liquidity and asset pricing

... the effect of 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 in Liquidity is ... commonality in liquidity and the asset pricing implication of liquidity risk in three developed countries of Japan, UK and US He finds that global and industry-wide cross-country liquidity is more ... dissertation, I investigate the effect of 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

... IN CORPORATE FINANCE AND ASSET PRICING i This page intentionally left blank ii ADVANCES IN CORPORATE FINANCE AND ASSET PRICING EDITED BY L RENNEBOOG Department of Finance and CentER, Tilburg University, ... Introduction: Corporate Restructuring and Governance, Valuation and Asset Pricing Luc Renneboog Part Corporate Restructuring Mergers and Acquisitions in Europe Marina Martynova and Luc Renneboog 15 The Performance ... Loans Sales versus Equity Vasso Ioannidou and Yiannos Pierides 17 Shareholder Value and Growth in Sales and Earnings Luc Soenen 393 411 Part Asset Pricing and Monetary Economics 18 The Term Structure...

Ngày tải lên: 22/03/2014, 23:20

... Portfolio Theory  Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent Asset B has an expected return of 16 percent and a standard deviation of 40 percent ... percent If the correlation between A and B is 0.6, what are the expected return and standard deviation for a portfolio comprised of 30 percent Asset A and 70 percent Asset B? 5-3 Portfolio Expected ... risk and return 5 - 37 What is the difference between the CAPM and the Arbitrage Pricing Theory (APT)? The CAPM is a single factor model The APT proposes that the relationship between risk and...

Ngày tải lên: 06/04/2015, 19:41

... Propositions and and summarize this option -pricing tool as follows, extending Heston Ž1993., Bates Ž1996., Scott Ž1997., Bates Ž1997., Bakshi and Madan Ž2000., and Bakshi, Cao, and Chen Ž1997 ... special case of Ž1.1 found by setting RŽ X t s rt , u s 0, ¨ s 1, and ¨ s See, for example, Jarrow, Lando, and Turnbull Ž1997 and Duffie and Singleton Ž1999 AFFINE JUMP-DIFFUSIONS 1345 given under ... macroeconomic information and with central-bank interest-rate targeting She considers jumps at both random and at deterministic times, and allows for an intensity process and interest-rate process...

Ngày tải lên: 05/04/2016, 14:39

... EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS Introduction and Overview 1 Asset Pricing and the Bid–Ask Spread Summary and Implications Article by Yakov Amihud and Haim Mendelson Liquidity, ... MARKET LIQUIDITY This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance Illiquidity means ... CRISES Introduction and Overview Market Liquidity and Funding Liquidity Summary and Implications Article by Markus K Brunnermeier and Lasse Heje Pedersen 196 199 Liquidity and the 1987 Stock Market...

Ngày tải lên: 01/11/2014, 11:14

... Green and Ødegaard ~1997!, Litzenberger and Rolfo ~1984a!, and Schaefer ~1982! In addition, Ronn and Shin ~1997!, Jordan and Jordan ~1991!, Constantinides and Ingersoll ~1984!, and Litzenberger and ... Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223–249 Amihud, Yakov, and Haim Mendelson, 1991, Liquidity, maturity, and the yields ... July 7, 1993, and sample covers May 23, 1995 through September 29, 1995 lead to pricing errors, such as liquidity effects, tax effects, and crosssectional variation in the demand for assets based...

Ngày tải lên: 29/03/2014, 06:21

... excess asset returns on the excess market return are positive for assets Friend and Blume (1970), Black, Jensen and with low betas and negative for assets with high betas Scholes (1972) and Stambaugh ... Douglas (1968), Black, Jensen and Scholes (1972), Miller and Scholes (1972), Blume and Friend (1973), Fama and MacBeth (1973) Blume (1970), Friend &Blume (1970) and Black, Jensen &Scholes (1972) ... residuals French and Blume (1970) and Black, Jensen and Scholes (1972) work with portfolios, rather than individual securities to reduces the critical errors in variables problem Fama and MacBeth...

