Interest rate futures markets and capital market theory :: theoretical concepts and empirical evidence /
Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued th...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin ; New York :
W. de Gruyte,
1986.
|
| Schriftenreihe: | Series D--Economics ;
1. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk. |
| Beschreibung: | 1 online resource (xvi, 321 pages) : illustrations |
| Format: | Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |
| Bibliographie: | Includes bibliographical references (pages 309-321). |
| ISBN: | 9783110903300 311090330X |
Internformat
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| 100 | 1 | |a Kobold, Klaus. | |
| 245 | 1 | 0 | |a Interest rate futures markets and capital market theory : |b theoretical concepts and empirical evidence / |c by Klaus Kobold. |
| 260 | |a Berlin ; |a New York : |b W. de Gruyte, |c 1986. | ||
| 300 | |a 1 online resource (xvi, 321 pages) : |b illustrations | ||
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| 490 | 1 | |a Series D--Economics = |a Economiques ; |v 1 | |
| 504 | |a Includes bibliographical references (pages 309-321). | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a INTRODUCTION -- General Area of Interest -- Purpose of Research -- Outline -- CHAPTER I: THE INTEREST RATE FUTURES MARKET -- 1. DESCRIPTION OF FUTURES MARKETS -- 1.1. Characteristics of Futures Contracts and Markets -- 1.2. Consequences of these Characteristics -- 1.3. Contracts Traded -- 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS -- 2.1. Hedging -- 2.2. Speculation -- 2.3. Arbitrage -- 2.4. Spreading -- CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- 1. CLASSICAL PORTFOLIO THEORY -- 1.1. Objectives and Assumptions | |
| 505 | 8 | |a 1.2. Decision Criteria1.3. Efficient Portfolios -- 1.4. The Optimal Portfolio -- 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING -- 2.1. The Portfolio Theory of Hedging -- 2.2. The Individual Agent�s Optimal Position in Futures Markets -- 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER -- 3.1. Hedging a Single Asset -- 3.2. Hedging a Single Asset as Part of a Portfolio -- 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio -- 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION | |
| 505 | 8 | |a 4.1. Markets and Periods Investigated4.2. Representative Indicator for the Cash Market -- 4.3. Calculating Return and Variance -- 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio -- 5. RESULTS OF THE EMPIRICAL INVESTIGATION -- 5.1. Effects of Hedging on Risk and Return of Single Positions -- 5.2. Effects of Hedging on Risk and Return of Portfolios -- 5.3. Analysis of Hedging Effectiveness -- 5.4. Analysis of Optimal Hedge Ratios -- 5.5. Evaluation of Results -- CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL | |
| 505 | 8 | |a 1. THEORETICAL BASIS1.1. The Single-Index Model -- 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing -- 1.3. Market Equilibrium: The Capital Asset Pricing Model -- 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL -- 2.1. Risk of Interest-Bearing Securities -- 3. EMPIRICAL INVESTIGATION -- 3.1. Technical Aspects -- 3.2. Empirical Results -- 3.3. Evaluation of Results -- CHAPTER IV: SUMMARY AND CONCLUSIONS -- 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS | |
| 505 | 8 | |a 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY2.1. Informational Situation -- 2.2. Volatility of Interest Rates -- 2.3. Capital Market Efficiency -- BIBLIOGRAPHY | |
| 546 | |a English. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 520 | 3 | |a Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk. | |
| 533 | |a Electronic reproduction. |b [Place of publication not identified]: |c HathiTrust Digital Library. |d 2021. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2021. |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 650 | 0 | |a Interest rate futures. |0 http://id.loc.gov/authorities/subjects/sh85067245 | |
| 650 | 0 | |a Capital market. |0 http://id.loc.gov/authorities/subjects/sh85019945 | |
| 650 | 0 | |a Hedging (Finance) |0 http://id.loc.gov/authorities/subjects/sh85059914 | |
| 650 | 0 | |a Portfolio management. |0 http://id.loc.gov/authorities/subjects/sh85105080 | |
| 650 | 6 | |a Marchés à terme de taux d'intérêt. | |
| 650 | 6 | |a Marché financier. | |
| 650 | 6 | |a Couverture (Finances) | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Interest. |2 bisacsh | |
| 650 | 7 | |a Capital market |2 fast | |
| 650 | 7 | |a Hedging (Finance) |2 fast | |
| 650 | 7 | |a Interest rate futures |2 fast | |
| 650 | 7 | |a Portfolio management |2 fast | |
| 776 | 0 | 8 | |i Print version: |a Kobold, Klaus. |t Interest rate futures markets and capital market theory. |d Berlin ; New York : W. de Gruyte, 1986 |z 0899251781 |w (DLC) 86009001 |w (OCoLC)13525554 |
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Datensatz im Suchindex
