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Quantitative Financial Economics Stocks, Bonds and Foreign Exchange

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ISBN-10: 0471953601

ISBN-13: 9780471953609

Edition: 1st 1996

Authors: Keith Cuthbertson

List price: $105.00
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Description:

This text provides a comprehensive introduction to models of economic behaviour in financial markets through the use of real examples taken from the markets to illustrate technical theories.
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Book details

List price: $105.00
Edition: 1st
Copyright year: 1996
Publisher: John Wiley & Sons, Incorporated
Publication date: 10/8/1996
Binding: Paperback
Pages: 492
Size: 6.75" wide x 9.75" long x 1.25" tall
Weight: 2.046
Language: English

Preface
Acknowledgements
Basic Concepts in Finance
Aims
Returns on Stocks, Bonds and Real Assets
Discounted Present Value, DPV
Utility and Indifference Curves
Asset Demands
Indifference Curves and Intertemporal Utility
Investment Decisions and Optimal Consumption
Summary
Appendix: Mean-Variance Model and Utility Functions
Basic Statistics in Finance
Aims
Lognormality and Jensen's Inequality
Unit Roots, Random Walk and Cointegration
Monte Carlo Simulation (MCS) and Bootstrapping
Bayesian Learning
Summary
Efficient Markets Hypothesis
Aims
Overview
Implications of the EMH
Expectations, Martingales and Fair Game
Testing the EMH
Using Survey Data
Summary
Appendix: Cross-Equation Restrictions
Are Stock Returns Predictable?
Aims
A Century of Returns
Simple Models
Univariate Tests
Multivariate Tests
Cointegration and Error Correction Models (ECM)
Non-Linear Models
Markov Switching Models
Profitable Trading Strategies?
Summary
Mean-Variance Portfolio Theory and the CAPM
Aims
An Overview
Mean-Variance Model
Capital Asset Pricing Model
Beta and Systematic Risk
Summary
International Portfolio Diversification
Aims
Mathematics of the Mean-Variance Model
International Diversification
Mean-Variance Optimisation in Practice
Summary
Efficient Frontier and the CML
Market Portfolio
Performance Measures, CAPM and APT
Aims
Performance Measures
Extensions of the CAPM
Single Index Model
Arbitrage Pricing Theory
Summary
Empirical Evidence: CAPM and APT
Aims
CAPM: Time-Series Tests
CAPM: Cross-Section Tests
CAPM, Multifactor Models and APT
Summary
Appendix: Fama-MacBeth Two-Step Procedure
Applications of Linear Factor Models
Aims
Event Studies
Mutual Fund Performance
Mutual Fund 'Stars'?
Summary
Valuation Models and Asset Returns
Aims
The Rational Valuation Formula (RVF)
Special Cases of the RVF
Time-Varying Expected Returns
Summary
Stock Price Volatility
Aims
Shiller Volatility Tests
Volatility Tests and Stationarity
Peso Problems and Variance Bounds Tests
Volatility and Regression Tests
Summary
Appendix: LeRoy-Porter and West Tests
Stock Prices: The VAR Approach
Aims
Linearisation of Returns and the RVF
Empirical Results
Persistence and Volatility
Summary
Appendix: Returns, Variance Decomposition and Persistence
SDF Model and the C-CAPM
Aims
Consumption-CAPM
C-CAPM and the 'Standard' CAPM
Prices and Covariance
Rational Valuation Formula and SDF
Factor Models
Summary
Appendix: Joint Lognormality and Power Utility
C-CAPM: Evidence and Extensions
Aims
Should Returns be Predictable in the C-CAPM?
Equity Premium Puzzle
Testing the Euler Equations of the C-CAPM
Extensions of the SDF Model
Habit Formation
Equity Premium: Further Explanations
Summary
Appendix: Hansen-Jagannathan Bound
Intertemporal Asset Allocation: Theory
Aims
Two-Period Model
Multi-Period Model
SDF Model of Expected Returns
Summary
Envelope Con