002".
- catalog subject "Securities.".
- catalog tableOfContents "Principles of Asset-Pricing Theory -- Stochastic Dynamic Programming -- An Application to a Simple Investment-Consumption Problem -- A Nontrivial Portfolio Problem -- Portfolio Separation -- Toward the First Asset-Pricing Model -- Consumption-Based Asset-Pricing Models -- Asset-Pricing Theory: The Bottom Line -- Arrow-Debreu Securities Pricing -- Roll's Critique -- Time Nonseparable Preferences -- Existence of Equilibrium -- Price Discovery -- Empirical Methodology -- The Efficient Markets Hypothesis (EMH) -- Violations of the Stationarity Assumption -- Inference in a Nonstationary World -- Testing the CAPM -- A Linear Test -- A Nonlinear Test -- The Fama-MacBeth Procedure -- Can One Condition on Less than the Entire State Vector in Tests of the CAPM? -- Testing Consumption-Based Asset-Pricing Models -- Diagnostics: Variance Bounds -- The Empirical Evidence in a Nutshell -- Empirical Evidence on the CAPM -- Hansen-Jagannathan Bounds -- GMM Tests of Consumption-Based Models -- Cross-Sectional Tests -- The Experimental Evidence -- A Typical Asset-Pricing Experiment -- Theoretical Predictions -- Experimental Results -- Announced and Perceived Uncertainty -- The Scale of Experimentation -- Formal Tests -- The CAPM -- The Arrow-Debreu Model -- From EMH to Merely Efficient Learning -- Bayesian Learning -- Digital Option Prices under ELM -- Limited Liability Security Prices under ELM -- Revisiting an Earlier Example -- Revisiting the Historical Record -- U.S. IPO Aftermarket Performance.".
- catalog title "The paradox of asset pricing / Peter Bossaerts.".
- catalog type "text".