Página 18 dos resultados de 1125 itens digitais encontrados em 0.006 segundos

Modelos de precificação de ativos e o efeito liquidez : evidências empíricas do mercado acionário brasileiro

Machado, Márcio André Veras
Fonte: Universidade de Brasília Publicador: Universidade de Brasília
Tipo: Tese
Português
Relevância na Pesquisa
28.626284%
Tese (doutorado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, Programa de Pós-Graduação em Administração, 2009.; Essa tese teve por objetivo, primeiramente, analisar se existe o prêmio de liquidez no mercado acionário Brasileiro. Em seguida, acrescentar a liquidez como um fator de risco nos modelos de precificação de ativos e averiguar se ela é precificada e explica parte das variações dos retornos das ações. Para isso, foram usadas cinco medidas de liquidez e optou-se pelo emprego de portfólios. Dessa forma, fez-se uso de regressão em série de tempo que permitiu verificar se o retorno das ações era explicado não apenas pelo fator de risco sistemático, conforme propõe o CAPM, pelos três fatores de Fama e French (1993) e pelo fator momento de Carhart (1997), mas também pela liquidez, conforme sugerido por Amihud e Mendelson (1986). Quanto aos fatores de risco estudados, observou-se um prêmio de mercado de 3,09% ao mês. Quanto ao fator tamanho, os resultados obtidos sugerem um efeito tamanho favorável às grandes empresas, descaracterizando o efeito tamanho no mercado Brasileiro (prêmio negativo de 0,05% ao mês). Em relação ao fator BM...

Stocks are from Mars, real estate is from Venus : an inquiry into the determinants of long-run investment performance; Inquiry into the determinants of long-run investment performance

Pai, Arvind
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 80 leaves
Português
Relevância na Pesquisa
28.556672%
This thesis presents an inquiry into the historical performance of core institutional real estate investment property during the 1984-2003 period. The focus of the analysis is on identifying systematic determinants of long run investment performance. The analysis seeks to increase our understanding of equilibrium asset pricing within this asset class, as well to provide some useful perspective for core portfolio strategic or tactical planning. This thesis extends earlier research by Geltner (1999) and Li and Price (2005) that indicated that a classical single-factor CAPM accurately modeled the cross-section of long-run total returns across the major asset classes, including real estate. The present thesis narrows that earlier focus to concentrate on the cross-section of long-run total return performance within the core institutional real estate asset class. This thesis uses the property level data of the NCREIF Index to construct portfolios and historical return indexes based on property size (value), and based on CBSA "tier" (that is, "upper", "middle", and "tertiary" cities from an institutional investment perspective). By using unique portfolios created from the NCREIF property set that represent possible factors that systematically affect asset pricing...

Esscher transforms and consumption-based models

Badescu, A.; Elliott, R.; Siu, T.
Fonte: Elsevier Science BV Publicador: Elsevier Science BV
Tipo: Artigo de Revista Científica
Publicado em //2009 Português
Relevância na Pesquisa
28.458916%
The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated extensively. However, the relationships between the asset pricing model based on the Esscher transform and some fundamental equilibrium-based asset pricing models, such as consumption-based models, have so far not been well-explored. In this paper, we attempt to bridge the gap between consumption-based models and asset pricing models based on Esscher-type transformations in a discrete-time setting. Based on certain assumptions for the distributions of asset returns, changes in aggregate consumptions and returns on the market portfolio, we construct pricing measures that are consistent with those arising from Esscher-type transformations. Explicit relationships between the market price of risk, and the risk preference parameters are derived for some particular cases.; http://www.elsevier.com/wps/find/journaldescription.cws_home/505554/description#description; Alex Badescu, Robert J. Elliott and Tak Kuen Siu

Is There a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

Anginer, Deniz; Yildizhan, Celim
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
28.710122%
Although financial theory suggests a positive relationship between default risk and equity returns, recent empirical papers find anomalously low returns for stocks with high probabilities of default. The authors show that returns to distressed stocks previously documented are really an amalgamation of anomalies associated with three stock characteristics -- leverage, volatility and profitability. In this paper they use a market based measure -- corporate credit spreads -- to proxy for default risk. Unlike previously used measures that proxy for a firm's real-world probability of default, credit spreads proxy for a risk-adjusted (or a risk-neutral) probability of default and thereby explicitly account for the systematic component of distress risk. The authors show that credit spreads predict corporate defaults better than previously used measures, such as, bond ratings, accounting variables and structural model parameters. They do not find default risk to be significantly priced in the cross-section of equity returns. There is also no evidence of firms with high default risk delivering anomalously low returns.

