The Economics of Financial Markets

Roy E. Bailey

528 pages, parution le 02/06/2005

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Résumé

The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief overview of financial markets - their microstructure and the randomness of stock market prices - this textbook explores how the economics of uncertainty can be applied to financial decision-making. The mean-variance model of portfolio selection is discussed, with analysis extended to the capital asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an assessment of theories of the term structure of interest rates. Finally, financial derivatives are explored, focusing on futures and options contracts.

Sommaire

Preface
Asset markets and asset prices
Asset market microstructure
Predictability of prices and market efficiency
Decision making under uncertainty
Portfolio selection: the mean-variance model
The capital asset pricing model, CAPM
Arbitrage
Factor models and arbitrage pricing theory, APT
Empirical appraisal of the CAPM
Present value relationships and price variability
Intertemporal choice and equity premium puzzle
Bond markets and fixed-interest securities
Term structure and interest rates
Futures markets - fundamentals
Futures markets - speculation and hedging
Futures markets - applications
Swap contracts and swap markets
Options markets: fundamentals
Options markets - price determination
Options markets - applications

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Roy E. Bailey
Parution	02/06/2005
Nb. de pages	528
Format	17 x 24,5
Couverture	Broché
Poids	1061g
Intérieur	Noir et Blanc
EAN13	9780521612807
ISBN13	978-0-521-61280-7