Ngày tải lên: 16/11/2014, 11:29

... THE CAPITAL ASSET PRICING MODE THEOORY AND EVIDENCE CAPM is the first proposed by Sharpe(1964) and Markowitz, Sharpe, Lintner and mossin are researchers credited with ... market clearing asset price at t01, investors agree on the joint distribution of assets from t-1 to t  - Borrowing and lending at a risk-free rate: which is the same for all investors and does not ... predictions about the intercept and slope in the relation between expected return and market beta The times-series means of the monthly slopes and intercepts, along with the standard errors of the means,...

Ngày tải lên: 16/11/2014, 15:16

... The relationship between return and market value of common stocks Journal of Financial Economics, 9, 3−18 Chan, H W and R W Faff (2005), Asset pricing and the illiquidity premium” The Financial ... (2012), Liquidity and Expected Stock Returns Listed on Vietnamese Stock Market”, European Journal of Economics, Finance and Administrative Sciences 48, pp151-157 Pin-Huang Chou , Robin K Chou and ... between the change in earnings and profits with the size and the BE/ME ratios? (2) whether the condition variables which are not aware, make a change in consumption and wealth which will not be...

Ngày tải lên: 13/09/2015, 17:51

... đầu tư Lý thuyết định giá kinh doanh chênh lệch (Arbitrage pricing theory) Có lẽ lý thuyết định giá kinh doanh chênh lệch (Arbitrage pricing theory – APT) lý thuyết “cạnh tranh” gay gắt với mơ ... tránh khỏi hạn chế trích Ở thảo luận vài hạn chế bật mơ hình CAPM 1 Ross, Westerfield, Jaffe, and Roberts (1995), Corporate Finance, Irwin 4.1 Những phát bất thường áp dụng CAPM Một số học giả ... tin β từ nhà cung cấp dịch vụ Value Line Investment Survey, Market Guide (www.marketguide.com) Standard & Poor’s Stock Reports Ở Canada thơng tin β Burns Fry Limited cung cấp Bảng 6.1 giới thiệu...

Ngày tải lên: 04/04/2013, 15:32

... log  : 0: (1.5) 122 In summary, capital asset pricing works as follows: Consider an agent who has initial wealth and wants to invest in the stock and money market so as to maximize IE log Xn: ... any random variable satisfying IE  n  = X0 and let  = X0 : n From (1.5) we have log  ,  Xn  log X0 , 1: n Taking expectations, we have IE log  , X IE  n   IE log  , 1; and so ... : : : ; x ; k = 1; : : : ; m; m m @xk @xk (1.1) g x; : : : ; x  = 0: m (1.2) and For our problem, (1.1) and (1.2) become n x IP ! k  =  n !k IP !k ; k = 1; : : : ; ; k 2n X k=1 n...

Ngày tải lên: 18/10/2013, 03:20

... the market demand curve (columns and 2) Graphically, the marginal revenue curve lies below the demand curve, and its distance from the demand curve Chapter 12 Monopoly Power and Firm Pricing Decisions ... aimed at increasing the demand for the goods and Chapter 12 Monopoly Power and Pricing Decisions services being produced But demands are also affected by other factors, and many of them are beyond ... crossed the fixed vertical supply of land which means the owner would have to charge the competitive price (where the demand for the land and the supply of the land came together) You might think...

Ngày tải lên: 17/12/2013, 15:19

Ngày tải lên: 15/01/2014, 16:56

... MARKET LIQUIDITY Fundamentally, domestic credit has three major sources: private saving (individuals and firms), government saving (surpluses of federal, state, and local governments), and changes ... government security dealers.7 The Asset- Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (ABCP MMMF Liquidity Facility) is intended to increase liquidity in the commercial paper ... depository institutions and bank holding companies for the purpose of purchasing high-quality asset- backed commercial paper.8 Under the TAF, the PDCF and, most recently, the ABCP MMMF Liquidity Facility,...