The Emerging Project Bond Market : Covenant Provisions and Credit Spreads

Dailami, Mansoor; Hauswald, Robert
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
28.416519%
The emergence in the 1990s of a nascent project bond market to fund long-term infrastructure projects in developing countries merits attention. The authors compile detailed information on a sample of 105 bonds issued between January 1993 and March 2002 for financing infrastructure projects in developing countries, document their contractual covenants, and analyze their pricing determinants. They find that on average, project bonds are issued at approximately 300 basis points above U.S. Treasury securities, have a surprisingly high issue size of US$278 million, a maturity of slightly under 12 years, and are rated slightly below investment grade. In terms of geographic origin, projects in Asia and Latin America have issued more bonds than those located in other regions. Much of the recent work relating to the role of contractual covenants to the determination of bond prices has focused on the U.S. corporate bond market with its unique bankruptcy code - Chapter 11 - and well developed legal framework, recognizing the bond contract as the sole instrument of defining the rights and duties of various parties. In circumstances in which the underpinning legal and institutional frameworks governing contract formation and enforcement are not well developed...

Criação de valor econômico e suas implicações em empresas brasileiras de capital aberto: uma análise dos modelos de precificação de ativos financeiros

Paiva, Felipe Dias
Fonte: Mestrado em Administração; UFLA; brasil; Departamento de Administração e Economia Publicador: Mestrado em Administração; UFLA; brasil; Departamento de Administração e Economia
Tipo: Dissertação
Publicado em 23/09/2015 Português
Relevância na Pesquisa
28.91008%
The theme of this research is to refer to Economic Value Added (EVA) in Brazilian companies of open capital and the asset pricing models of unique factor. So, the principal objective ofthis research is consisted of tested financial asset pricing models, Capital Asset Pricing Model (CAPM) and Downside Capital AssetPricing Model (D-CAPM), which represem as the best altemative to measure the cost of equity capital of these Brazilian companies of open capital. Specifícally, it has sought for the value of efficiency in application of CAPM and D-CAPM for Brazilian market share and in compare to the EVA's results, affected from the time of use of asset pricing models, CAPM and DCAPM. In this sense, the present research has had as theoretic foundation on the economic value added and financial asset pricing models, preceded by a literature revision model about the market share with an emphasis in evolution of Brazilian market share. The research has been developed through a quantitative investigation, utilizing sample data of period from December 1996 to August 2002. The data has been collected through database of Comissão de Valores Mobiliários (CVM) and of Economática. The test of efficiency of financial asset pricing models indicated a superiority of model D-CAPM compare to CAPM in explanation to return the movable designation of Brazilian market capitais. In that case it is cited that between two models ofmeasuring the capital cost of property...

Asset Prices and Exchange Rates

Pavlova, Anna; Rigobon, Roberto
Fonte: MIT - Massachusetts Institute of Technology Publicador: MIT - Massachusetts Institute of Technology
Tipo: Trabalho em Andamento Formato: 570635 bytes; application/pdf
Português
Relevância na Pesquisa
37.422424%
This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and bond prices are jointly determined. The model predicts that stock market prices are correlated internationally even though their dividend processes are independent, providing a theoretical argument in favor of financial contagion. The foreign exchange market serves as a propagation channel from one stock market to the other. The model identifies interconnections among stock, bond and foreign exchange markets and characterizes their joint dynamics as a three-factor model. Contemporaneous responses of each market to changes in the factors are shown to have unambiguous signs. These implications enjoy strong empirical support. Estimation of various versions of the model reveals that most of the signs predicted by the model indeed obtain in the data, and the point estimates are in line with the implications of our theory. Moreover, the factors we extract from daily data on stock indexes and exchange rates explain a sizable fraction of the variation in a number of macroeconomic variables...

Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk

Campbell, John Y.; Mei, Jianping
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
37.422424%
In this article we break asset's betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. We also show how asset pricing theory restricts the expected excess return components of betas.; Economics

Maximum Entropy Distributions Inferred from Option Portfolios on an Asset

Neri, C.; Schneider, L.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
37.422424%
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for our method and compare our results to theirs. We present numerical results which show that our approach implies very realistic volatility surfaces even when calibrating only to at-the-money options. Finally, we apply our approach to options on the S&P 500 index.; Comment: 23 pages, 5 figures, to appear in Finance and Stochastics

Information, no-arbitrage and completeness for asset price models with a change point

Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; Li, Qinghua
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
37.422424%
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time $\tau$. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in all the filtrations which naturally arise in this setting, establishing martingale representation results and characterizing the validity of the NA1 and NFLVR no-arbitrage conditions.; Comment: 21 pages

A simple model for asset price bubble formation and collapse

Kiselev, Alexander; Ryzhik, Lenya
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 01/09/2010 Português
Relevância na Pesquisa
37.422424%
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for example, popularity of rock groups, or a number of students pursuing a given major). Our goal is to study the simplest possible model in which every term has a clear meaning and which demonstrates several key behaviors. The main factors that enter are tendency of mean reversion to a stable value, speculative social response triggered by trend following and random fluctuations. The interplay of these three forces may lead to bubble formation and collapse. Numerical simulations show that the equation has distinct regimes depending on the values of the parameters. We perform rigorous analysis of the weakly random regime, and study the role of change in fundamentals in igniting the bubble.; Comment: 30 pages

A note on replicating a CDS through a repo and an asset swap

Giada, Lorenzo; Nordio, Claudio
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/04/2013 Português
Relevância na Pesquisa
37.422424%
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause can be priced using the well known unilateral credit/debit valuation adjustment formulas.; Comment: 6 pages, 1 figure, working paper

Fundamental theorem of asset pricing: a strengthened version and $p$-summable markets

Lebedev, Andrei; Zabreiko, Petr
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 22/12/2014 Português
Relevância na Pesquisa
37.422424%
In the article a strenthened version of the 'Fundamental Theorem of asset Pricing' for one-period market model is proven. The principal role in this result play total and nonanihilating cones.; Comment: 10 pages, 1 figure. arXiv admin note: substantial text overlap with arXiv:1410.4807

Asset price manipulation with several traders

Walther, Ansgar
Fonte: Faculty of Economics, University of Cambridge, UK Publicador: Faculty of Economics, University of Cambridge, UK
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
37.422424%
In financial markets with asymmetric information, traders may have an incentive to forgo profitable deals today in order to preserve their informational advantage for future deals. This sort of manipulative behaviour has been studied in markets with one informed trader (Kyle 1985, Chakraborty and Yilmaz 2004). The effect is slower social learning. Using an extension of Glosten and Milgrom?s (1985) trading model, we study this effect in markets with N informed traders. As N grows large, each trader?s price impact subsides, and so does manipulation in equilibrium. However, the impact of manipulation on social learning can be increasing in N. As N increases, each trader individually manipulates less. But nonetheless, the increased number of manipulative actions introduces enough noise to exacerbate the impact of manipulation on learning.

Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments

Bossaerts, Peter; Plott, Charles; Zame, William R.
Fonte: Econometric Society Publicador: Econometric Society
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /07/2007 Português
Relevância na Pesquisa
28.604812%
Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobserved heterogeneity. This approach yields the standard pricing conclusions of classical models but is consistent with very different portfolio choices. Novel econometric tests link the price and portfolio predictions and take into account the general equilibrium effects of sample-size bias. This paper works through the approach in detail for the case of the classical capital asset pricing model (CAPM), producing a model called CAPM+ε. When these econometric tests are applied to data generated by large-scale laboratory asset markets that reveal both prices and portfolio choices, CAPM+εis not rejected.

Essays on Financial Economics

Liu, Yan
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2014 Português
Relevância na Pesquisa
28.416519%

In this thesis, I develop two sets of methods to help understand two distinct but also

related issues in financial economics.

First, representative agent models have been successfully applied to explain asset

market phenomenons. They are often simple to work with and appeal to intuition by

permitting a direct link between the agent's optimization behavior and asset market

dynamics. However, their particular modeling choices sometimes yield undesirable

or even counterintuitive consequences. Several diagnostic tools have been developed by the asset pricing literature to detect these unwanted consequences. I contribute to this literature by developing a new continuum of nonparametric asset pricing bounds to diagnose representative agent models. Chapter 1 lays down the theoretical framework and discusses its relevance to existing approaches. Empirically, it uses bounds implied by index option returns to study a well-known class of representative agent models|the rare disaster models. Chapter 2 builds on the insights of Chapter 1 to study dynamic models. It uses model implied conditional variables to sharpen asset pricing bounds, allowing a more powerful diagnosis of dynamic models.