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| contents | INTRODUCTION -- General Area of Interest -- Purpose of Research -- Outline -- CHAPTER I: THE INTEREST RATE FUTURES MARKET -- 1. DESCRIPTION OF FUTURES MARKETS -- 1.1. Characteristics of Futures Contracts and Markets -- 1.2. Consequences of these Characteristics -- 1.3. Contracts Traded -- 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS -- 2.1. Hedging -- 2.2. Speculation -- 2.3. Arbitrage -- 2.4. Spreading -- CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- 1. CLASSICAL PORTFOLIO THEORY -- 1.1. Objectives and Assumptions 1.2. Decision Criteria1.3. Efficient Portfolios -- 1.4. The Optimal Portfolio -- 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING -- 2.1. The Portfolio Theory of Hedging -- 2.2. The Individual Agent�s Optimal Position in Futures Markets -- 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER -- 3.1. Hedging a Single Asset -- 3.2. Hedging a Single Asset as Part of a Portfolio -- 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio -- 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION 4.1. Markets and Periods Investigated4.2. Representative Indicator for the Cash Market -- 4.3. Calculating Return and Variance -- 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio -- 5. RESULTS OF THE EMPIRICAL INVESTIGATION -- 5.1. Effects of Hedging on Risk and Return of Single Positions -- 5.2. Effects of Hedging on Risk and Return of Portfolios -- 5.3. Analysis of Hedging Effectiveness -- 5.4. Analysis of Optimal Hedge Ratios -- 5.5. Evaluation of Results -- CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL 1. THEORETICAL BASIS1.1. The Single-Index Model -- 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing -- 1.3. Market Equilibrium: The Capital Asset Pricing Model -- 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL -- 2.1. Risk of Interest-Bearing Securities -- 3. EMPIRICAL INVESTIGATION -- 3.1. Technical Aspects -- 3.2. Empirical Results -- 3.3. Evaluation of Results -- CHAPTER IV: SUMMARY AND CONCLUSIONS -- 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY2.1. Informational Situation -- 2.2. Volatility of Interest Rates -- 2.3. Capital Market Efficiency -- BIBLIOGRAPHY |
| ctrlnum | (OCoLC)841171991 |
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record.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">INTRODUCTION -- General Area of Interest -- Purpose of Research -- Outline -- CHAPTER I: THE INTEREST RATE FUTURES MARKET -- 1. DESCRIPTION OF FUTURES MARKETS -- 1.1. Characteristics of Futures Contracts and Markets -- 1.2. Consequences of these Characteristics -- 1.3. Contracts Traded -- 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS -- 2.1. Hedging -- 2.2. Speculation -- 2.3. Arbitrage -- 2.4. Spreading -- CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- 1. CLASSICAL PORTFOLIO THEORY -- 1.1. Objectives and Assumptions</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">1.2. Decision Criteria1.3. Efficient Portfolios -- 1.4. The Optimal Portfolio -- 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING -- 2.1. The Portfolio Theory of Hedging -- 2.2. The Individual Agentâ€?s Optimal Position in Futures Markets -- 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER -- 3.1. Hedging a Single Asset -- 3.2. Hedging a Single Asset as Part of a Portfolio -- 3.3. 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The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing -- 1.3. Market Equilibrium: The Capital Asset Pricing Model -- 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL -- 2.1. Risk of Interest-Bearing Securities -- 3. EMPIRICAL INVESTIGATION -- 3.1. Technical Aspects -- 3.2. Empirical Results -- 3.3. Evaluation of Results -- CHAPTER IV: SUMMARY AND CONCLUSIONS -- 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY2.1. Informational Situation -- 2.2. Volatility of Interest Rates -- 2.3. Capital Market Efficiency -- BIBLIOGRAPHY</subfield></datafield><datafield tag="546" ind1=" " ind2=" "><subfield code="a">English.</subfield></datafield><datafield tag="506" ind1=" " ind2=" "><subfield code="3">Use copy</subfield><subfield code="f">Restrictions unspecified</subfield><subfield code="2">star</subfield><subfield code="5">MiAaHDL</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk.</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="a">Electronic reproduction.</subfield><subfield code="b">[Place of publication not identified]:</subfield><subfield code="c">HathiTrust Digital Library.</subfield><subfield code="d">2021.</subfield><subfield code="5">MiAaHDL</subfield></datafield><datafield tag="538" ind1=" " ind2=" "><subfield code="a">Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. 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| id | ZDB-4-EBU-ocn841171991 |
| illustrated | Illustrated |
| indexdate | 2024-07-16T15:03:55Z |
| institution | BVB |
| isbn | 9783110903300 311090330X |
