Saved in:
| Title: | Quantitative financial economics stocks, bonds and foreign exchange |
|---|---|
| From: |
Keith Cuthbertson and Dirk Nitzsche
|
| Person: |
Cuthbertson, Keith
Verfasser aut Nitzsche, Dirk |
| Main Authors: | , |
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2007
|
| Edition: | 2. ed., repr. |
| Subjects: | |
| Online Access: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016784543&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XIV, 720 S. graph. Darst. |
| ISBN: | 9780470091715 0470091711 |
Staff View
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Record in the Search Index
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| adam_text | Titel: Quantitative financial economics
Autor: Cuthbertson, Keith
Jahr: 2007
CONTENTS
Preface
Acknowledgements
xiii
XV
1 Basic Concepts in Finance 1
2.2 Unit Roots, Random Walk and
Cointegration 36
2.3 Monte Carlo Simulation (MCS)
and Bootstrapping 40
2.4 Bayesian Learning 47
2.5 Summary 50
Aims 1.1 Returns on Stocks, Bonds and 1 3 Efficient Markets
Real Assets 1 Hypothesis 53
1.2 Discounted Present Value, DPV 7 Aims 53
1.3 Utility and Indifference Curves 13 3.1 Overview 54
1.4 Asset Demands 19 3.2 Implications of the EMH 56
1.5 Indifference Curves and 3.3 Expectations, Martingales and
Intertemporal Utility 25 Fair Game 59
1.6 Investment Decisions and 3.4 Testing the EMH 65
Optimal Consumption 28 3.5 Using Survey Data 66
1.7 Summary 32 3.6 Summary 70
Appendix: Mean-Variance Appendix: Cross-Equation
Model and Utility Functions 33 Restrictions 71
Sasic Statistics in Finance 35 4 Are Stock Returns
Predictable? 73
Aims 35
2.1 Lognormality and Jensen s Aims 73
Inequality 35 4.1 A Century of Returns 73
VIIl
CONTENTS
4.2 Simple Models 82
4.3 Univariate Tests 85
4.4 Multivariate Tests 95
4.5 Cointegration and Error
Correction Models (ECM) 100
4.6 Non-Linear Models 103
4.7 Markov Switching Models 106
4.8 Profitable Trading Strategies? 109
4.9 Summary 113
8 Empirical Evidence: CAPM
and APT 189
5 Mean-Variance Portfolio
Theory and the CAPM 115
Aims 115
5.1 An Overview 115
5.2 Mean-Variance Model 119
5.3 Capital Asset Pricing Model 132
5.4 Beta and Systematic Risk 134
5.5 Summary 138
6 International Portfolio
Diversification 141
Aims 141
6.1 Mathematics of the
Mean-Variance Model 142
6.2 International Diversification 152
6.3 Mean-Variance Optimisation in
Practice 156
6.4 Summary 163
Appendix I: Efficient Frontier
and the CML 164
Appendix II: Market Portfolio 167
7 Performance Measures,
CAPM and APT 169
Aims 169
7.1 Performance Measures 169
7.2 Extensions of the CAPM 176
7.3 Single Index Model 179
7.4 Arbitrage Pricing Theory 181
7.5 Summary 187
Aims 189
8.1 CAPM: Time-Series Tests 189
8.2 CAPM: Cross-Section Tests 190
8.3 CAPM, Multifactor Models and
APT 195
8.4 Summary 202
Appendix: Fama-MacBeth
Two-Step Procedure 203
9 Applications of Linear
Factor Models
205
Aims 205
9.1 Event Studies 206
9.2 Mutual Fund Performance 209
9.3 Mutual Fund Stars ? 227
9.4 Summary 243
10 Valuation Models and
Asset Returns
245
245
Aims
10.1 The Rational Valuation Formula
(RVF) 245
10.2 Special Cases of the RVF 248
10.3 Time-Varying Expected Returns 249
10.4 Summary 254
11 Stock Price Volatility 255
Aims 255
11.1 Shiller Volatility Tests 257
11.2 Volatility Tests and Stationarity 261
11.3 Peso Problems and Variance
Bounds Tests 267
11.4 Volatility and Regression Tests 268
11.5 Summary 269
Appendix: LeRoy-Porter and
West Tests 270
12 Stock Prices: The VAR
Approach 273
Aims 273
CONTENTS
IX
12.1 Linearisation of Returns and the
RVF 274
12.2 Empirical Results 280
12.3 Persistence and Volatility 291
12.4 Summary 295
Appendix: Returns, Variance
Decomposition and Persistence 296
13 SDF Model and the
C-CAPM
303
Aims 303
13.1 Consumption-CAPM 304
13.2 C-CAPM and the Standard
CAPM 309
13.3 Prices and Covariance 314
13.4 Rational Valuation Formula and
SDF 315
13.5 Factor Models 315
13.6 Summary 317
Appendix: Joint Lognormality
and Power Utility 318
14 C-CAPM: Evidence and
Extensions 323
Aims 323
14.1 Should Returns be Predictable
in the C-CAPM? 323
14.2 Equity Premium Puzzle 327
