New research in financial markets
著者
書誌事項
New research in financial markets
Oxford University Press, 2001
- : pbk
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注記
"Centre for Economic Policy Research"--Added t.p
Includes bibliographical references and index
内容説明・目次
- 巻冊次
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ISBN 9780199243211
内容説明
In recent years, European financial economists have been brought together, via research projects and conferences, by the Centre for Economic Policy Research (CEPR). These fruitful interactions have contributed to the development of financial economics in Europe, and have generated a strong flow of interesting writing--both theoretical and empirical--in the fields of financial markets and corporate finance.
The chapters in this volume and its companion volume, "Corporate Finance and Baking: A Reader", reflect the depth and breadth of the research interests of European scholars in financial economics. The analysis of financial markets presented in this collection enhances our understanding of asset pricing, both in the context of perfect markets and in the context of market imperfections, such as asymmetric information. Those chapters that appear in "Corporate Finance and Banking" further our
understanding of the interaction between business cycle and financial imperfections, IPOs, takeover bids, and the interplay between banks and financial markets. Together, these two volumes comprise an authoritative and invaluable reference tool for scholars and others working in the fields of finance,
corporate finance, and monetary economics.
目次
- 1. EVALUATING PORTFOLIO PERFORMANCE WITH STOCHASTIC DISCOUNT FACTORS
- 3. INSIDER TRADING WITHOUT NORMALITY
- 6. ARBITRAGE CHAINS
- 10. DESIGN AND VALUATION OF DEBT CONTRACTS
- 巻冊次
-
: pbk ISBN 9780199243228
内容説明
In recent years, European financial economists have been brought together, via research projects and conferences, by the Centre for Economic Policy Research (CEPR). These fruitful interactions have contributed to the development of financial economics in Europe, and have generated a strong flow of interesting writing--both theoretical and empirical. The chapters in this volume reflect the depth and breadth of the research interests of European scholars in financial
economics.
The first section uses empirical analysis of financial market data to test the robustness of the pricing kernel model. The second section is on market microstructure, which is based on the observation of high frequency data. It explores the implications of asymmetric information and market imperfections. The third section points to how the study of speculation may link both the pricing kernel and the microstructure approaches. The final section on corporate finance suggests that contractual and
agency problems have a significant impact on the pricing of financial assets.
目次
- 1. EVALUATING PORTFOLIO PERFORMANCE WITH STOCHASTIC DISCOUNT FACTORS
- 3. INSIDER TRADING WITHOUT NORMALITY
- 6. ARBITRAGE CHAINS
- 10. DESIGN AND VALUATION OF DEBT CONTRACTS
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