The epistemological value of consumption based asset pricing models:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Verlag Dr. Kovač
2015
|
| Series: | BOETHIANA
119 |
| Subjects: | |
| Online Access: | 03 Inhaltsverzeichnis |
| Physical Description: | 322 Seiten Diagramme |
| ISBN: | 383008580X 9783830085805 |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV042910046 | ||
| 003 | DE-604 | ||
| 005 | 20180305 | ||
| 007 | t | ||
| 008 | 151006s2015 |||| m||| 00||| eng d | ||
| 015 | |a 15N25 |2 dnb | ||
| 016 | 7 | |a 1072166240 |2 DE-101 | |
| 020 | |a 383008580X |9 3-8300-8580-X | ||
| 020 | |a 9783830085805 |9 978-3-8300-8580-5 | ||
| 035 | |a (OCoLC)929425324 | ||
| 035 | |a (DE-599)DNB1072166240 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-N2 |a DE-11 | ||
| 082 | 0 | |a 332.63222 |2 22/ger | |
| 084 | |a QB 100 |0 (DE-625)141210: |2 rvk | ||
| 084 | |a QK 622 |0 (DE-625)141669: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Bjorheim, Jacob |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The epistemological value of consumption based asset pricing models |c Jacob Bjorheim |
| 264 | 1 | |a Hamburg |b Verlag Dr. Kovač |c 2015 | |
| 300 | |a 322 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a BOETHIANA |v 119 | |
| 502 | |b Dissertation |c London School of Economics and Poliical Science |d 2014 | ||
| 650 | 0 | 7 | |a Erkenntnistheorie |0 (DE-588)4070914-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Anlageverhalten |0 (DE-588)4214003-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Methodologischer Individualismus |0 (DE-588)4114581-1 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Capital-Asset-Pricing-Modell |0 (DE-588)4121078-5 |D s |
| 689 | 0 | 1 | |a Erkenntnistheorie |0 (DE-588)4070914-0 |D s |
| 689 | 0 | 2 | |a Methodologischer Individualismus |0 (DE-588)4114581-1 |D s |
| 689 | 0 | 3 | |a Anlageverhalten |0 (DE-588)4214003-1 |D s |
| 689 | 0 | |5 DE-604 | |
| 830 | 0 | |a BOETHIANA |v 119 |w (DE-604)BV011835080 |9 119 | |
| 856 | 4 | |q text/html |u http://www.verlagdrkovac.de/978-3-8300-8580-5.htm |3 03 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028337874&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028337874 | ||
Record in the Search Index
| _version_ | 1804175207032684544 |
|---|---|
| adam_text | TABLE OF CONTENTS
INTRODUCTION
IS
1. THE FASCINATION OF FINANCIAL MARKETS 15
1.1 THREE GROUPS OF FINANCIAL MARKET PARTICIPANTS IS
1.2 DEMAND FOR UNDERSTANDING 18
1.3 RESEARCH 19
1.4 ASSET PRICING MODELS 21
2. COMPLICATIONS AHEAD 23
3. ROADMAP FOR RESOLUTION 24
4. OVERVIEW OF THE THESIS 27
CHAPTER 2: 29
ASSET PRICING MODELS, THEORIES AND ASSESSMENT 29
INTRODUCTION 29
1. ASSET PRICING DATA AND MODELS 32
1.1 FINANCIAL MARKET DATA 34
1.2 TWO GROUPS OF ASSET PRICING MODELS 39
1.3 FACTOR-BASED ASSET PRICING MODELS 40
2. FINANCIAL MARKET FACTS AND A STORY 46
2.1 THE FINANCIAL MARKET FACTS 46
2.2 THE FINANCIAL MARKET STORY 49
3. INVESTOR, UTILITY AND RISK 53
3.1 THE INVESTOR 53
3.2 INTER-TEMPORAL CONSUMPTION CHOICE AND UTILITY 55
3.3 MARGINAL RATE OF SUBSTITUTION 57
3.4 INVESTMENT RISK AND CONTINGENT CONSUMPTION 59
3.5 RISK PREFERENCE 62
4. THE CONSUMPTION BASED ASSET PRICING MODEL 66
4.1 THE BASIC PRICING EQUATION 66
4.2 THE FIRST ORDER CONDITION AND THE CENTRAL ASSET PRICING FORMULA 67
4.3 THE STOCHASTIC DISCOUNT FACTOR 69
4.4 THE COVARIANCE 71
5. FROM INDIVIDUAL OPTIMIZATION TO EQUILIBRIUM ASSET PRICING 74
5.1 SIMPLIFICATIONS WITH RESPECT TO THE INVESTOR 76
