ISBN: 9781332252190 - asset pricing model specification and the term structure evidence (classic reprint) (3 resultados)

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

Paperback. Condición: New. Print on Demand. This book proposes a new model for pricing capital assets, such as stocks and bonds. The capital asset pricing model (CAPM) is a widely-used theory in finance that helps investors understand the relationship between the risk and expected return of an asset. The author, an MIT Sloan School of Management professor, extends the traditional CAPM by incorporating consumption-based risk, creating a consumption-based CAPM (CCAPM). The CCAPM suggests that the risk and return of an asset is linked to the overall level of wealth and opportunities for reinvestment of payoffs. The book's tests show that for bonds specifically, the CCAPM is a better predictor of risk premiums than the traditional CAPM, and that consumption changes (within a specific model framework) outperformed the NYSE index as a measure of investor marginal utility. The results indicate that the CCAPM can significantly improve upon the traditional CAPM in explaining risk premiums on bonds, and that the restrictions imposed by the CCAPM across the risk premiums on bonds with different terms to maturity cannot be rejected. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.…