Paradox of Asset Pricing - Bossaerts, Peter L.

Paradox of Asset Pricing

Peter L. Bossaerts

Yayınevi: Princeton University Press

Yayın tarihi: 12/2004

ISBN: 9780691123134

Yazar : Thomas J. Sargent David M. Kreps

İngilizce | 192 Sayfa |

Tür: Ekonomi

  • Temin Süresi 28 - 42 iş günü

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    temin süresi ve fiyatını size bildirelim

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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.

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