Variable Information and Capital Market Equilibria
Author :
Publisher :
Page : 14 pages
File Size : 38,70 MB
Release : 1983
Category :
ISBN :
Author :
Publisher :
Page : 14 pages
File Size : 38,70 MB
Release : 1983
Category :
ISBN :
Author : Volker Firchau
Publisher :
Page : pages
File Size : 40,66 MB
Release : 1983
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Author : Bernard Dumas
Publisher :
Page : 72 pages
File Size : 35,53 MB
Release : 1993
Category : Capital market
ISBN :
In this essay, I discuss and compare two ways of modeling international capital market equilibrium: the orthodox, general-equilibrium approach and the heterodox, partial-equilibrium CAPM (Capital Asset Pricing Model) approach. The benchmark for this comparison is the model's ability to provide an explanation for, or take into account, a number of stylized facts of international finance: UIRP deviations, home-equity preference, PPP deviations and their persistence, consumption behavior in relation to wealth. In addition, I ask which approach is more likely in future research to help us identify the relevant state variables of the economy. None of the models satisfactorily explains the stylized facts but the CAPM approach affords the most productive avenue for empirical research in the immediate future.
Author : Emilio Barucci
Publisher : Springer Science & Business Media
Page : 473 pages
File Size : 17,37 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 1447100891
A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
Author : Günter Bamberg
Publisher : Springer Science & Business Media
Page : 233 pages
File Size : 44,4 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 3642709958
Author : James L. Bicksler
Publisher : Free Press
Page : 664 pages
File Size : 20,60 MB
Release : 1977
Category : Business & Economics
ISBN :
Author : Jack L. Freeman
Publisher :
Page : 282 pages
File Size : 42,48 MB
Release : 1981
Category : Capital market
ISBN :
Author : Fabrizio Mattesini
Publisher : Dartmouth Publishing Company
Page : 208 pages
File Size : 24,81 MB
Release : 1993
Category : Business & Economics
ISBN :
The study of the interaction between the financial sector and the sector of the economy is one of the most recent advances in macroeconomic theory. While mainstream economics assigns a passive role to the financial sector there is a growing body of literature which emphasizes the importance of financial intermediaries in explaining fluctuations and the determination of the process through which monetary policy impulses are transmitted to the rest of the economy. This literature has its origin in the models that rely on asymmetric information to explain imperfections in financial markts and in empirical evidence collected through various econometric techniques and through historical studies. This book surveys the relevant work ion the subject, evaluates the empirical evidence and the explanatory power of the theories proposed and furnishes new and empirical results.
Author : Mr.Lamin Leigh
Publisher : International Monetary Fund
Page : 42 pages
File Size : 26,87 MB
Release : 1997-01-01
Category : Business & Economics
ISBN : 1451843224
This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and “semi-strongly” efficient in asset-pricing terms but not “strongly” efficient. Granger causality tests based on the efficiency test results indicate that developments in the stock market appear to be systematically related to the overall economy in Singapore and can thus serve as a leading indicator of its intertemporal behavior.
Author : Bernard Dumas
Publisher :
Page : pages
File Size : 18,61 MB
Release : 1990
Category :
ISBN :
When several investors with different risk aversions trade competitively in a capital market, the allocation of wealth fluctuates randomly between them and acts as a state variable against which each market participant will want to hedge. This hedging motive complicates the investors' portfolio choice and the equilibrium in the capital market. Although every financial economist is aware of this difficulty, to our knowledge, this issue has never been analyzed in detail. The current paper features two investors, with the same degree of impatience, one of them being logarithmic and the other having an isoelastic utility function. They face one risky constant-return-to-scale stationary production opportunity and they can borrow and lend to and from each other. The behavior of the allocation of wealth is characterized, along with the behavior of the rate of interest and that of the security market line. The two main results are: (1) investors in equilibrium do revise their portfolios over time so that some trading takes place, (2) provided some conditions are satisfied, the allocation of wealth admits a steady-state distribution at an interior point; this is in contrast to the certainty case, where one investor in the long run holds all the wealth. The existence of trading opens the way to a theory of capital flows and market trading volume