Financial Asset Pricing : Theory, Global Policy and Dynamics

Intro -- FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS -- FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS -- LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA -- CONTENTS -- PREFACE -- Chapter 1: MONETARY POLICY AND BOOM-BUST CYCLES IN ASSET PRICES: A LITERATURE SURVEY -- ABSTRACT -- 1. INTRODUCTION -- 2. SHOULD ASSET PRICES BE INCLUDED IN THE OBJECTIVE FUNCTION? -- 2.1 Asset Prices and the Inflation Measure -- 2.2 Financial Stability and the Objective Function -- 2.3. Monetary Policy and Asset Prices: The Classic Discussion and the Middle Ground -- 3. RECENT DEVELOPMENTS -- CONCLUSION -- REFERENCES -- Chapter 2: DYNAMIC MIGRATION BETWEEN STOCK PORTFOLIOS BASED ON DIVIDEND YIELD AND FIRM SIZE -- ABSTRACT -- 1. INTRODUCTION -- 2. DATA AND METHODOLOGY -- 3. INITIAL RESULTS FOR RAW RETURNS -- 3.1. Adjustment for Risk -- 4. THE MIGRATION STUDY (METHODOLOGY) -- 4.1. Data -- 4.2. Analysis of Results (Presented in Table 7 (a-f)) -- 4.3. Expanding versus Contracting Companies -- 5. LONG-RUN EQUILIBRIUM AND SPEED OF ADJUSTMENT -- 5.1. The Transition Matrix as a Markov Process -- 5.2. The Dynamics of the Process -- 6. EXTENDING THE ANALYSIS TO INCLUDE THE 'TIME' DIMENSION -- CONCLUSION -- REFERENCES -- Chapter 3: RETURN CALCULATION FOR SHORT TIME SERIES: EVIDENCE FROM EMERGING MARKET MUTUAL FUNDS -- ABSTRACT -- I. INTRODUCTION -- II. GOODNESS OF FITTING -- III. INVALIDITY OF THE ASSUMPTIONS OF STANDARD ASSET PRICING TESTS -- IV. VISUALIZING NON-NORMALITY -- CONCLUDING REMARKS -- ACKNOWLEDGMENTS -- REFERENCES -- Chapter 4: RISK PREMIUM, MARKET PRICE OF RISK, AND STOCHASTIC PRICE MODELS FOR COMMODITIES -- ABSTRACT -- 1. INTRODUCTION -- 2. REVIEW OF THE LITERATURE -- 3. STOCHASTIC PRICE MODELS -- 3.1. The Geometric Brownian Motion (GBM) Model -- 3.2. Mean-Reverting Models -- 3.3. Two-Factor Model: IGBM with Stochastic MPR.