Essays on asset pricing
| dc.contributor.advisor | Χαρδούβελης, Γκίκας | |
| dc.contributor.author | Καράλας, Γεώργιος Ι. | |
| dc.contributor.author | Karalas, Georgios I. | |
| dc.date.accessioned | 2018-01-16T10:08:32Z | |
| dc.date.available | 2018-01-16T10:08:32Z | |
| dc.date.issued | 2017 | |
| dc.identifier.uri | https://dione.lib.unipi.gr/xmlui/handle/unipi/10576 | |
| dc.format.extent | 213 | el |
| dc.language.iso | en | el |
| dc.publisher | Πανεπιστήμιο Πειραιώς | el |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
| dc.title | Essays on asset pricing | el |
| dc.type | Master Thesis | el |
| dc.contributor.department | Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής | el |
| dc.description.abstractEN | Classical asset pricing theory assumes that the agents in the economy are identical, thus in essence there is only a representative agent. The basic asset pricing formulas - like the Capital Asset Pricing Model (CAMP) – are derived under the assumption of the existence of a representative agent. Market portfolio is mean-variance efficient and only the exposure of a stock to un-diversified systematic risk creates persistent cross-sectional differences in stock prices and in expected stock returns. However, as long as there is heterogeneity among agents in the economy and this heterogeneity creates incomplete participation in the market, deviations emerge from the classical models. In an environment in which investors hold portfolios from subsets of stocks, the classical CAPM is modified in two ways1: (a) the market portfolio is no more mean-variance efficient, and (b) market beta is not the only pricing factor in the cross-section of stocks. The idiosyncratic volatility, the market size of the stock and the degree of participation in the demand for a stock are additional pricing factors (Merton’s Presidential Address, 1987). The presence of non-representative agents with their limited participation in the stock market affects the demand for stocks through a second channel: the limits-to-arbitrage. One key premise of the classical asset pricing models is that demand curves for stocks (and generally for financial assets) are flat, that is, the non-fundamental demand for stocks does not affect their prices and their expected returns. Non-fundamental demand is offset by arbitrage activity and only the fundamentals of a stock determine its price and its expected return. Limited participation reduces the amount of capital available for arbitrage and, as a result, deviations in non-fundamental demand are not being fully offset and end up affecting stock prices and expected returns. Since deviations from fundamentals are temporary, the corresponding deviations in stock prices are also temporary, creating idiosyncratic stock price volatility. | el |
| dc.contributor.master | Εφαρμοσμένη Στατιστική | el |
| dc.subject.keyword | Stock returns | el |
| dc.subject.keyword | Institutions | el |
| dc.subject.keyword | Financial crises | el |
| dc.subject.keyword | Investment | el |
Αρχεία σε αυτό το τεκμήριο
Αυτό το τεκμήριο εμφανίζεται στις ακόλουθες συλλογές
-
Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management
Εκτός από όπου διευκρινίζεται διαφορετικά, το τεκμήριο διανέμεται με την ακόλουθη άδεια:
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές