Financial markets and asset pricing
Author(s)
Bibliographic Information
Financial markets and asset pricing
(Handbooks in economics, 21 . Handbook of the economics of finance ; v. 1B,
Elsevier/North-Holland, 2003-
- [v. 1]
- [v. 2]
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Note
ISBN for sub-series "Handbook of the economics of finance" set (1A, 1B): 044450298X
ISBN for sub-series "Handbook of the economics of finance" set (2A, 2B): 9780444594167
[Vol. 2] published: Amsterdam : North-Holland, an imprint of Elsevier, 2013
Pagination: [v. 1]: xxv, 606-1246, 25 p. -- [v. 2]: xxxii, 799-1611, xxvi p
[Vol. 2] has no series number
Includes bibliographical references and index
Description and Table of Contents
- Volume
-
[v. 1] ISBN 9780444513632
Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Table of Contents
Arbitrage, State Prices and Portfolio Theory (P.H. Dybvig, S. Ross). Intertemporal Asset Pricing Theory (D. Duffie). Tests of Multi-Factor Pricing Models, Volatility, and Portfolio Performance (W.E. Ferson). Consumption-Based Asset Pricing (J.Y. Campbell). The Equity Premium in Retrospect (R. Mehra, E.C. Prescott). Anomalies and Market Efficiency (G.W. Schwert). Are financial assets priced locally or globally? (G.A. Karolyi, R. Stulz). Microstructure and Asset Pricing (D. Easley, M. O'Hara). A Survey of Behavioral Finance (N.C. Barberis, R.H. Thaler). Finance, Optimization, and the Irreducibly Irrational Component of Human Behavior (R.J. Shiller). Derivatives (R.E Whaley). Fixed Income Pricing (Q. Dai, K.Singleton).
- Volume
-
[v. 2] ISBN 9780444594068
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.
Table of Contents
1. Advances in Consumption-Based Asset Pricing: Empirical Tests (S. Ludvigson) 2. Bond Pricing and the Macroeconomy (G. Duffee) 3. Investment Performance: A Review and Synthesis (W. Ferson) 4. Mutual Funds (N. Elton, M. Gruber) 5. Hedge Funds (W. Fung, D Hsieh) 6. Financial Risk Measurement for Financial Risk Management (T. Andersen, T. Bollerslev, P. Christoffersen, F. Diebold) 7. Bubbles, Financial Crises, and Systemic Risk (M. Brunnermeier, M. Oehmke) 8. Market Liquidity-Theory and Empirical Evidence (D. Vayanos, J. Wang) 9. Credit Derivatives (J. Hull, A. White) 10. Household Finance: An Emerging Field (L. Guiso, P. Sodini) 11. The Behavior of Individual Investors (B. Barber, T. Odean) 12. Risk Pricing over Alternative Investment Horizons (L. Hansen)
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