Investment valuation and asset pricing: models and methods
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
palgrave macmillan
[2023]
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xx, 234 Seiten |
| ISBN: | 9783031167836 |
Internformat
MARC
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| 100 | 1 | |a Kolari, James W. |d 1951- |e Verfasser |0 (DE-588)124735878 |4 aut | |
| 245 | 1 | 0 | |a Investment valuation and asset pricing |b models and methods |c James W. Kolari, Seppo Pynnönen |
| 264 | 1 | |a Cham |b palgrave macmillan |c [2023] | |
| 300 | |a xx, 234 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Capital Markets | |
| 650 | 4 | |a Investment Appraisal | |
| 650 | 4 | |a Corporate Finance | |
| 650 | 4 | |a Risk Management | |
| 650 | 4 | |a Capital market | |
| 650 | 4 | |a Valuation | |
| 650 | 4 | |a Business enterprises—Finance | |
| 650 | 4 | |a Financial risk management | |
| 700 | 1 | |a Pynnönen, Seppo |e Verfasser |0 (DE-588)170326837 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-3-031-16784-3 |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-034069665 | ||
Datensatz im Suchindex
| _version_ | 1804184880412622848 |
|---|---|
| adam_text | Contents 1 Portfolio Theory and Practice ................................................................... 1.1 Ex Ante Valuation .......................................................................... 1.2 Ex Post Returns and Risk .............................................................. 1.3 Summary .......................................................................................... Questions ..................................................................................................... Problems ...................................................................................................... Appendix A: Optimal Weights for Two Securities ................................. Appendix B: Optimal Weights for Many Assets ..................................... References ................................................................................................... 2 Capital Market Conditions ................. 2.1 Perfect Capital Markets ................................................................... 2.2 Efficient Markets .............................................................................. 2.3 Risk Aversion..................................................................................... 2.4 Normally Distributed Returns ......................................................... 2.5 Summary ............................................................................................ Questions ..................................................................................................... Problems
...................................................................................................... References ................................................................................................... 3 Capital Asset Pricing Model(CAPM) ....................................................... 3.1 The Present Value of Future Cash Flows ...................................... 3.2 Market Equilibrium Assumptions.................................................... 3.3 Investment Choice with a Riskless Asset ...................................... 3.4 The CAPM ........................................................................................ 3.5 Implications of the CAPM .............................................................. 3.6 Summary ............................................................................................ Questions ..................................................................................................... Problems ...................................................................................................... References ................................................................... 4 The Market Model.......................................................................................... 4.1 4.2 Empirical Form of the CAPM ........................................................ Early Tests of the Market Model ................................................... 1 1 4 11 11 12 12 13 15 17 18 20 22 26 34 35 36 37 39 40 42 44 45 50 52 54 55 55 57 58 59 xi
Contents xii 5 4.2.1 Black, Jensen, and Scholes Study ................................... 4.2.2 Fama and MacBeth Study ............................................... 4.3 Estimating the Market Model ......................................................... 4.4 A Primer on Regression Analysis .................................................. 4.4.1 On the Interpretation of Regression Coefficients ........... 4.4.2 Justification for OLS ........................................................ 4.5 OLS Estimation of the Market Model .......................................... 4.5.1 Goodness-of-Fit ................................................................. 4.6 Summary ................................................ Questions ..................................................................................................... Problems ....................................................................................................... Appendix A: Statistical Inference ............................................................. References ..................................................................................... 59 62 64 67 68 69 72 73 74 76 78 78 82 The Zero-Beta CAPM՛ .................................................................................. 85 5.1 85 85 86 88 91 93 96 97 98 99 Zero-Beta CAPM ...................................................... 5.1.1 Assumptions ...................................................................... 5.1.2 Theoretical Model ............................................................. 5.2 Empirical Tests
