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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …
Persistent link: https://www.econbiz.de/10012842392
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Sin Stocks Revisited : Resolving the Sin Stock Anomaly
Blitz, David - 2017
Various studies report that investing in “sin stocks”, that is firms which make money from human vice, such as alcohol, tobacco, gambling and weapons, has historically delivered significantly positive abnormal returns. This finding has inspired the hypothesis that sin stocks are being...
Persistent link: https://www.econbiz.de/10012950193
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Encyclopedia of Financial Models, 3 Volume Set
Fabozzi, Frank J. - 2012
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of...
Persistent link: https://www.econbiz.de/10012676797
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Encyclopedia of Financial Models, Volume II
Fabozzi, Frank J. - 2012
Portfolio Construction -- Factor Models -- ARBITRAGE PRICING THEORY -- TYPES OF FACTOR MODELS -- FACTOR MODEL ESTIMATION -- USE … -- TIME HORIZON OF MODELS -- APPLICATIONS -- KEY POINTS -- REFERENCES -- Regression Analysis: Theory and Estimation -- THE … MULTIFACTOR CAPM: MERTON -- ARBITRAGE PRICING THEORY: ROSS -- ARBITRAGE, HEDGING, AND OPTION THEORY: BLACK, SCHOLES, AND MERTON …
Persistent link: https://www.econbiz.de/10012682657
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Encyclopedia of Financial Models, Volume I
Fabozzi, Frank J. - 2012
Title Page -- Copyright -- About the Editor -- Contributors -- Preface -- TOPIC CATEGORIES -- Guide to the Encyclopedia of Financial Models -- ORGANIZATION -- Asset Allocation -- Mean-Variance Model for Portfolio Selection -- SOME BASIC CONCEPTS -- MEASURING A PORTFOLIO'S EXPECTED RETURN --...
Persistent link: https://www.econbiz.de/10012682658
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Effects of Short-Sale Constraints and Information Asymmetry on Index Futures Trading
Fabozzi, Frank J. - 2020
We analyze the effects of spot market short-sale constraints on derivatives trading using a unique Chinese stock market futures trading database. Due to short-sale constraints, investors' pessimistic views on the underlying index can be expressed solely through short futures positions, while...
Persistent link: https://www.econbiz.de/10012831038
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Dividend discount models
Peterson Drake, Pamela; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765575
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Time series analysis for financial market meltdowns
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10008653556
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Equity style allocation : a nonparametric approach
Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164
Persistent link: https://www.econbiz.de/10011485142
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Can we predict stock market crashes?
Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195
Persistent link: https://www.econbiz.de/10011509826