Titlebook: Global Stock Markets; Expected returns, co Wolfgang Drobetz Book 2000 Springer Fachmedien Wiesbaden 2000 International Financial Market.arb

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Argentina: From Trials to Pardons to Trials,rarily large scale. In the absence of arbitrage opportunities, there exists a stochastic discount factor that relates payoffs to market prices for all assets in the economy. This can be understood as an application of the Arrow-Debreu model of general equilibrium to financial markets. A state price

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Judicial Power in a Globalized Worldcountries have different appreciations for real returns. This chapter presents the classical approaches to extend domestic asset pricing models to a global context. As a by-product, international asset pricing models provide the benchmark returns for tests of capital market integration. Finally, in

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https://doi.org/10.1007/978-3-319-64477-6encies to compensate investors for the cost of trading and information gathering. Second, for a long time financial economists used to think that market efficiency implies that returns follow a random walk. Indeed, the old market efficiency-constant expected return model seemed to perform well in th

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L. J. Brinkhorst,Henry G. Schermersurns. The empirical evidence throughout this book has shown that stock returns are predictable to some extent on the basis of global instrument variables. It has been argued in chapter 4 that expected returns vary with the business cycle, and that appropriate instrument variables should be indicator

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Tom Barkhuysen,Michiel van Emmeriks, extracts business cycle components from macroeconomic time series, tests both beta pricing and stochastic discount factor models in their unconditional as well as conditional versions and, finally, simulates a slightly adapted version of the Lucas (1978) endowment economy. The examination include

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