Intertemporal Asset Pricing
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Intertemporal Asset Pricing: Evidence from Germany(Contributions to Economics)

Intertemporal Asset Pricing: Evidence from Germany(Contributions to Economics)

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About the Book

The book is the first one to analyse the "Equity Premium Puzzle" and the "Risk-free Rate Puzzle" in the German capital market. It starts with a thorough discussion of the available theoretical models and then goes on to perform various empirical studies, applying two recent approaches for the empirical investigation of intertemporal asset pricing models, the variance bound approach and the calibration approach. The book provides insights into the basic mechanisms of intertemporal equilibrium asset pricing models derived from the consumption and investment choice of individuals. It shows that with reasonable and not very complicated modifications of the standard intertemporal equilibrium models, especially with recursive preferences, important properties of German rates of return can be explained. The book adds much to the understanding of intertemporal asset pricing and recursive preferences and at the same time points to various directions for future research.

Table of Contents:
1 Introduction.- 1.1 Subject of Analysis.- 1.2 International Evidence on the Risk-free Rate and the Equity Premium.- 1.3 Purpose and Outline of Analysis.- I Intertemporal Asset Pricing: Theory.- 2 The Market Pricing Kernel Approach.- 3 Implications of Asset Prices for the Market Pricing Kernel.- 4 Parametric Models of the Market Pricing Kernel.- 5 The Calibration Approach for Empirically Investigating Parametric Models of the Market Pricing Kernel.- II Intertemporal Asset Pricing: Empirical Analysis.- 6 Overview and Description of Data.- 7 Analyzing Variance Bounds of the Market Pricing Kernel.- 8 Applying the Calibration Approach.- 9 Evaluating the Calibrated Equilibrium Models.- 10 Conclusion.- A.1 Expected Value of the Product of Jointly Lognormally Distributed Variables.- A.2 Additional Tables and Figures.- List of Symbols.- List of Tables.- List of Figures.


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Product Details
  • ISBN-13: 9783790811599
  • Publisher: Physica-Verlag GmbH & Co
  • Publisher Imprint: Physica-Verlag GmbH & Co
  • Height: 235 mm
  • No of Pages: 287
  • Series Title: Contributions to Economics
  • Width: 155 mm
  • ISBN-10: 3790811599
  • Publisher Date: 10 Nov 1998
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Sub Title: Evidence from Germany


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Intertemporal Asset Pricing: Evidence from Germany(Contributions to Economics)
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Intertemporal Asset Pricing: Evidence from Germany(Contributions to Economics)
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