Εναλλακτικά μοντέλα αποτίμησης περιουσιακών στοιχείων
Γραμπή, Μαρία Ι.
SubjectΥπόδειγμα αποτίμησης κεφαλαιακών στοιχείων ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι
The present master thesis investigates the field of asset pricing theory, in theoretical and in practical level. The baseline of the described pricing models is the existence of a stochastic discount factor (sdf) that relates payoffs-returns to market prices for all assets in the economy. In the theoretical part of the present study, many models are described in detail: the general pricing model of the stochastic discount factor, the Consumption-Based Asset Pricing Model (CCAPM) of Hansen and Singleton (1982, 1983) expressed in terms of the stochastic discount factor and the extensions of CCAPM’s basic assumptions, which could lead to new consumption models. The analysis continues with the development of the relations that link the factor pricing models with CCAPM. Finally, there are described pricing models that depend on the investors’ habit formation, and pricing models of heterogeneous investors. In the practical part of the study take place some tests, inspections and analysis of the outcomes-results that derive from the Capital Asset Pricing Model of Sharpe, Lintner and Mossin (1964, 1965), the three factor model of Fama and French (1992) and the three factor model of Lettau and Ludvigson (1999). The empirical analysis is completed with the monitoring of both the four factor model of Carhart (1997) and the Consumption-based model (CCAPM) of Hansen and Singleton (1982, 1983).