Book description
The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.- Offers analyses by top scholars of recent asset pricing scholarship
- Explains how the 2008 financial crises affected theoretical and empirical research
- Covers core and newly developing fields
Table of contents
- Cover image
- Title page
- Table of Contents
- Copyright
- Introduction to the Series
- Preface
-
VOLUME 2B Financial Markets and Asset Pricing
-
Chapter 12. Advances in Consumption-Based Asset Pricing: Empirical Tests
- 1 Introduction
- 2 Consumption-Based Models: Notation and Background
- 3 GMM and Consumption-Based Models
- 4 Euler Equation Errors and Consumption-Based Models
- 5 Scaled Consumption-Based Models
- 6 Asset Pricing with Recursive Preferences
- 7 Stochastic Consumption Volatility
- 8 Asset Pricing with Habits
- 9 Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation
- 10 Conclusion
- References
- Chapter 13. Bond Pricing and the Macroeconomy
- Chapter 14. Investment Performance: A Review and Synthesis
- Chapter 15. Mutual Funds
- Chapter 16. Hedge Funds
- Chapter 17. Financial Risk Measurement for Financial Risk Management
- Chapter 18. Bubbles, Financial Crises, and Systemic Risk
- Chapter 19. Market Liquidity—Theory and Empirical Evidence
- Chapter 20. Credit Derivatives
- Chapter 21. Household Finance: An Emerging Field
- Chapter 22. The Behavior of Individual Investors
- Chapter 23. Risk Pricing over Alternative Investment Horizons
- Index
-
Chapter 12. Advances in Consumption-Based Asset Pricing: Empirical Tests
Product information
- Title: Handbook of the Economics of Finance
- Author(s):
- Release date: February 2013
- Publisher(s): North Holland
- ISBN: 9780444594730
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