| 書目名稱 | Volume and the Nonlinear Dynamics of Stock Returns |
| 編輯 | Chiente Hsu |
| 視頻video | http://file.papertrans.cn/985/984239/984239.mp4 |
| 叢書名稱 | Lecture Notes in Economics and Mathematical Systems |
| 圖書封面 |  |
| 描述 | This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas‘ Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3 |
| 出版日期 | Book 1998 |
| 關鍵詞 | Aktienmarkt; Aktienrendite; Asset Pricing; Handelsvolumen; Investment; Volatility; stock market; stock retu |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-45765-4 |
| isbn_softcover | 978-3-540-63672-4 |
| isbn_ebook | 978-3-642-45765-4Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 1998 |
|Archiver|手機版|小黑屋|
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