| language | English |
| oclc_num | 841171991 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xvi, 321 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 1986 |
| publishDateSearch | 1986 |
| publishDateSort | 1986 |
| publisher | W. de Gruyte, |
| record_format | marc |
| series | Series D--Economics ; |
| series2 | Series D--Economics = Economiques ; |
| spelling | Kobold, Klaus. Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / by Klaus Kobold. Berlin ; New York : W. de Gruyte, 1986. 1 online resource (xvi, 321 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 Series D--Economics = Economiques ; 1 Includes bibliographical references (pages 309-321). Print version record. INTRODUCTION -- General Area of Interest -- Purpose of Research -- Outline -- CHAPTER I: THE INTEREST RATE FUTURES MARKET -- 1. DESCRIPTION OF FUTURES MARKETS -- 1.1. Characteristics of Futures Contracts and Markets -- 1.2. Consequences of these Characteristics -- 1.3. Contracts Traded -- 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS -- 2.1. Hedging -- 2.2. Speculation -- 2.3. Arbitrage -- 2.4. Spreading -- CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- 1. CLASSICAL PORTFOLIO THEORY -- 1.1. Objectives and Assumptions 1.2. Decision Criteria1.3. Efficient Portfolios -- 1.4. The Optimal Portfolio -- 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING -- 2.1. The Portfolio Theory of Hedging -- 2.2. The Individual Agentâ€?s Optimal Position in Futures Markets -- 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER -- 3.1. Hedging a Single Asset -- 3.2. Hedging a Single Asset as Part of a Portfolio -- 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio -- 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION 4.1. Markets and Periods Investigated4.2. Representative Indicator for the Cash Market -- 4.3. Calculating Return and Variance -- 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio -- 5. RESULTS OF THE EMPIRICAL INVESTIGATION -- 5.1. Effects of Hedging on Risk and Return of Single Positions -- 5.2. Effects of Hedging on Risk and Return of Portfolios -- 5.3. Analysis of Hedging Effectiveness -- 5.4. Analysis of Optimal Hedge Ratios -- 5.5. Evaluation of Results -- CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL 1. THEORETICAL BASIS1.1. The Single-Index Model -- 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing -- 1.3. Market Equilibrium: The Capital Asset Pricing Model -- 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL -- 2.1. Risk of Interest-Bearing Securities -- 3. EMPIRICAL INVESTIGATION -- 3.1. Technical Aspects -- 3.2. Empirical Results -- 3.3. Evaluation of Results -- CHAPTER IV: SUMMARY AND CONCLUSIONS -- 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY2.1. Informational Situation -- 2.2. Volatility of Interest Rates -- 2.3. Capital Market Efficiency -- BIBLIOGRAPHY English. Use copy Restrictions unspecified star MiAaHDL Above all the study is intended to shed more light on the following questions: - the functioning of interest rate futures markets, - the behaviour and transactions of economic agents in these markets, -factors determining the results of transactionsin interest rate future markets. Above we argued that these markets emerged in an environment of fluctuating interest rates to provide traders in financial markets with an instrument to deal with the risk stemming from unexpected price changes. It will be this hedging aspect of interest rate futures markets on which the following research is concentrated. The main points to be investigated are: - to what extent interest rate risk is reduced or even abolished, - the effects of futures trading in interest-bearing securities on risk and return of single assets and portfolios, - the consequences on the situation of participants in capital markets, - optimal strategies to reduce the exposure to interest rate risk. Electronic reproduction. [Place of publication not identified]: HathiTrust Digital Library. 2021. MiAaHDL Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2021. HathiTrust Digital Library committed to preserve pda MiAaHDL Interest rate futures. http://id.loc.gov/authorities/subjects/sh85067245 Capital market. http://id.loc.gov/authorities/subjects/sh85019945 Hedging (Finance) http://id.loc.gov/authorities/subjects/sh85059914 Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Marchés à terme de taux d'intérêt. Marché financier. Couverture (Finances) Gestion de portefeuille. BUSINESS & ECONOMICS Interest. bisacsh Capital market fast Hedging (Finance) fast Interest rate futures fast Portfolio management fast Print version: Kobold, Klaus. Interest rate futures markets and capital market theory. Berlin ; New York : W. de Gruyte, 1986 0899251781 (DLC) 86009001 (OCoLC)13525554 Series D--Economics ; 1. http://id.loc.gov/authorities/names/n86734214 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=557834 Volltext |