5.2 SIMPLIFICATIONS WITH RESPECT TO FINANCIAL MARKETS 77
5.3 SIMPLIFICATIONS WITH RESPECT TO FINANCIAL ASSETS 78
5.4 EQUILIBRIUM 79
9
HTTP://D-NB.INFO/1072166240
6. ASSESSING THE CCAPM 81
6.1 THE RESEARCH QUESTION 82
6.2 THE COMPLICATION 83
6.3 THREE AVENUES OF RECTIFICATION 87
6.3.1 DATA 87
6.3.2 THEORETICAL UNDERSTANDING 88
6.3.3 INCORPORATING NON-STANDARD PREFERENCES 90
6.3.4 HABIT-PERSISTENCY 92
6.4 EVALUATION OF THE SUGGESTED SOLUTIONS 96
6.5 RECENT WORK ON CONSUMPTION BASED MODELS 98
CHAPTER 3: 101
CCAPM THEORY, ASSUMPTIONS AND RESEARCH PROGRAMME 101
INTRODUCTION 101
1. THE MICROECONOMIC FOUNDATION 104
1.1 THE INVESTOR 107
1.1.1 FROM THE WHOLE MAN TO THE REPRESENTATIVE INVESTOR 108
1.1.2 THE TRIAD OF TEMPERAMENTS 112
1.2 THE DOMAIN OF THE FINANCIAL MARKET ACTIVITY 116
1.2.1 THE FINANCIAL MARKET DOMAIN 116
1.2.2 THE FINANCIAL MARKET ASSETS 119
1.3 SIMPLIFICATIONS, IDEALIZATIONS, FICTIONS AND SEPARATENESS I21
1.3.1 BUCHANAN S AND HENDRY S SIMPLIFICATION 122
1.3.2 MAEKI S IDEALIZATIONS AND MORGAN S FICTIONS 126
1.3.3 HAUSMAN S SEPARATE REALM 131
1.4 THE FALLACY OF SIMPLIFICATION 134
1.4.1 THE DOGMATIC STARTING POINT 135
1.4.2 THE CONSEQUENCES OF THE DOGMATIC STARTING POINT I37
2. CCAPM AND ITS ASSUMPTIONS. 140
2.1 SOME ASSUMPTIONS ARE MORE FUNDAMENTAL THAN OTHER 141
2.1.1 FUNDAMENTAL PRINCIPLES I42
2.1.2 AUXILIARY ASSUMPTIONS 144
2.2 A HIERARCHY OF ASSUMPTIONS 146
3. IMRE LAKATOS RESEARCH PROGRAMME AND THE CCAPM 147
3.1 THE RESEARCH PROGRAMME 148
3.2 CCAPM S HISTORICAL DEVELOPMENT 150
3.3 COCHRANE S HARD CORE AND PROTECTIVE BELT 156
3.3.1 COMBINING THE HARD CORE AND THE PROTECTIVE BELT 160
3.3.2 INTERLINKED THEORIES 162
3.3.3 DEDUCTIONS FROM THE A PRIORI 165
3.4 COCHRANE S POSITIVE AND NEGATIVE HEURISTIC 171
3.5 PROGRESSIVE OF DEGENERATING? 174
3.6 LAKATOS CRITICS 177
10
CHAPTER 4: 181
CCAPM ONTOLOGY, USE AND REPRESENTATION 181
INTRODUCTION 181
1. WHAT IS THE CONSUMPTION BASED ASSET PRICING MODEL? 183
1.1 THE MODEL M IN CCAPM 184
1.2 MODEL ONTOLOGY 185
1.2.1 FRIGG AND HARTMAN S MODEL CLASSIFICATION 187
1.2.2 GIBBARD AND VARIAN S MODEL VIEWS 188
1.2.3 GIERE S PURE AND APPLIED MODELS 190
1.2.4 FRIEDMAN S LAYERS 191
1.3 AN APPLIED MATHEMATICAL MODEL 193
2. HOW IS THE CONSUMPTION BASED MODEL USED? 194
2.1 THE ANALYTICALLY CONVENIENT SPECIAL CASES I9S
2.2 THE EMPIRICALLY USEFUL REPRESENTATIONS I99
3. ANALYTICAL CASES AND THEIR REPRESENTATION 202
3.1 WHAT MODELS REPRESENT 203
3.1.1 IDEALIZATION AND FICTIONS 204
3.1.2 RICHER ANALYTICAL CASES 206
3.1.3 DE-IDEALIZATION 208
3.1.4 VERTICAL PORTABILITY 210
3.1.5 HORIZONTAL PORTABILITY 211
3.2 HAUSMAN S CONCEPTUAL EXPLORATIONS 213
4. EMPIRICAL REPRESENTATIONS OF ANALYTICAL CASES 217
4.1 ANALYTICAL CASES AND REAL SITUATIONS 219
4.2 COCHRANE WORKS WITH THEORY 219
4.2.1 CATEGORY ONE CASES 221
4.2.2 CATEGORY TWO CASES 223
4.3 A STYLIZED HD ACCOUNT 227
4.4 STORIES AND OTHER BRIDGES TO THE EMPIRICAL 231
4.4.1 COCHRANE S STORY 231
4.4.2 FRIEDMAN S CONNECTORS 235
4.4.3 HEMPEL S BRIDGES AND CARTWRIGHF S TWO MODELS 236
CHAPTER 5: 243
CCAPM APPLICATION AND ASSESSMENT 243
INTRODUCTION 243
1. THE RESEARCH QUESTION, COMPLICATIONS AND REJECTIONS 246
2. COCHRANE S RESPONSE 247
2.1 HABIT-PERSISTENCE 248
2.2 REVERSE-ENGINEERING 251
2.3 STATISTICAL RESULTS 253
2.3.1 MODEL EVALUATION 253
2.3.2 REJECTED MODELS 256
11
2.4 ASSESSING COCHRANE S HABIT-PERSISTENCE RESPONSE 237
3. JUSTIFYING CCAPM AND THE EMPIRICAL TESTS 264
3.1 THE CCAPM IS THE CORRECT STARTING POINT 264
3.2 THE LITMUS-TEST 269
3.3 WHAT IS TESTED ? 271
4. CCAPM, THE CHALLENGES AND A POSSIBLE SOLUTION 273