Ngày tải lên: 15/02/2014, 14:20

... on-the-run and off-the-run nominal bonds The Cleveland Fed assumes that there is a positive and stable correlation between the TIPS liquidity premium and the on/off-the-run premium, and in particular ... in (7) and IPt is a measure for the inflation risk premium, and εt is assumed normally distributed whited noise Daily data for spreadt and LPt are taken from the Cleveland Fed homepage and run ... the TIPS liquidity premium one might conclude that liquidity in the TIPS market has fallen However, the transactions volume and the amount outstanding of TIPS convey evidence that TIPS liquidity...

Ngày tải lên: 06/03/2014, 04:20

... the left-hand sides We take the α and β parameters as from Section 3.3, and assume T = 5y We obtain the results of Tables and The Vasicek mapped volatilities are σ V,5y = 0.016580 and ν V,5y ... parameters k, θ, σ and κ, µ, ν by three and check again the approximation We obtain the results shown in Tables and 4, and now the Vasicek mapped volatilities are σ V,5y = 0.108596 and ν V,5y = 0.0060675 ... of (λ, r), and in particular it does not depend on k, θ, σ, κ, ν and µ We will verify this also numerically in Table 6: by amplifying instensity randomness through an increase of κ, ν and µ we...

Ngày tải lên: 06/03/2014, 04:21

... concept of liquidity into two categories: funding liquidity and market liquidity (Brunnermeier and Pedersen, forthcoming) Funding liquidity describes the ease with which expert investors and arbitrageurs ... example, Gromb and Vayanos, 2002; He and Krishnamurthy, 2008) In Kiyotaki and Moore (1997), the ratio between asset value and credit limit is constant In Bernanke and Gertler (1989) and Fisher (1933) ... and Dybvig (1983) is the seminal paper on bank runs Allen and Gale (2007) and Freixas and Rochet (1997), and references therein, are further useful starting points Bernardo and Welch (2004) and...

Ngày tải lên: 06/03/2014, 04:21

... period, the firm’s bonds still trade and market See Anderson and Sundaresan (1996), Mella-Barral and Perraudin (1997), Fan and Sundaresan (2000), and Francois and Morellec (2004) for a more detailed ... coefficient 22 23 See also, for example, Leland (1994), Fan and Sundaresan (2000) See also Fan and Sundaresan (2000) and Francois and Morellec (2004) ¸ Liquidity and Credit Risk 2231 In summary, variables ... is, leverage and asset risk—increase, the components of bond yield spreads that are driven by illiquidity also increase See, for example, Jones, Mason, and Rosenfeld (1984) and Huang and Huang (2002)...

Ngày tải lên: 06/03/2014, 08:20

... De Santis and P Ehling, September 2007 816 “The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US” by S Kaufmann and M T Valderrama, ... financial asset returns” by J Geweke and G Amisano, November 2007 832 “The yield curve and macroeconomic dynamics” by P Hördahl, O Tristani and D Vestin, November 2007 833 “Explaining and forecasting ... Pérez, M Tujula and J.-P Vidal, December 2007 844 “Business cycle synchronization and insurance mechanisms in the EU” by A Afonso and D Furceri, December 2007 845 “Run-prone banking and asset markets”...

Ngày tải lên: 06/03/2014, 09:22

... large-scale land acquisitions, these new models are developing rapidly and are illustrative of far-reaching and profound agrarian transformations, with huge consequences for peasants and traditional land ... with the bank integration model, asset management companies and agricultural engineering models can also directly acquire land Figure 3: The asset management and agricultural engineering model ... (2012) Land rights and the rush for land Rome, International Land Coalition, Research report, 84p Borras, S (2003) Questioning Market-Led Agrarian Reform Experiences from Brazil, Colombia and South...

Ngày tải lên: 07/03/2014, 16:20