While the first two chapters focus on the diagnosis of a particular model...

Asymmetric Correlations in Financial Markets

Ozsoy, Sati Mehmet
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2013 Português
Relevância na Pesquisa
37.422424%

This dissertation consists of three essays on asymmetric correlations in financial markets. In the first essay, I have two main contributions. First, I show that dividend growth rates have symmetric correlations. Second, I show that asymmetric correlations are different than correlations being counter-cyclical. The correlation asymmetry I study in this dissertation should not be confused with correlations being counter-cyclical, i.e. being higher during recessions than during booms. I show that while counter-cyclical correlations can simply be explained by counter-cyclical aggregate market volatility, the correlation asymmetry with respect to joint upside and downside movements of returns are not just due to the heightened market volatility during those times.

In the second essay I present a model in order to explain the correlation asymmetry observed in the data. This is the first paper to offer an explanation for observed correlation asymmetry. I formalize the explanation using an equilibrium model. The model is useful to understand both the cross-section and time-series of correlation asymmetry. By the means of my model, we can answer questions about why some stocks have higher correlation asymmetry, and why the correlation asymmetry was higher during 1990s? In the model asset prices respond the realization of dividends and news about the future. However...

Essays in Financial Economics

Kung, Howard Pan
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2012 Português
Relevância na Pesquisa
37.422424%

In my dissertation, I study the link between economic growth and asset prices in stochastic endogenous growth models. In these settings, long-term growth prospects are endogenously determined by innovation and R\&D. In equilibrium, R\&D endogenously drives a small, persistent component in productivity which generates long-run uncertainty about economic growth. With recursive preferences, this growth propagation mechanism helps reconcile a broad spectrum of equity and bond market facts jointly with macroeconomic fluctuations.

; Dissertation

Análise do risco sistemático multi-escalar no mercado financeiro do Brasil; Análisis del riesgo sistemático multiescala en el mercado financiero de Brasil; Analysis of multi-scale systemic risk in Brazil's financial market

Bortoluzzo, Adriana Bruscato; Minardi, Andrea Maria Accioly Fonseca; Passos, Bruno Caio Fernando
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares Formato: application/pdf
Publicado em 01/06/2014 Português
Relevância na Pesquisa
28.541572%
En este trabajo se analiza si la relación entre riesgo y rendimiento prevista por el Capital Asset Pricing Model (CAPM) tiene validez en el mercado de acciones brasileño, con base en la descomposición discreta de wavelet en diferentes escalas de tiempo. Esta técnica permite analizar la relación en diferentes horizontes temporales, desde el corto plazo (2 a 4 días) hasta el largo plazo (64 a 128 días). Los resultados muestran que entre los años 2004 y 2007 existe una relación negativa o nula entre riesgo sistemático y rendimiento en Brasil. Como el rendimiento en exceso medio de la cartera de mercado sobre el activo libre de riesgo en el período fue positivo, se esperaría que esta relación fuese positiva, es decir, un mayor riesgo sistemático se traduciría en un mayor rendimiento en exceso, lo que no ocurrió. Por consiguiente, no se observó en este período una remuneración adecuada por el riesgo sistemático en el mercado brasileño. Las escalas que presentaron una relación más significativa entre riesgo y rendimiento fueron las tres primeras, y corresponden a horizontes de más corto plazo. Se puede decir que - al tratar de manera diferente año a año y, por consiguiente, separar premios positivos y negativos - se encuentra en algunos años alguna relevancia en la relación riesgo rendimiento prevista por el CAPM...

Simulated nonparametric estimation of continuous time models of asset prices and returns

Altissimo, Filippo; Mele, Antonio
Fonte: Financial Markets Group, London School of Economics and Political Science Publicador: Financial Markets Group, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /01/2004 Português
Relevância na Pesquisa
37.422424%
This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and nonparametric joint (and/or conditional) densities estimated from data simulated out of the model of interest. Sample data and model-simulated data are smoothed with the same kernel. This makes the estimator: 1) consistent independently of the amount of smoothing; and 2) asymptotically root-T normal when the smoothing parameter goes to zero at a reasonably mild rate. When the underlying state is observable, the estimator displays the same asymptotic efficiency properties as the maximum-likelihood estimator. In the partially observed case, we derive conditions under which efficient estimators can be implemented with the help of auxiliary prediction functions suggested by standard asset pricing theories. The method is flexible, fast to implement and possesses finite sample properties that are well approximated by the asymptotic theory.