4.1 IDEALIZATIONS, FICTIONS AND UNREALISTIC ASSUMPTIONS 274
4.2 A COMPLEX SOCIO-ECONOMIC WORLD 280
4.3 POINT-FORECASTS OR CLAIMS ABOUT TENDENCIES? 287
5. STATISTICAL PHILOSOPHY - A WAY OUT? 302
5.1 DE-EMPHASIZING PREDICTABILITY 303
5.2 INTERESTING AND CLEAN STORIES? 309
6. MAIN CONCLUSIONS 311
REFERENCES 313
12
|
| any_adam_object | 1 |
| author | Bjorheim, Jacob |
| author_facet | Bjorheim, Jacob |
| author_role | aut |
| author_sort | Bjorheim, Jacob |
| author_variant | j b jb |
| building | Verbundindex |
| bvnumber | BV042910046 |
| classification_rvk | QB 100 QK 622 |
| ctrlnum | (OCoLC)929425324 (DE-599)DNB1072166240 |
| dewey-full | 332.63222 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63222 |
| dewey-search | 332.63222 |
| dewey-sort | 3332.63222 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02129nam a2200517 cb4500</leader><controlfield tag="001">BV042910046</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20180305 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">151006s2015 |||| m||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">15N25</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">1072166240</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">383008580X</subfield><subfield code="9">3-8300-8580-X</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783830085805</subfield><subfield code="9">978-3-8300-8580-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)929425324</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB1072166240</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-N2</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63222</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 100</subfield><subfield code="0">(DE-625)141210:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 622</subfield><subfield code="0">(DE-625)141669:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Bjorheim, Jacob</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">The epistemological value of consumption based asset pricing models</subfield><subfield code="c">Jacob Bjorheim</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hamburg</subfield><subfield code="b">Verlag Dr. Kovač</subfield><subfield code="c">2015</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">322 Seiten</subfield><subfield code="b">Diagramme</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">BOETHIANA</subfield><subfield code="v">119</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="b">Dissertation</subfield><subfield code="c">London School of Economics and Poliical Science</subfield><subfield code="d">2014</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Erkenntnistheorie</subfield><subfield code="0">(DE-588)4070914-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Anlageverhalten</subfield><subfield code="0">(DE-588)4214003-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Methodologischer Individualismus</subfield><subfield code="0">(DE-588)4114581-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Capital-Asset-Pricing-Modell</subfield><subfield code="0">(DE-588)4121078-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Erkenntnistheorie</subfield><subfield code="0">(DE-588)4070914-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Methodologischer Individualismus</subfield><subfield code="0">(DE-588)4114581-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Anlageverhalten</subfield><subfield code="0">(DE-588)4214003-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">BOETHIANA</subfield><subfield