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

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救護(hù)車

Theory of asset pricing, risk of uncertain payments have to be taken into account simultaneously. A low price implies a high rate of return, so one can also think of asset pricing as explaining why some assets exhibit higher returns than others. Intuitively, if we lived in a world without risk, the price of an asset would

Lignans

Theory of international asset pricing,erences before translating the pricing concepts introduced in the previous chapter into an international context. Most important, different countries have different commercial and monetary policies. Barriers to the movements of goods, labor, and capital are the results of national commercial policie

ELUC

Time varying expected returns and the business cycle on international stock markets,rong form of efficiency has been subject to considerable critique from two main strands. First, trading and gathering information are not costless. Grossman/Stiglitz (1980) argue that efficient markets should reflect relevant information only to the point where the marginal benefits of acting on inf

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老巫婆

Mean reversion and rational pricing on global stock markets,nt market — price changes must be unforecastable if they are properly anticipated. Prices follow a random walk and fully incorporate the information and expectations of all market participants. Fama’s (1970a) dictum that “prices fully reflect all available information” has become a holy grail among

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On the contributions of this study,is book has been to explore the interplay between time varying expected returns, consumption, and the business cycle on global stock markets. The main idea that has come up again and again is that expected returns vary with the business cycle. In a nutshell, if the time variation in expected returns