| 書目名稱 | Global Stock Markets | | 副標(biāo)題 | Expected returns, co | | 編輯 | Wolfgang Drobetz | | 視頻video | http://file.papertrans.cn/387/386606/386606.mp4 | | 圖書封面 |  | | 描述 | "While the state-preference approach is perhaps more general than the mean- variance approach and provides an elegant framework for investigating theo- retical issues, it is unfortunately difficult to give it empirical content. " I The state of the art in asset pricing has substantially changed over the past years. While the seminal CAPM represents an equilibrium model derived under rather restrictive assumptions on preferences or return distributions and places a lot of emphasis on the efficiency of a somehow arbitrary market portfolio, subsequent models were much less restrictive with respect to the underlying economic struc- ture. For example, the arbitrage pricing theory maintains the linear relationship between risk and return simply by assuming the absence of arbitrage profits. While empirically more tractable than the CAPM, the main drawback of arbitrage pricing models is that they do not provide much insight into the economic and dynamic nature of risk premia. The "conditional" CAPM provides an elegant econometric framework to characterize how changing economic conditions de- termine the variability of multiple risk premia. However, this framework still re- quires some rath | | 出版日期 | Book 2000 | | 關(guān)鍵詞 | International Financial Market; arbitrage; asset pricing; asset pricing model; business; business cycle; e | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-663-08529-4 | | isbn_softcover | 978-3-8244-7272-7 | | isbn_ebook | 978-3-663-08529-4 | | copyright | Springer Fachmedien Wiesbaden 2000 |
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