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The Paradox of Asset Pricing / Peter Bossaerts.

By: Material type: TextTextSeries: Frontiers of Economic ResearchPublisher: Princeton, NJ : Princeton University Press, [2013]Copyright date: ©2002Edition: Course BookDescription: 1 online resource (192 p.) : 23 line illus. 8 tablesContent type:
Media type:
Carrier type:
ISBN:
  • 9780691090290
  • 9781400850662
Subject(s): DDC classification:
  • 332.6
LOC classification:
  • HG4636 .B67 2013
Other classification:
  • online - DeGruyter
Online resources: Available additional physical forms:
  • Issued also in print.
Contents:
Frontmatter -- CONTENTS -- PREFACE -- 1. Principles of Asset-Pricing Theory -- 2. Empirical Methodology -- 3. The Empirical Evidence in a Nutshell -- 4. The Experimental Evidence -- 5 .From EMH to Merely Efficient Learning -- 6. Revisiting the Historical Record -- References -- Index
Summary: Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation. Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance. This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.
Holdings
Item type Current library Call number URL Status Notes Barcode
eBook eBook Biblioteca "Angelicum" Pont. Univ. S.Tommaso d'Aquino Nuvola online online - DeGruyter (Browse shelf(Opens below)) Online access Not for loan (Accesso limitato) Accesso per gli utenti autorizzati / Access for authorized users (dgr)9781400850662

Frontmatter -- CONTENTS -- PREFACE -- 1. Principles of Asset-Pricing Theory -- 2. Empirical Methodology -- 3. The Empirical Evidence in a Nutshell -- 4. The Experimental Evidence -- 5 .From EMH to Merely Efficient Learning -- 6. Revisiting the Historical Record -- References -- Index

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Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation. Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance. This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.

Issued also in print.

Mode of access: Internet via World Wide Web.

In English.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)