................................................................................. 5.3 Connection to Later Research ......................................................... 5.4 GRS Test for Portfolio Efficiency .................................................. 5.5 Summary . ................................... Questions ..................................................................................................... Problems ....................................................................................................... Appendix A: Mathematical Derivation of the Zero-Beta CAPM ......... Appendix B: R Snippet for the GRS Testing Example in Section 5.4 .............................................................................................. References ................................................................................................... 6 101 103 105 Intertemporal CAPM....................................................................... . 106 International Asset Pricing Model (IAPM) ..................................... 109 6.2.1 World Market Factor ........................................................ 109 6.2.2 Exchange Rate Risk .......................................................... 112 6.3 Consumption CAPM ......................................................................... 115 6.4 Production CAPM ............................................................................. 118 6.5 Conditional CAPM ........................................................................... 120 6.6 Summary
............................................................................................. 123 Questions ..................................................................................................... 124 Problems ....................................................................................................... 126 References .................................................................................................... 126 Alternative CAPM Specifications ........................................................ 6.1 6.2 7 The Arbitrage Pricing Theory Model........................................................ 7.1 APT Model .................. 7.1.1 Assumptions ...................................................................... 7.1.2 Theoretical Model ............................................................. 129 130 130 130
xiii Contents 8 7.2 Empirical Testing .............................................................................. 7.3 Summary ....................... Questions ..................................................................................... .............. Problems ............................................................................ .......................... References ................................................................................................... 134 136 137 137 138 Multifactor Models ........................................................................................ 139 140 142 147 150 151 152 153 8.1 What Explains Stock Returns? ....................................................... 8.2 Fama and French Three-Factor Model ........................................... 8.3 Three-Factor Controversy ................................................................ 8.4 Summary ............................................................................................ Questions .................................................................................................... Problems ...................................................................................................... References ................................................................................................... 9 Anomalies and Multifactor Models ........................................................... 9.1 Carhart Four-Factor Model .............................................................. 9.2 Fama and French Four- and Five-Factor Models
.......................... 9.3 Hou, Xue, and Zhang Four-Factor Model ............................. 9.4 Stambaugh and Yüan Four-Factor Model ...................................... 9.5 Fama and French Six-Factor Model ............................................... 9.6 Fama and French Cross-Section Factors ........................................ 9.7 Lettau and Peiger Latent Five-Factor Model ................................. 9.8 Rise of the Machines ....................................................................... 9.9 Summary ............................................................................................ Questions ..................................................................................................... Problems ...................................................................................................... References ............ 10 A Special Case of the Zero-Beta CAPM: The ZCAPM ....................... 10.1 Theoretical ZCAPM ......................................................................... 10.2 Empirical ZCAPM ............................................................................ 10.3 Empirical Evidence ........................................................................... 10.3.1 Risk and Return Relations ............................................... 10.3.2 Predicted and Actual Return Relations .......................... 10.3.3 Fama and MacBeth Cross-Sectional Tests ..................... 10.4 Summary .................... Questions
..................................................................................................... Problems ....................................................................................................... References ................................................................................................... 11 Event Studies ................................................................... 11.1 Short-Run Event Studies ................................................................. 11.1.1 Basic Steps in an EventStudy ......................................... 11.1.2 Abnormal Returns ............................................................ 11.1.3 Parametric Testing ............................................................ 11.1.4 Examples............................................................................ 155 156 158 160 161 163 164 167 169 171 173 174 174 177 178 184 186 187 188 192 195 197 199 199 201 202 202 203 205 209
xiv Contents 11.2 Long-Run Event Studies ................................................................ 213 11.2.1 Buy-and-Hold Abnormal Return Approach .................. 215 11.2.2 Calendar Time Abnormal Return Approach ................. 216 11.2.3 Example ............................................................................. 217 11.3 Summary .............................................................................. 218 Questions ..................................................................................................... 219 Problems ....................................................................................................... 219 Appendix A: Nonparametric Testing ........ 221 References ............................................ -,......... .-......................................... 223 Index .................................................................................................................... 227