14.3 Testing the Euler Equations of
the C-CAPM 332
14.4 Extensions of the SDF Model 336
14.5 Habit Formation 346
14.6 Equity Premium: Further
Explanations 350
14.7 Summary 353
Appendix: Hansen-Jagannathan
Bound 354
15 Intertemporal Asset
Allocation: Theory 355
Aims 355
15.1 Two-Period Model 356
15.2 Multi-Period Model 362
15.3 SDF Model of Expected Returns 368
15.4 Summary 368
Appendix I: Envelope Condition
for Consumption-Portfolio
Problem 369
Appendix II: Solution for Log
Utility 370
16 Intertemporal Asset
Allocation: Empirics
375
375
Aims
16.1 Retirement and Stochastic
Income 375
16.2 Many Risky Assets 381
16.3 Different Preferences 383
16.4 Horizon Effects and Uncertainty 386
16.5 Market Timing and Uncertainty 389
16.6 Stochastic Parameters 390
16.7 Robustness 391
16.8 Summary 392
Appendix: Parameter
Uncertainty and Bayes
Theorem 393
17 Rational Bubbles and
Learning
397
Aims 397
17.1 Rational Bubbles 397
17.2 Tests of Rational Bubbles 401
17.3 Intrinsic Bubbles 404
17.4 Learning 409
17.5 Summary 420
18 Behavioural Finance and
Anomalies 423
Aims 423
18.1 Key Ideas 423
18.2 Beliefs and Preferences 428
18.3 Survival of Noise Traders 430
18.4 Anomalies 433
18.5 Corporate Finance 447
18.6 Summary 449
CONTENTS
19 Behavioural Models 451
Aims 451
19.1 Simple Model 452
19.2 Optimising Model of Noise
Trader Behaviour 454
19.3 Shleifer-Vishny Model:
Short-Termism 460
19.4 Contagion 463
19.5 Beliefs and Expectations 466
19.6 Momentum and Newswatchers 468
19.7 Style Investing 470
19.8 Prospect Theory 475
19.9 Summary 484
Appendix I: The DeLong et al
Model of Noise Traders 485
Appendix II: The
Shleifer-Vishny Model of
Short-Termism 486
20 Theories of the Term
Structure 489
Aims 489
20.1 Prices, Yields and the RVF 490
20.2 Theories of the Term Structure 494
20.3 Expectations Hypothesis 498
20.4 Summary 500
21 The EH-From Theory to
Testing 501
Aims 501
21.1 Alternative Representations of
the EH 502
21.2 VAR Approach 506
21.3 Time-Varying Term
Premium-VAR Methodology 511
21.4 Summary 513
22 Empirical Evidence on the
Term Structure 515
Aims
22.1 Data and Cointegration
22.2 Variance Bounds Tests
515
516
518
22.3 Single-Equation Tests 520
22.4 Expectations Hypothesis: Case
Study 523
22.5 Previous Studies 532
22.6 Summary 536
23 SDF and Affine Term
Structure Models 537
Aims 537
23.1 SDF Model 537
23.2 Single-Factor Affine Models 541
23.3 Multi-Factor Affine Models 543
23.4 Summary 544
Appendix 1: Math of SDF
Model of Term Structure 545
Appendix II: Single-Factor
Affine Models 546
24 The Foreign Exchange
Market 549
Aims 549
24.1 Exchange Rate Regimes 549
24.2 PPP and LOOP 552
24.3 Covered-Interest Parity, CIP 560
24.4 Uncovered Interest Parity, UIP 561
24.5 Forward Rate Unbiasedness,
FRU 562
24.6 Real Interest Rate Parity 562
24.7 Summary 563
Appendix: PPP and the
Wage-Price Spiral 564
25 Testing CIP, UIP and FRU 567
Aims 567
25.1 Covered Interest Arbitrage 567
25.2 Uncovered Interest Parity 572
25.3 Forward Rate Unbiasedness,
FRU 574
25.4 Testing FRU: VAR
Methodology 581
25.5 Peso Problems and Learning 586
25.6 Summary 589
26 Modelling the FX Risk
Premium
27 Exchange Rate and
Fundamentals
Aims
27.1 Monetary Models
27.2 Testing the Models
27.3 New Open-Economy
Macroeconomics
27.4 Summary
28 Market Risk
Aims
28.1 Measuring VaR
591
Aims 591
26.1 Implications of â 1 in FRU
Regressions 592
26.2 Consumption-CAPM 593
26.3 Affine Models of FX Returns 597
26.4 FRU and Cash-in-Advance
Models 598
26.5 Summary 605
607
607
607
617
624
625
627
627
628
content:
28.2 Mapping Assets: Simplifications 635
28.3 Non-Parametric Measures 638
28.4 Monte Carlo Simulation 641
28.5 Alternative Methods 645
28.6 Summary 647
Appendix I: Monte Carlo
Analysis and VaR 648
Appendix II: Single Index
Model (SIM) 650
Xl
29 Volatility and Market
Microstructure 653
Aims 653
29.1 Volatility 654
29.2 What Influences Volatility? 656
29.3 Multivariate GARCH 665
29.4 Market Microstructure-FX
Trading 672
29.5 Survey Data and Expectations 674
29.6 Technical Trading Rules 679
29.7 Summary 681
References 683
Recommended Reading 711
Index 713
|
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| author | Cuthbertson, Keith Nitzsche, Dirk |