code="v">119</subfield><subfield code="w">(DE-604)BV011835080</subfield><subfield code="9">119</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="q">text/html</subfield><subfield code="u">http://www.verlagdrkovac.de/978-3-8300-8580-5.htm</subfield><subfield code="3">03</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028337874&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028337874</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV042910046 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:12:37Z |
| institution | BVB |
| isbn | 383008580X 9783830085805 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028337874 |
| oclc_num | 929425324 |
| open_access_boolean | |
| owner | DE-N2 DE-11 |
| owner_facet | DE-N2 DE-11 |
| physical | 322 Seiten Diagramme |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Verlag Dr. Kovač |
| record_format | marc |
| series | BOETHIANA |
| series2 | BOETHIANA |
| spelling | Bjorheim, Jacob Verfasser aut The epistemological value of consumption based asset pricing models Jacob Bjorheim Hamburg Verlag Dr. Kovač 2015 322 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier BOETHIANA 119 Dissertation London School of Economics and Poliical Science 2014 Erkenntnistheorie (DE-588)4070914-0 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Methodologischer Individualismus (DE-588)4114581-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Erkenntnistheorie (DE-588)4070914-0 s Methodologischer Individualismus (DE-588)4114581-1 s Anlageverhalten (DE-588)4214003-1 s DE-604 BOETHIANA 119 (DE-604)BV011835080 119 text/html http://www.verlagdrkovac.de/978-3-8300-8580-5.htm 03 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028337874&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bjorheim, Jacob The epistemological value of consumption based asset pricing models BOETHIANA Erkenntnistheorie (DE-588)4070914-0 gnd Anlageverhalten (DE-588)4214003-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Methodologischer Individualismus (DE-588)4114581-1 gnd |
| subject_GND | (DE-588)4070914-0 (DE-588)4214003-1 (DE-588)4121078-5 (DE-588)4114581-1 (DE-588)4113937-9 |
| title | The epistemological value of consumption based asset pricing models |
| title_auth | The epistemological value of consumption based asset pricing models |
| title_exact_search | The epistemological value of consumption based asset pricing models |
| title_full | The epistemological value of consumption based asset pricing models Jacob Bjorheim |
| title_fullStr | The epistemological value of consumption based asset pricing models Jacob Bjorheim |
| title_full_unstemmed | The epistemological value of consumption based asset pricing models Jacob Bjorheim |
| title_short | The epistemological value of consumption based asset pricing models |
| title_sort | the epistemological value of consumption based asset pricing models |
| topic | Erkenntnistheorie (DE-588)4070914-0 gnd Anlageverhalten (DE-588)4214003-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Methodologischer Individualismus (DE-588)4114581-1 gnd |
| topic_facet | Erkenntnistheorie Anlageverhalten Capital-Asset-Pricing-Modell Methodologischer Individualismus Hochschulschrift |
| url | http://www.verlagdrkovac.de/978-3-8300-8580-5.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028337874&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV011835080 |
| work_keys_str_mv | AT bjorheimjacob theepistemologicalvalueofconsumptionbasedassetpricingmodels |