Počet záznamů: 1
Asset pricing and the US financial & real estates markets
0331898 - NHU-C 2010 RIV CZ eng B - Monografie kniha jako celek
Asset pricing and the US financial & real estates markets.
Prague: Center for Economic Research and Graduate Education, Charles University: Economics Institute of the Acdemy of Sciences of the Czech Republic, 2009. 180 s. ISBN 978-80-7343-193-8
Grant CEP: GA MŠk LC542
Výzkumný záměr: CEZ:MSM0021620846
Klíčová slova: asset pricing * housing models * equity premium puzzle
Kód oboru RIV: AH - Ekonomie
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.
Trvalý link: http://hdl.handle.net/11104/0177292