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| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)474411504 (DE-599)BVBBV035116810 |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed., repr. |
| format | Book |
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| id | DE-604.BV035116810 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:20:35Z |
| institution | BVB |
| isbn | 9780470091715 0470091711 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016784543 |
| oclc_num | 474411504 |
| open_access_boolean | |
| owner | DE-29 |
| owner_facet | DE-29 |
| physical | XIV, 720 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Wiley |
| record_format | marc |
| spellingShingle | Cuthbertson, Keith Nitzsche, Dirk Quantitative financial economics stocks, bonds and foreign exchange Bonds - Mathematical models Capital assets pricing model Exchange market Foreign exchange - Mathematical models Investering i værdipapirer Investment in securities Investments - Mathematical models Stocks - Mathematical models Valutamarked aInvestments xMathematical models aCapital assets pricing model aStocks xMathematical models aBonds xMathematical models aForeign exchange xMathematical models Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Finanzmathematik (DE-588)4017195-4 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Börse (DE-588)4007502-3 gnd Wechselkurs (DE-588)4064921-0 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Finanzierung (DE-588)4017182-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4017195-4 (DE-588)4112584-8 (DE-588)4007502-3 (DE-588)4064921-0 (DE-588)4137411-3 (DE-588)4017182-6 (DE-588)4114528-8 (DE-588)4121262-9 |
| title | Quantitative financial economics stocks, bonds and foreign exchange |
| title_auth | Quantitative financial economics stocks, bonds and foreign exchange |
| title_exact_search | Quantitative financial economics stocks, bonds and foreign exchange |
| title_full | Quantitative financial economics stocks, bonds and foreign exchange Keith Cuthbertson and Dirk Nitzsche |
| title_fullStr | Quantitative financial economics stocks, bonds and foreign exchange Keith Cuthbertson and Dirk Nitzsche |
| title_full_unstemmed | Quantitative financial economics stocks, bonds and foreign exchange Keith Cuthbertson and Dirk Nitzsche |
| title_short | Quantitative financial economics |
| title_sort | quantitative financial economics stocks bonds and foreign exchange |
| title_sub | stocks, bonds and foreign exchange |
| topic | Bonds - Mathematical models Capital assets pricing model Exchange market Foreign exchange - Mathematical models Investering i værdipapirer Investment in securities Investments - Mathematical models Stocks - Mathematical models Valutamarked aInvestments xMathematical models aCapital assets pricing model aStocks xMathematical models aBonds xMathematical models aForeign exchange xMathematical models Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Finanzmathematik (DE-588)4017195-4 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Börse (DE-588)4007502-3 gnd Wechselkurs (DE-588)4064921-0 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Finanzierung (DE-588)4017182-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Bonds - Mathematical models Capital assets pricing model Exchange market Foreign exchange - Mathematical models Investering i værdipapirer Investment in securities Investments - Mathematical models Stocks - Mathematical models Valutamarked aInvestments xMathematical models aCapital assets pricing model aStocks xMathematical models aBonds xMathematical models aForeign exchange xMathematical models Capital-Asset-Pricing-Modell Finanzmathematik Arbitrage-Pricing-Theorie Börse Wechselkurs Kapitalmarkttheorie Finanzierung Mathematisches Modell Festverzinsliches Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016784543&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT cuthbertsonkeith quantitativefinancialeconomicsstocksbondsandforeignexchange AT nitzschedirk quantitativefinancialeconomicsstocksbondsandforeignexchange |