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Year: 2009 Publisher: Cambridge, Mass. National Bureau of Economic Research
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Year: 2019 Publisher: National Bureau of Economic Research
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Year: 2018 Publisher: National Bureau of Economic Research
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Year: 2019 Publisher: Cambridge, Mass. National Bureau of Economic Research
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We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion distinction is largely artificial. We then propose an alternative measure, the 'Average Crossing Time' that both unifies these concepts and provides an alternative characterization. Ceteris paribus, mean reverting processes have a relatively shorter average crossing time as compared to mean averting processes.
Book
ISBN: 9780123865496 9780123868718 0123868718 0123865492 Year: 2015 Publisher: Oxford, [England] : Academic Press,
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Targeting readers with backgrounds in economics, Intermediate Financial Theory, Third Edition includes new material on the asset pricing implications of behavioral finance perspectives, recent developments in portfolio choice, derivatives-risk neutral pricing research, and implications of the 2008 financial crisis. Each chapter concludes with questions, and for the first time a freely accessible website presents complementary and supplementary material for every chapter. Known for its rigor and intuition, Intermediate Financial Theory is perfect for those who need basic training in financial
Financial management --- 336.74 --- 305.91 --- 333.600 --- 336.74 Geld. Geldwezen. Monetaire sector. --- Geld. Geldwezen. Monetaire sector. --- Geld. Geldwezen. Monetaire sector --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële markten. Kapitaalmarkten (algemeenheden) --- Finance --- Business enterprises --- Economics --- Finances --- Entreprises --- Economie politique --- Finance. --- Economics. --- Economic theory --- Political economy --- Social sciences --- Economic man --- Business finance --- Business financial management --- Financial analysis of business enterprises --- Financial management, Business --- Financial management of business enterprises --- Financial planning of business enterprises --- Managerial finance --- Funding --- Funds --- Currency question --- Business enterprises - Finance
ISBN: 0123693802 9780123693808 9786613281395 1283281392 0080509029 9780080509020 Year: 2005 Publisher: Amsterdam, [Netherlands] : Elsevier,
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The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467.The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor. ""This book does admirably...
AA / International- internationaal --- 305.91 --- 333.600 --- 336.74 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Financiële markten. Kapitaalmarkten (algemeenheden). --- Geld. Geldwezen. Monetaire sector. --- Finance. --- Finance --- Business & Economics --- Finance - General --- 336.74 Geld. Geldwezen. Monetaire sector. --- Funding --- Funds --- Economics --- Currency question --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële markten. Kapitaalmarkten (algemeenheden) --- Geld. Geldwezen. Monetaire sector
ISBN: 9780130174468 0130174467 Year: 2002 Publisher: Upper Saddle River Prentice-Hall
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Finance --- Business enterprises - Finance --- Economics --- Business enterprises
Book
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ISBN: 9780123865496 9780123868718 0123868718 0123865492 Year: 2015 Publisher: Amsterdam Elsevier
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Targeting readers with backgrounds in economics, Intermediate Financial Theory, Third Edition includes new material on the asset pricing implications of behavioral finance perspectives, recent developments in portfolio choice, derivatives-risk neutral pricing research, and implications of the 2008 financial crisis. Each chapter concludes with questions, and for the first time a freely accessible website presents complementary and supplementary material for every chapter. Known for its rigor and intuition, Intermediate Financial Theory is perfect for those who need basic training in financial.
Digital
Year: 2005 Publisher: Cambridge, Mass. NBER
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