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| adam_txt |
Contents 1 Portfolio Theory and Practice . 1.1 Ex Ante Valuation . 1.2 Ex Post Returns and Risk . 1.3 Summary . Questions . Problems . Appendix A: Optimal Weights for Two Securities . Appendix B: Optimal Weights for Many Assets . References . 2 Capital Market Conditions . 2.1 Perfect Capital Markets . 2.2 Efficient Markets . 2.3 Risk Aversion. 2.4 Normally Distributed Returns . 2.5 Summary . Questions . Problems
. References . 3 Capital Asset Pricing Model(CAPM) . 3.1 The Present Value of Future Cash Flows . 3.2 Market Equilibrium Assumptions. 3.3 Investment Choice with a Riskless Asset . 3.4 The CAPM . 3.5 Implications of the CAPM . 3.6 Summary . Questions . Problems . References . 4 The Market Model. 4.1 4.2 Empirical Form of the CAPM . Early Tests of the Market Model . 1 1 4 11 11 12 12 13 15 17 18 20 22 26 34 35 36 37 39 40 42 44 45 50 52 54 55 55 57 58 59 xi
Contents xii 5 4.2.1 Black, Jensen, and Scholes Study . 4.2.2 Fama and MacBeth Study . 4.3 Estimating the Market Model . 4.4 A Primer on Regression Analysis . 4.4.1 On the Interpretation of Regression Coefficients . 4.4.2 Justification for OLS . 4.5 OLS Estimation of the Market Model . 4.5.1 Goodness-of-Fit . 4.6 Summary . Questions . Problems . Appendix A: Statistical Inference . References . 59 62 64 67 68 69 72 73 74 76 78 78 82 The Zero-Beta CAPM՛ . 85 5.1 85 85 86 88 91 93 96 97 98 99 Zero-Beta CAPM . 5.1.1 Assumptions . 5.1.2 Theoretical Model . 5.2 Empirical Tests
. 5.3 Connection to Later Research . 5.4 GRS Test for Portfolio Efficiency . 5.5 Summary . . Questions . Problems . Appendix A: Mathematical Derivation of the Zero-Beta CAPM . Appendix B: R Snippet for the GRS Testing Example in Section 5.4 . References . 6 101 103 105 Intertemporal CAPM. . 106 International Asset Pricing Model (IAPM) . 109 6.2.1 World Market Factor . 109 6.2.2 Exchange Rate Risk . 112 6.3 Consumption CAPM . 115 6.4 Production CAPM . 118 6.5 Conditional CAPM . 120 6.6 Summary
. 123 Questions . 124 Problems . 126 References . 126 Alternative CAPM Specifications . 6.1 6.2 7 The Arbitrage Pricing Theory Model. 7.1 APT Model . 7.1.1 Assumptions . 7.1.2 Theoretical Model . 129 130 130 130
xiii Contents 8 7.2 Empirical Testing . 7.3 Summary . Questions . . Problems . . References . 134 136 137 137 138 Multifactor Models . 139 140 142 147 150 151 152 153 8.1 What Explains Stock Returns? . 8.2 Fama and French Three-Factor Model . 8.3 Three-Factor Controversy . 8.4 Summary . Questions . Problems . References . 9 Anomalies and Multifactor Models . 9.1 Carhart Four-Factor Model . 9.2 Fama and French Four- and Five-Factor Models
. 9.3 Hou, Xue, and Zhang Four-Factor Model . 9.4 Stambaugh and Yüan Four-Factor Model . 9.5 Fama and French Six-Factor Model . 9.6 Fama and French Cross-Section Factors . 9.7 Lettau and Peiger Latent Five-Factor Model . 9.8 Rise of the Machines . 9.9 Summary . Questions . Problems . References . 10 A Special Case of the Zero-Beta CAPM: The ZCAPM . 10.1 Theoretical ZCAPM . 10.2 Empirical ZCAPM . 10.3 Empirical Evidence . 10.3.1 Risk and Return Relations . 10.3.2 Predicted and Actual Return Relations . 10.3.3 Fama and MacBeth Cross-Sectional Tests . 10.4 Summary . Questions
. Problems . References . 11 Event Studies . 11.1 Short-Run Event Studies . 11.1.1 Basic Steps in an EventStudy . 11.1.2 Abnormal Returns . 11.1.3 Parametric Testing . 11.1.4 Examples. 155 156 158 160 161 163 164 167 169 171 173 174 174 177 178 184 186 187 188 192 195 197 199 199 201 202 202 203 205 209
xiv Contents 11.2 Long-Run Event Studies . 213 11.2.1 Buy-and-Hold Abnormal Return Approach . 215 11.2.2 Calendar Time Abnormal Return Approach . 216 11.2.3 Example . 217 11.3 Summary . 218 Questions . 219 Problems . 219 Appendix A: Nonparametric Testing . 221 References . -,. .-. 223 Index . 227 |
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| author | Kolari, James W. 1951- Pynnönen, Seppo |
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| id | DE-604.BV048803583 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:28:34Z |
| indexdate | 2024-07-10T09:46:22Z |
| institution | BVB |
| isbn | 9783031167836 |
| language | English |
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| physical | xx, 234 Seiten |
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| spelling | Kolari, James W. 1951- Verfasser (DE-588)124735878 aut Investment valuation and asset pricing models and methods James W. Kolari, Seppo Pynnönen Cham palgrave macmillan [2023] xx, 234 Seiten txt rdacontent n rdamedia nc rdacarrier Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises—Finance Financial risk management Pynnönen, Seppo Verfasser (DE-588)170326837 aut Erscheint auch als Online-Ausgabe 978-3-031-16784-3 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034069665&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kolari, James W. 1951- Pynnönen, Seppo Investment valuation and asset pricing models and methods Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises—Finance Financial risk management |
| title | Investment valuation and asset pricing models and methods |
| title_auth | Investment valuation and asset pricing models and methods |
| title_exact_search | Investment valuation and asset pricing models and methods |
| title_exact_search_txtP | Investment valuation and asset pricing models and methods |
| title_full | Investment valuation and asset pricing models and methods James W. Kolari, Seppo Pynnönen |
| title_fullStr | Investment valuation and asset pricing models and methods James W. Kolari, Seppo Pynnönen |
| title_full_unstemmed | Investment valuation and asset pricing models and methods James W. Kolari, Seppo Pynnönen |
| title_short | Investment valuation and asset pricing |
| title_sort | investment valuation and asset pricing models and methods |
| title_sub | models and methods |
| topic | Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises—Finance Financial risk management |
| topic_facet | Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises—Finance Financial risk management |
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