| spellingShingle | Kobold, Klaus Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / Series D--Economics ; INTRODUCTION -- General Area of Interest -- Purpose of Research -- Outline -- CHAPTER I: THE INTEREST RATE FUTURES MARKET -- 1. DESCRIPTION OF FUTURES MARKETS -- 1.1. Characteristics of Futures Contracts and Markets -- 1.2. Consequences of these Characteristics -- 1.3. Contracts Traded -- 2. TRANSACTIONS ON INTEREST RATE FUTURES MARKETS -- 2.1. Hedging -- 2.2. Speculation -- 2.3. Arbitrage -- 2.4. Spreading -- CHAPTER II: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- 1. CLASSICAL PORTFOLIO THEORY -- 1.1. Objectives and Assumptions 1.2. Decision Criteria1.3. Efficient Portfolios -- 1.4. The Optimal Portfolio -- 2. THE APPLICATION OF PORTFOLIO THEORY TO FUTURES TRADING -- 2.1. The Portfolio Theory of Hedging -- 2.2. The Individual Agentâ€?s Optimal Position in Futures Markets -- 3. THEORETICAL EVALUATION OF THE EFFECTS OF HEDGING ON AN INDIVIDUAL TRADER -- 3.1. Hedging a Single Asset -- 3.2. Hedging a Single Asset as Part of a Portfolio -- 3.3. Different Way of Analysing the Risk Contribution of Single Asset to a Portfolio -- 4. TECHNICAL ASPECTS OF THE EMPIRICAL INVESTIGATION 4.1. Markets and Periods Investigated4.2. Representative Indicator for the Cash Market -- 4.3. Calculating Return and Variance -- 4.4. Measure for Hedging Effectiveness and Optimal Hedge Ratio -- 5. RESULTS OF THE EMPIRICAL INVESTIGATION -- 5.1. Effects of Hedging on Risk and Return of Single Positions -- 5.2. Effects of Hedging on Risk and Return of Portfolios -- 5.3. Analysis of Hedging Effectiveness -- 5.4. Analysis of Optimal Hedge Ratios -- 5.5. Evaluation of Results -- CHAPTER III: INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL 1. THEORETICAL BASIS1.1. The Single-Index Model -- 1.2. The Equilibrium of a Single Market Participant with Riskless Lending and Borrowing -- 1.3. Market Equilibrium: The Capital Asset Pricing Model -- 2. ANALYSIS OF INTEREST RATE FUTURES MARKETS IN THE FRAMEWORK OF THE CAPITAL ASSET PRICING MODEL -- 2.1. Risk of Interest-Bearing Securities -- 3. EMPIRICAL INVESTIGATION -- 3.1. Technical Aspects -- 3.2. Empirical Results -- 3.3. Evaluation of Results -- CHAPTER IV: SUMMARY AND CONCLUSIONS -- 1. EFFECTS OF INTEREST RATE FUTURES MARKETS ON SINGLE ECONOMIC AGENTS 2. EFFECTS OF INTEREST RATE FUTURES MARKETS ON CAPITAL MARKETS AND THE ECONOMY2.1. Informational Situation -- 2.2. Volatility of Interest Rates -- 2.3. Capital Market Efficiency -- BIBLIOGRAPHY Interest rate futures. http://id.loc.gov/authorities/subjects/sh85067245 Capital market. http://id.loc.gov/authorities/subjects/sh85019945 Hedging (Finance) http://id.loc.gov/authorities/subjects/sh85059914 Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Marchés à terme de taux d'intérêt. Marché financier. Couverture (Finances) Gestion de portefeuille. BUSINESS & ECONOMICS Interest. bisacsh Capital market fast Hedging (Finance) fast Interest rate futures fast Portfolio management fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85067245 http://id.loc.gov/authorities/subjects/sh85019945 http://id.loc.gov/authorities/subjects/sh85059914 http://id.loc.gov/authorities/subjects/sh85105080 |
| title | Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / |
| title_auth | Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / |
| title_exact_search | Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / |
| title_full | Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / by Klaus Kobold. |
| title_fullStr | Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / by Klaus Kobold. |
| title_full_unstemmed | Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / by Klaus Kobold. |
| title_short | Interest rate futures markets and capital market theory : |
| title_sort | interest rate futures markets and capital market theory theoretical concepts and empirical evidence |
| title_sub | theoretical concepts and empirical evidence / |
| topic | Interest rate futures. http://id.loc.gov/authorities/subjects/sh85067245 Capital market. http://id.loc.gov/authorities/subjects/sh85019945 Hedging (Finance) http://id.loc.gov/authorities/subjects/sh85059914 Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Marchés à terme de taux d'intérêt. Marché financier. Couverture (Finances) Gestion de portefeuille. BUSINESS & ECONOMICS Interest. bisacsh Capital market fast Hedging (Finance) fast Interest rate futures fast Portfolio management fast |
| topic_facet | Interest rate futures. Capital market. Hedging (Finance) Portfolio management. Marchés à terme de taux d'intérêt. Marché financier. Couverture (Finances) Gestion de portefeuille. BUSINESS & ECONOMICS Interest. Capital market Interest rate futures Portfolio management |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=557834 |
| work_keys_str_mv | AT koboldklaus interestratefuturesmarketsandcapitalmarkettheorytheoreticalconceptsandempiricalevidence |