Asset pricing and default risk:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Hamburg
Kovač
2011
|
| Schriftenreihe: | Schriftenreihe Finanzmanagement
76 |
| Schlagworte: | |
| Online-Zugang: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Beschreibung: | XVI, 138 S. graph. Darst. |
| ISBN: | 9783830055372 3830055374 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804143571713916928 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
LIST OF TABLES IX
LIST OF FIGURES XI
LIST OF ABBREVIATIONS XIII
PREFACE XV
1 NEW ISSUES IN ASSET PRICING 1
1.1 INTRODUCTION 1
1.2 RESEARCH ISSUES 2
1.2.1 SYSTEMATIC DEFAULT RISK IN EQUITY RETURNS 2
1.2.2 BETA PRICING METHODS AND THE STOCHASTIC DISCOUNT FACTOR 4
1.2.3 MIMICKING PORTFOLIOS AND ASSET RETURN FACTORS . . 6 BIBLIOGRAPHY
FOR CHAPTER 1 9
2 THE STATE-OF-THE-ART OF CURRENT KNOWLEDGE 13
2.1 ASSET PRICING MODELS 13
2.1.1 CAPM 13
2.1.2 CONDITIONAL ASSET PRICING MODELS 14
2.1.3 CONSUMPTION-BASED CAPM 15
2.1.4 MULTIFACTOR ASSET PRICING MODELS 16
2.1.5 ANOMALIES 17
2.2 FINANCIAL DISTRESS 19
2.2.1 THE ROLE OF FINANCIAL DISTRESS IN ASSET PRICING . . 19 2.2.2
MEASURING FINANCIAL DISTRESS 20
V
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1008263389
DIGITALISIERT DURCH
IMAGE 2
BIBLIOGRAPHY FOR CHAPTER 2 23
3 THE IMPACT OF DEFAULT RISK ON EQUITY RETURNS 33
3.1 INTRODUCTION 33
3.2 METHODOLOGY 36
3.2.1 ESTIMATING FIRMS PROBABILITIES OF DEFAULT 36
3.2.2 FACTOR CONSTRUCTION AND TEST ASSETS 39
3.2.3 ECONOMETRIC METHODOLOGY 40
3.3 DATA AND SUMMARY STATISTICS 41
3.3.1 PORTFOLIO RETURNS AND DEFAULT RISK CHARACTERISTICS 42 3.3.2 FACTOR
CHARACTERISTICS 45
3.4 GERMAN STOCK MARKET RESULTS 46
3.4.1 TIME SERIES AND CROSS-SECTIONAL TEST 46
3.4.2 FACTORS DETERMINING THE PRICING KERNEL 49
3.5 FINANCIAL SYSTEM COMPARISON AND STOCK RETURNS 52
3.5.1 DEFAULT RISK FACTORS FOR THE U.S. MARKET 52
3.5.2 BANK DEPENDENCE AND DEFAULT RISK SENSITIVITY . .. 54 3.6
CONCLUSIONS 60
APPENDIX 63
BIBLIOGRAPHY FOR CHAPTER 3 66
4 THE STOCHASTIC DISCOUNT FACTOR AND BETA PRICING 69
4.1 INTRODUCTION 69
4.2 METHODOLOGY 71
4.2.1 BETA PRICING MODEL 71
4.2.2 SDF MODEL 76
4.2.3 MONTE-CARLO SIMULATION AND DATA 79
4.3 SIMULATION RESULTS 82
4.4 CONCLUSION 90
BIBLIOGRAPHY FOR CHAPTER 4 92
5 MIMICKING PORTFOLIOS AND ASSET RETURN FACTORS 95
5.1 INTRODUCTION 95
5.2 THE FAMA/FRENCH THREE-FACTOR MODEL ECONOMY 98
5.2.1 THE MODEL 98
VI
IMAGE 3
5.2.2 SIMULATION DESIGN 99
5.2.3 FACTOR ESTIMATES 107
5.2.4 TEST ASSETS ESTIMATES 107
5.3 SIMULATION RESULTS I LL
5.3.1 UNBIASEDNESS OF THE ESTIMATOR I LL
5.3.2 STATISTICAL LOSS 114
5.3.3 PARTIALLY OBSERVED FACTORS 122
5.4 CONCLUSION 127
APPENDICES 129
BIBLIOGRAPHY FOR CHAPTER 5 136
VII
|
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| bvnumber | BV036868219 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)700635985 (DE-599)DNB1008263389 |
| dewey-full | 332.63222015118 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63222015118 |
| dewey-search | 332.63222015118 |
| dewey-sort | 3332.63222015118 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-09T22:49:47Z |
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| isbn | 9783830055372 3830055374 |
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| spelling | Breig, Christoph 1979- Verfasser (DE-588)143284177 aut Asset pricing and default risk Christoph Breig Hamburg Kovač 2011 XVI, 138 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Finanzmanagement 76 Zugl.: München, Univ., Diss., 2010 Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Aktienmarkt (DE-588)4130931-5 s Preisbildung (DE-588)4047103-2 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Ausfallrisiko (DE-588)4205942-2 s Aktienrendite (DE-588)4126593-2 s DE-604 Schriftenreihe Finanzmanagement 76 (DE-604)BV013087358 76 X:MVB text/html http://www.verlagdrkovac.de/978-3-8300-5537-2.htm Ausführliche Beschreibung DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020783840&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Breig, Christoph 1979- Asset pricing and default risk Schriftenreihe Finanzmanagement Aktienmarkt (DE-588)4130931-5 gnd Aktienrendite (DE-588)4126593-2 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Preisbildung (DE-588)4047103-2 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
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| title | Asset pricing and default risk |
| title_auth | Asset pricing and default risk |
| title_exact_search | Asset pricing and default risk |
| title_full | Asset pricing and default risk Christoph Breig |
| title_fullStr | Asset pricing and default risk Christoph Breig |
| title_full_unstemmed | Asset pricing and default risk Christoph Breig |
| title_short | Asset pricing and default risk |
| title_sort | asset pricing and default risk |
| topic | Aktienmarkt (DE-588)4130931-5 gnd Aktienrendite (DE-588)4126593-2 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Preisbildung (DE-588)4047103-2 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
| topic_facet | Aktienmarkt Aktienrendite Capital-Asset-Pricing-Modell Preisbildung Ausfallrisiko Hochschulschrift |
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