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Financial Asset Pricing: Theory, Global Policy and Dynamics
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Editors: Paul E. Schulz and Barbara P. Hoffmann
Book Description:
In finance, the capital asset pricing model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset. This book presents current research in the study of financial asset pricing, including monetary policy and boom-bust cycles in asset pricing; migration dynamics of stock movements between portfolios; return calculation in international mutual funds; risk premium, market price of risk, and stochastic price models for commodities; computation finance for stochastic volatility and correlation; and consumption-based asset pricing model (CCAPM) in Latin America. (Imprint: Nova Press)

Table of Contents:

Monetary Policy and Boom-Bust Cycles in Asset Prices: A Literature Survey;pp. 1-27
(Rolf Knütter, Helmut Wagner, University of Hagen, Department of Economics, Hagen, Germany)

Dynamic Migration between Stock Portfolios Based on Dividend Yield and Firm Size;pp. 29-59
(Ian McManus, Owain ap Gwilym, Stephen Thomas, School of Management, University of Southampton, United Kingdom, and others)

Return Calculation for Short Time Series: Evidence form Emerging Market Mutual Funds;pp. 61-84
(Peter Erdos, Mihaly Ormos, Department of Finance, Budapest University of Technology and Economics, Budapest, Hungary)

Risk Premium, Market Price of Risk, and Stochastic Price Models for Commodities;pp. 85-110
(Luis M. Abadie, Basque Centre for Climate Change (BC3), Bilbao, Spain)

Australian House Prices Affordability: An International Comparison of the Determinants of House Price’s Performance 1980 – 2009;pp. 111-121
(Yiyang Liu, Kevin Daly, University of Western Sydney, Mararthur, Australia)

Computational Finance for Stochastic Volatility and Correlation;pp. 123-152
(Jun Ma, NIE, Nanyang Technological University, Nanyang Walk, Singapore)

An Empirical Test of the Consumption-Based Asset Pricing Model (CCAPM) in Latin America;pp. 153-190
(Guilherme Kirch, Paulo Renato Soares Terra, Tiago Wickstrom Alves, Feevale University College, Institute of Applied Social Sciences, Novo Hamburgo, Brazil, and others)*

Intricate Asset Price Dynamics and One-Dimensional Discontinuous Maps;pp. 191-204
(F. Tramontana, L. Gardini, F. Westerhoff, Department of Economics and Quantitative Methods, University of Urbino, Urbino, Italy, and others)*

Index pp.205-212

      Economic Issues, Problems and Perspectives
   Binding: Hardcover
   Pub. Date: 2011 - 4th Quarter
   Pages: 212.pp
   ISBN: 978-1-61122-803-8
   Status: AV
Status Code Description
AN Announcing
FM Formatting
PP Page Proofs
FP Final Production
EP Editorial Production
PR At Prepress
AP At Press
AV Available
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