Intertemporal Asset Pricing : Evidence from Germany (Contributions to Economics)
Editorial Reviews
Book Description
The book is the first one to analyse the "Equity Premium Puzzle" and the "Risk-free Rate Puzzle" in the German capital market. It starts with a thorough discussion of the available theoretical models and then goes on to perform various empirical studies, applying two recent approaches for the empirical investigation of intertemporal asset pricing models, the variance bound approach and the calibration approach. The book provides insights into the basic mechanisms of intertemporal equilibrium asset pricing models derived from the consumption and investment choice of individuals. It shows that with reasonable and not very complicated modifications of the standard intertemporal equilibrium models, especially with recursive preferences, important properties of German rates of return can be explained. The book adds much to the understanding of intertemporal asset pricing and recursive preferences and at the same time points to various directions for future research.
Book Info
Analyzes the German capital market and discusses the available theoretical models and performs various empirical studies on the market. Softcover.
Intertemporal Asset Pricing : Evidence from Germany (Contributions to Economics),Bernd Meyer,Physica-Verlag Heidelberg,3790811599,Business & Economics,Business / Economics / Finance,Business/Economics,Capital,Capital assets pricing model,Capital market,Econometric models,Economics - General,Finance,Germany,International Capital Markets,Investments & Securities - General,Portfolio Management,Asset Pricing,Business & Economics / Finance,Econometrics,Intertemporal Equilibrium Models,Intertemporale Gleichgewichtsmodelle,Stocks & shares
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