22 Bücher 

Wissenschaftliche Literatur Asset Pricing

Eine Auswahl unserer Fachbücher

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Saving Based Asset Pricing Models (Dissertation)Zum Shop

Saving Based AssetPricing Models

A Contribution to the Solution of the Equity Premium Puzzle

Schriftenreihe volkswirtschaftliche Forschungsergebnisse

Although the Consumption Based AssetPricing Model (1) (CCAPM) is appealing not least thanks to its simplicity, its empirical test results are poor. If linearized, the model gives support to two of the most studied problems in financial theory: the Risk Free Rate Puzzle (2)

CCAPMConsumption Based Asset Pricing ModelEquity Premium PuzzleFinanzenGMM Weak InstrumentsHuman CapitalInvestor‘s BehaviorRisk AversionSaving Based Asset Pricing ModelSCAPMStock MarketVolkswirtschaftslehreWealth Growth
Asset Pricing and Default Risk (Doktorarbeit)Zum Shop

AssetPricing and Default Risk

Finanzmanagement

Since several decades, the financial markets price large amounts of money held in securities that face systematic and idiosyncratic risk. Thus, many theoretical and empirical assetpricing papers have addressed issues around the relationship between stock markets and systematic risk.…

Asset PricingAsset Pricing TestsBetriebswirtschaftslehreDefault RiskDistress RiskEmpirical FinanceEquity returnsFama/FrenchMimicking PortfoliosMonte-Carlo-SimulationMulti-Faktor ModelleRisk ManagementStochastic Discount Factor
The Epistemological Value of Consumption Based Asset Pricing Models (Doktorarbeit)Zum Shop

The Epistemological Value of Consumption Based AssetPricing Models

BOETHIANA – Forschungsergebnisse zur Philosophie

The book is a philosophical analysis of the consumption based capital assetpricing model (CCAPM), investigating in particular its epistemological and methodological foundations.

Financial markets are integral parts of advanced and developing economies. They matter because they…

Asset PricingAssumptionsEpistemologyEquity Risk PremiumFinanceMethodologyModelsOntologyPhiliosophyPhilosophiePhilosphy of ScienceTendencies
Testing Asset Pricing Models with Hedge Fund Data and Hedge Fund Performance (Doktorarbeit)Zum Shop

Testing AssetPricing Models with Hedge Fund Data and Hedge Fund Performance

Schriftenreihe innovative betriebswirtschaftliche Forschung und Praxis

Hedge-Fonds gehören mittlerweile im Asset Management zu den etablierten Investmentvehikeln. Ein Hedge-Fonds ist ein von einer Kapitalanlagegesellschaft verwaltetes Sondervermögen, welches nur sehr geringen bis gar keinen regulatorischen Vorschriften unterliegt. Im Gegenzug ist daher der…

AssetmanagementBetriebswirtschaftslehreBootstrappingEmpirische FinanzmarktforschungFinanzwirtschaftHedge-FondsModellierungPerformanceanalysePersistenzPortfoliomanagementQuantitative MethodeRegime-Switching Modelle
Essays on Micromotives and Macrobehavior, Expectation Formation, and Asset Price Dynamics (Dissertation)Zum Shop

Essays on Micromotives and Macrobehavior, Expectation Formation, and Asset Price Dynamics

Schriftenreihe volkswirtschaftliche Forschungsergebnisse

This work collects the author’s recent investigations in interactions-based approaches in economics and finance that he undertook as a doctoral candidate in the program ‘‘Quantitative Economics‘‘ at the University of Kiel, Germany. The study is arranged in three parts and it contains seven…

AggregationAsset PricingEstimation of DiffusionsExpectation FormationFinanzmathematikFokker-Planck EquationMacrobehaviorMicro MotivesOpinion DynamicsOrdinary Differential EquationsQuantitative SoziologieSegregationStochastic Differential EquationsStochastic Differential GamesVolkswirtschaftslehre
The Processing and Pricing of Macroeconomic Information in Financial Markets (Dissertation)Zum Shop

The Processing and Pricing of Macroeconomic Information in Financial Markets

Finanzmanagement

How is macroeconomic information processed and priced in financial markets? This work is dedicated to the exploration of different aspects of the relationship between the macroeconomic state of an economy, information about this state, and the pricing of assets. The research question is…

Asset PricingBayesian UpdatingBusiness ConditionsFinanceImplied Cost of CapitalInformation ProcessingMacroeconomic NewsRisk Premium
Equity Markets and the Real Economy (Doktorarbeit)Zum Shop

Equity Markets and the Real Economy

Finanzmanagement

The author analyzes the influence of investors’ macroeconomic expectations on the U.S. equity market by focusing on three central issues: First, “Do investors’ equity risk premia expectations depend on overall business conditions? Hereby, the importance of economic conditions for…

Asset PricingBusiness CycleEquity RiskInformation ProcessingLeading Economic IndexMacroeconomic AnnouncementsRechnungswesenStock Market Efficiency
Three Essays on the Returns of German Stocks and Mutual Funds (Doktorarbeit)Zum Shop

Three Essays on the Returns of German Stocks and Mutual Funds

Finanzmanagement

Das auf Englisch verfasste Buch beschäftigt sich mit zwei zentralen Themenfeldern der empirischen Kapitalmarktforschung. Zum einen mit der Frage, inwieweit es vorteilhaft ist, in deutsche Aktieninvestmentfonds zu investieren und zum anderen, ob das Capital AssetPricing Model geeignet ist,…

Active Fund ManagementBook-to-Market-EffectCapital Asset Pricing ModelFinancial IntermediationGerman Capital MarketInvestment CompaniesMulti Factor ModelsMutual Fund IndustryPerformance AnalysisReturnsSharpe RatioSize EffectStock CharacteristicsValue Effect
The Price Impact of Macroeconomic News on Capital Markets (Doktorarbeit)Zum Shop

The Price Impact of Macroeconomic News on Capital Markets

Finanzmanagement

The core question of this book is how macroeconomic information impacts asset prices. Macroeconomic announcements are important for asset prices, because they provide information on current and future economic conditions. They are widely discussed by investors and extensively covered by the…

Asset PricingBayesian LearningBetriebswirtschaftslehreFinanzmanagementInformation ProcessingMacroeconomic AnnouncementsSequential InformationStock Market Efficiency
Preisbildung von Strom- und Temperaturderivaten im Lichte ihrer Anwendung zur Risikosteuerung (Dissertation)Zum Shop

Preisbildung von Strom- und Temperaturderivaten im Lichte ihrer Anwendung zur Risikosteuerung

Institutionelle Rahmenbedingungen, modelltheoretische Analyse und empirischer Befund für den deutschen Elektrizitätsmarkt

Finanzmanagement

Das Ziel dieser Untersuchung besteht darin, zunächst einen theoretischen Modellrahmen zu entwerfen, in welchem die bisher voneinander isolierte Bewertung von Strom- und Temperaturderivaten zusammengeführt wird und diesen anschließend für die Bestimmung realer Derivatepreise im Kontext des…

Asset PricingBewertungBühler/Müller-MerbachElektrizitätsmarktFinanzenFinanzmanagementGleichgewichtsmodelleHedgingIncomplete MarketsIndifferenzpreisRechnungswesenRisikosteuerungSpotpreismodelleStromderivateStrommarktTemperaturderivateUnvollständiger Markt