The paradox of asset pricing:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ
Princeton Univ. Press
2002
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| Schlagworte: | |
| Online-Zugang: | Table of contents Publisher description Inhaltsverzeichnis |
| Beschreibung: | XIII, 170 S. |
| ISBN: | 0691090297 |
Internformat
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| 650 | 4 | |a Efficient market theory | |
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Datensatz im Suchindex
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| adam_text | CONTENTS
Preface ix
J Principles of Asset Pricing Theory Wherein we review the basics of asset pricing theory, starting from dynamic
programming (pointing out some of the surprising simplifications when
applied to portfolio analysis), introducing the notion of equilibrium, and
then narrowing everything down to arrive at the Capital Asset Pricing Model
(CAPM). The emphasis is on the features that the CAPM shares with virtually
all other asset pricing models, namely, in equilibrium, prices are set so that
expected excess returns are proportional to covariance with aggregate risk.
1.1 Introduction 1
1.2 Stochastic Dynamic Programming 2
1.3 An Application to a Simple Investment Consumption Problem 8
1.4 A Non trivial Portfolio Problem 10
1.5 Portfolio Separation 11
1.6 Toward the First Asset Pricing Model 15
1.7 Consumption Based Asset Pricing Models 17
1.8 Asset Pricing Theory: The Bottom Line 21
1.9 Arrow Debreu Securities Pricing 22
1.10 Roll s Critique 23
1.11 Time Nonseparable Preferences 24
1.12 Existence of Equilibrium 26
1.13 Price Discovery 28
Exercises 36
vi Contents
2 Empirical Methodology Empirical tests of asset pricing theory require the researcher to make auxiliary
assumptions that are not necessarily an integral part of the theory. Most
prominent is the assumption that ties ex ante beliefs (which determine prices) to
the ex post frequencies of the payoffs, which has become known as the efficient
markets hypothesis (EMH). EMH dramatically simplifies empirical methodology.
We review three important types of tests that it generated: (1) Tests of the
mean variance efficiency of benchmark portfolio(s); (2) stochastic Euler equation
tests; and (3) variance bounds tests.
2.1 Introduction 39
2.2 The Efficient Markets Hypothesis (EMH) 42
2.3 Violations of the Stationarity Assumption 46
2.4 Inference in a Nonstationary World 53
2.5 Testing the CAPM 55
2.5.1 A Linear Test 56
2.5.2 A Nonlinear Test 57
2.5.3 The Fama MacBeth Procedure 58
2.5.4 Can One Condition on Less than the Entire State Vector in
Tests of the CAPM? 59
2.6 Testing Consumption Based Asset Pricing Models 63
2.7 Diagnostics: Variance Bounds 66
Exercises 69
3 The Empirical Evidence in a Nutshell
An anthology of the extensive literature on tests of asset pricing models enables
us to form a fairly comprehensive image of the empirical evidence. Few would be
encouraged by the results.
3.1 Introduction 71
3.2 Empirical Evidence on the CAPM 72
3.3 Hansen Jagannathan Bounds 83
3.4 GMM Tests of Consumption Based Models 89
3.5 Cross Sectional Tests 95
3.6 Conclusion 100
Exercises 101
4 The Experimental Evidence
But perhaps we are demanding too much from empirical studies of historical
data from field markets. What about the evidence from simple, purposely built
experimental markets? Some principles emerge well and alive (e.g., the CAPM),
others can be rejected outright (e.g., instantaneous equilibration). The lab also
allows us to discover things that are fundamental to economic theory but difficult
Contents vii
f
to detect in historical data, such as the ranking ofArrow Debreu securities prices.
At the same time, we experience how hard it is to control beliefs.
