In financial economics, asset pricing refers to a formal treatment and development of two interrelated pricing principles, outlined below, together with...
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the existence of more modern approaches to asset pricing and portfolio selection (such as arbitrage pricing theory and Merton's portfolio problem), the...
35 KB (4,588 words) - 09:56, 14 August 2024
The Japanese asset price bubble (バブル景気, baburu keiki, lit. 'bubble economy') was an economic bubble in Japan from 1986 to 1991 in which real estate and...
65 KB (6,897 words) - 10:57, 13 May 2024
The fundamental theorems of asset pricing (also: of arbitrage, of finance), in both financial economics and mathematical finance, provide necessary and...
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Rational pricing is the assumption in financial economics that asset prices – and hence asset pricing models – will reflect the arbitrage-free price of the...
26 KB (3,730 words) - 08:01, 27 May 2024
arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial...
19 KB (2,567 words) - 05:12, 6 December 2023
Economic bubble (redirect from Asset price bubble)
a speculative bubble or a financial bubble) is a period when current asset prices greatly exceed their intrinsic valuation, being the valuation that the...
40 KB (4,923 words) - 14:29, 20 July 2024
Valuation (finance) (redirect from Asset prices)
value Undervalued stock Valuation risk Specific pricing models Capital asset pricing model Arbitrage pricing theory Black–Scholes (for options) Fuzzy pay-off...
44 KB (4,840 words) - 23:41, 29 July 2024
Rational pricing is the assumption that asset prices (and hence asset pricing models) will reflect the arbitrage-free price of the asset, as any deviation...
120 KB (11,523 words) - 12:08, 22 August 2024
Outline of finance (section Asset pricing theory)
market hypothesis Portfolio Modern portfolio theory Capital asset pricing model Arbitrage pricing theory Passive management Index fund Activist shareholder...
69 KB (5,698 words) - 08:33, 15 August 2024
The consumption-based capital asset pricing model (CCAPM) is a model of the determination of expected (i.e. required) return on an investment. The foundations...
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John H. Cochrane (section Asset Pricing)
"production-based asset pricing model" based on the q-theory of investment. In two 1992 articles, Cochrane emphasized some features of asset prices which are...
16 KB (1,587 words) - 08:41, 15 August 2024
Modern portfolio theory (section Asset pricing)
individual investor. Asset pricing theory builds on this analysis, allowing MPT to derive the required expected return for a correctly priced asset in this context...
52 KB (7,931 words) - 20:45, 20 August 2024
Mathematical finance (redirect from Derivative pricing)
observed market prices as input. See: Valuation of options; Financial modeling; Asset pricing. The fundamental theorem of arbitrage-free pricing is one of the...
23 KB (2,426 words) - 21:17, 30 May 2024
Market liquidity (redirect from Illiquid asset)
or sell an asset without causing a drastic change in the asset's price. Liquidity involves the trade-off between the price at which an asset can be sold...
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normally includes a risk premium which is commonly based on the capital asset pricing model. For discussion of the mechanics, see Valuation using discounted...
23 KB (3,387 words) - 14:44, 3 August 2024
Efficient-market hypothesis (section EMH anomalies and rejection of the Capital Asset Pricing Model (CAPM))
modern risk-based theories of asset prices, and frameworks such as consumption-based asset pricing and intermediary asset pricing can be thought of as the...
49 KB (5,873 words) - 07:39, 2 July 2024
In asset pricing and portfolio management the Fama–French three-factor model is a statistical model designed in 1992 by Eugene Fama and Kenneth French...
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Asset price inflation is the economic phenomenon whereby the price of assets rise and become inflated. A common reason for higher asset prices is low interest...
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Asset and Income Approaches Aswath Damodaran (Stern School of Business): Applications Of Option Pricing Theory To Equity Valuation and Option Pricing...
59 KB (8,224 words) - 21:56, 21 August 2024
capital; respectively: Asset pricing theory develops the models used in determining the risk-appropriate discount rate, and in pricing derivatives; and includes...
64 KB (5,754 words) - 08:38, 20 August 2024
impossible. Any attempts to test for market (in)efficiency must involve asset pricing models so that there are expected returns to compare to real returns...
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market's"; see Capital asset pricing model § Asset-specific required return and Asset pricing § General equilibrium asset pricing. An alternate, although...
29 KB (2,932 words) - 22:38, 23 April 2024
multiple factor models are asset pricing models that can be used to estimate the discount rate for the valuation of financial assets; they may in turn be used...
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derivatives due to the fundamental theorem of asset pricing, which implies that in a complete market, a derivative's price is the discounted expected value of the...
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upside-down, with bondholders setting share prices and shareholders determining company leverage. The asset pricing formula only applies to debt-holding companies...
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necessary. This asset pricing model details how the expectations of future capital gains in the stock market are a key driver of actual stock price movements...
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information to investors than does only looking at the single Capital Asset Pricing Model (CAPM) beta. The comparison of upside to downside risk is necessary...
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The asset price channel is the monetary transmission channel that is responsible for the distribution of the effects induced by monetary policy decisions...
13 KB (1,744 words) - 19:05, 14 August 2023
capital asset pricing model (CAPM) assumes: that security distributions are symmetrical, and thus that downside and upside betas for an asset are the...
8 KB (1,007 words) - 17:09, 26 January 2023