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Asset pricing and the US financial & real estates markets
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SYSNO ASEP 0331898 Document Type B - Monograph R&D Document Type Monograph Title Asset pricing and the US financial & real estates markets Author(s) Zemčík, Petr (NHU-C) RID Issue data Prague: Center for Economic Research and Graduate Education, Charles University: Economics Institute of the Acdemy of Sciences of the Czech Republic, 2009 ISBN 978-80-7343-193-8 Number of pages 180 s. Number of copy 200 Language eng - English Country CZ - Czech Republic Keywords asset pricing ; housing models ; equity premium puzzle Subject RIV AH - Economics R&D Projects LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C Annotation The book analyzes various assets markets using advanced econometric methodology from the perspective of asset pricing theory. The focus is on markets for stocks, bonds, and real estate, which has proved to be important especially in the last year or so, when a collapse of the housing bubble triggered the global recession. The contribution in the terms of theory includes a description of the role of habit persistence and durability in mean reversion to generate predictability of asset returns observed in the US and elsewhere. The present work also demonstrates the importance of including housing returns in asset pricing models. However, the main contribution is in the field of econometric modeling in financial economics. Namely, the authors analyze properties of the Generalized Method of Moments (GMM), introduce new tests for latent factors, generalize the existing variance ratio test and estimate a tri-variate Markov model. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2010
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