4.1 Introduction 103
4.2 A Typical Asset Pricing Experiment 107
4.3 Theoretical Predictions 110
4.4 Experimental Results 111
4.5 Announced and Perceived Uncertainty 116
4.6 The Scale of Experimentation 122
4.7 Formal Tests 124
4.7.1 TheCAPM 124
4.7.2 The Arrow Debreu Model 126
4.8 Conclusion 128
5 From EMH to Merely Efficient Learning
Although we obviously do not yet understand how to extrapolate lab results to
the giant and complex field markets, we can investigate whether our econometric
methodology has not been the cause of the empirical failure of asset pricing theory.
The first suspect is EMH. The criticism will be constructive, by demonstrating
thatEMHis unnecessarily strong: much of the simplicity of the EMH based
empirical methodology can be retained even if one cuts out the most objectionable
part. We develop a new methodology for testing asset pricing models that allows
the market to hold mistaken expectations at times, but still requires it to learn as
under EMH. We will call it the hypothesis of efficiently learning markets (ELM).
5.1 Introduction 131
5.2 Bayesian Learning 137
5.3 Digital Option Prices under ELM 140
5.4 Limited Liability Security Prices under ELM 142
5.5 Revisiting an Earlier Example 147
5.6 Conclusion 151
Exercises 152
6 Revisiting the Historical Record Armed with new tools, we can revisit historical data. We investigate the
aftermarket performance of almost five thousand U.S. initial public offerings
(IPOs) in the period 1975 95. Although not perfect, we find far more support
for the theory. The example suggests that we may want to substitute ELM for
EMH in future studies of historical data from field markets.
6.1 Introduction 153
6.2 U.S. IPO Aftermarket Performance 154
6.3 Conclusion 162
References 163
Index 169
|
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| spelling | Bossaerts, Peter L. 1960- Verfasser (DE-588)123816424 aut The paradox of asset pricing Peter L. Bossaerts Princeton, NJ Princeton Univ. Press 2002 XIII, 170 S. txt rdacontent n rdamedia nc rdacarrier Dynamische programmering gtt Efficiëntie gtt Marché efficient, Hypothèse du Modèle de fixation du prix des actifs Portfolio-theorie gtt Prijstheorie gtt Stochastische programmering gtt Valeurs mobilières Capital assets pricing model Efficient market theory Securities Kapitalmarkteffizienz (DE-588)4125264-0 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Kapitalmarkteffizienz (DE-588)4125264-0 s DE-604 http://www.loc.gov/catdir/toc/prin031/2001055194.html Table of contents http://www.loc.gov/catdir/description/prin021/2001055194.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009862131&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bossaerts, Peter L. 1960- The paradox of asset pricing Dynamische programmering gtt Efficiëntie gtt Marché efficient, Hypothèse du Modèle de fixation du prix des actifs Portfolio-theorie gtt Prijstheorie gtt Stochastische programmering gtt Valeurs mobilières Capital assets pricing model Efficient market theory Securities Kapitalmarkteffizienz (DE-588)4125264-0 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4125264-0 (DE-588)4121078-5 |
| title | The paradox of asset pricing |
| title_auth | The paradox of asset pricing |
| title_exact_search | The paradox of asset pricing |
| title_full | The paradox of asset pricing Peter L. Bossaerts |
| title_fullStr | The paradox of asset pricing Peter L. Bossaerts |
| title_full_unstemmed | The paradox of asset pricing Peter L. Bossaerts |
| title_short | The paradox of asset pricing |
| title_sort | the paradox of asset pricing |
| topic | Dynamische programmering gtt Efficiëntie gtt Marché efficient, Hypothèse du Modèle de fixation du prix des actifs Portfolio-theorie gtt Prijstheorie gtt Stochastische programmering gtt Valeurs mobilières Capital assets pricing model Efficient market theory Securities Kapitalmarkteffizienz (DE-588)4125264-0 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Dynamische programmering Efficiëntie Marché efficient, Hypothèse du Modèle de fixation du prix des actifs Portfolio-theorie Prijstheorie Stochastische programmering Valeurs mobilières Capital assets pricing model Efficient market theory Securities Kapitalmarkteffizienz Capital-Asset-Pricing-Modell |
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