liquidity risk and asset pricing

... et THE RELATIONSHIP BETWEEN DEFAULT RISK AND INTEREST RATES: AN EMPIRICAL STUDY 11 16 OCTOBER 2, 2009 THE RELATIONSHIP BETWEEN DEFAULT RISK AND INTEREST RATES: AN EMPIRICAL STUDY RESEARCH ... al. (2001). THE RELATIONSHIP BETWEEN DEFAULT RISK AND INTEREST RATES: AN EMPIRICAL STUDY 5 TABLE OF CONTENTS THE RELATIONSHIP...

Ngày tải lên: 26/10/2012, 11:21

... balance of risk and benefit of drug use during pregnancy is seriously augmented by the defensive policy of pharmaceutical companies and regulatory agencies which are gradually labeling most drugs ... effect of only antifever drugs may exceed the CA risk caused by all human teratogenic drugs. Thus, a better balance is needed between the risk and benefit of drug...

Ngày tải lên: 02/11/2012, 11:12

... Phân tích Tài chính Bài giảng 6 Niên khoá 2006-07 MÔ HÌNH ĐỊNH GIÁ TÀI SẢN VỐN (CAPM) 1. Giới thiệu chung Mô hình định giá tài sản vốn (Capital asset pricing model – CAPM) là mô hình mô tả ... đường thẳng thị trường vốn (capital market 6.4 Quan hệ giữa lý thuyết thị trường vốn và mô hình định giá tài sản vốn Công thức (6.6) t...

Ngày tải lên: 04/04/2013, 15:32

... 122 In summary, capital asset pricing works as follows: Consider an agent who has initial wealth X 0 and wants to invest ...  , X 0  k+1 ! 1 ;::: ;! k ;T  S k+1 ! 1 ;::: ;! k ;H, S k+1 ! 1 ;::: ;! k ;T : Chapter 10 Capital Asset Pricing 10.1 An Optimization Problem Consider an agent who has initial wealth X 0 and wants ... portfolio which produces X n =  . Remarks 10.1 a...

Ngày tải lên: 18/10/2013, 03:20

... uplift. Let    denote the face value of in ation -indexed bonds outstanding and   the combined face value of nom inal and in ation -indexed bonds outstanding at time  for either the US or the ... interest - ing to understand the implications for portfolio management and pension in v esting and how these implications vary b y in vestmen t horizon and the in...

Ngày tải lên: 16/02/2014, 02:20

... Principles for Sound Liquidity Risk Management and Supervision 1 Principles for Sound Liquidity Risk Management and Supervision Introduction 1. Liquidity is the ability ... Banking Supervision Principles for Sound Liquidity Risk Management and Supervision September 2008 20 Principles for Sound Liquidity R...

Ngày tải lên: 21/02/2014, 11:20

... arranged around seventeen principles for managing and supervising liquidity risk. These principles are as follows: Principles for Sound Liquidity Risk Management and Supervision 31 Public ... framework for controlling liquidity risk. 2 Principles for Sound Liquidity Risk Management and Supervision viewed severe and prolonged liquid...

Ngày tải lên: 06/03/2014, 09:20

... failed—often offered higher deposit interest rates than low risk banks. Having shown that high deposit interest rates were a source of funding for risky banks, and that high deposit interest rates are ... forcing less risk- loving banks to raise their deposit rates to retain deposits, thus squeezing bank profits and creating a secondary impulse for less risky banks...

Ngày tải lên: 22/03/2014, 17:20

... chair in Finance at the University of Stirling, Scotland, the United Kingdom. He received his PhD degree in Finance from University of Maastricht and Master degrees in Business Administration and ... decades, he introduced modern financial economic theories in corporate finance and asset pricing in his numerous publications and leading Dutch textbooks. He is an a...

Ngày tải lên: 22/03/2014, 23:20

... reported in Table IV indicate that the relative importance of liquidity risk premium is reduced at longer horizons, since market risk dominates liquidity risk. Yet, liquidity risk remains economically ... CET. Between an opening and a closing call auction - and interrupted by a another mid-day call auction - trading is based on a continuous double auction mec...

Ngày tải lên: 23/04/2014, 19:54

... Financial Economics 45, 1997 Yakov Amihud, Illiquidity and stock returns: Cross-section and time- series effects. Journal of Financial Markets 5, 2002 Viral V. Acharya and Lasse Heje Pedersen, Asset ... of liquidity in financial markets. Securities market regulations aim to enhance the liquidity of the markets as a central goal, and market practitioners know that the cost and...

Ngày tải lên: 01/11/2014, 11:14

... the effect of liquidity risk on asset pricing. In the first essay, I test the liquidity- adjusted capi- tal asset pricing model (LCAPM) of Acharya and Pedersen (2005) for 1962-2004 in 1 Liquidity is ... liquidity risk on asset pricing. In the first essay, I test the liquidity- adjusted capital asset pricing model (LCAPM) of Acharya and Pedersen (2005) for 1962-2004...

Ngày tải lên: 02/11/2014, 00:43

... L/O/G/O The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama and Kenneth R. French (summer 2004) The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama and Kenneth ... depend on the amount borrowed or lent risk-free rate The Logic of the CAPM The Logic of the CAPM Sharpe (1964) and Lintner (1965) add two key assumptions Th...

Ngày tải lên: 16/11/2014, 11:29

... NGÀY BÀI THUYẾT TRÌNH GVHD : TS.Trần Thị Hải Lý HVTH: Võ Thị Thúy Diễm Trần Thị Trang Phan Thị Thanh Kiều Trần Thân Bích Hợp Trương Phú Trí THE CAPITAL ASSET PRICING MODEL THEOORY AND EVIDENCE CAPM ... market be expanded to include bons, and other financial assets?  Whether the model s problem reflect weakness in the theory or in its emperical implemention, th...

Ngày tải lên: 16/11/2014, 15:16

... 5 - 1 CHAPTER 5 Risk and Return: Portfolio Theory and Asset Pricing Models  Portfolio Theory  Capital Asset Pricing Model (CAPM)  Efficient frontier  Capital ... calculation  Arbitrage pricing theory  Fama-French 3-factor model 5 - 2 Portfolio Theory  Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset...

Ngày tải lên: 06/04/2015, 19:41