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OverviewThis book reviews the efficient markets hypothesis from a behavioural finance perspective looking at the stock markets of the five largest Euro economies. It covers some key areas in finance, including efficient markets, equity premium, dividend ratio model, yield curve and term structure, all of which are concepts used to analyse pricing and other behaviour in financial markets. The book studies the term structure of interest rates describing formalizations for zero-coupon and coupon bonds and evaluates results regarding static spot rate and dynamic forward rate regressions for the Euro area. Additionally, it examines the equity premium exploiting variation in stock market returns in both time series and cross-section dimensions, and will be of interest to academics, researchers, and students of financial economics, financial markets, and behavioural finance. Full Product DetailsAuthor: Gian Maria TomatPublisher: Springer International Publishing AG Imprint: Palgrave Macmillan Edition: 1st ed. 2023 Weight: 0.369kg ISBN: 9783031368356ISBN 10: 3031368355 Pages: 156 Publication Date: 30 August 2023 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of Contents1 Introduction 2 Efficient markets 2.1 Historical notes 2.2 Arbitrage and asset pricing 2.2.1 A discrete state-space framework2.2.2 Asset pricing and time 2.3 Equivalent risk-neutral valuation2.4 Review and further readings 3 Equity premium 3.1 Excess stock market returns3.2 Volatility bounds 3.3 The capital asset pricing model 3.4 Behavioural perspectives4 The dividend ratio model 4.1 A static regression framework4.2 Empirical findings4.3 Behavioural interpretation 4.3.1 A log-linear approximation 4.3.2 Heuristics and biases 4.4 Review and further readings 5 Bond valuation 5.1 Discount bonds5.2 Coupon bonds 5.3 Taxation 5.4 Review and further readings6 Yield curves 6.1 Expectations hypothesis6.2 Forward rates6.2.1 Spot and forward rates6.2.2 Continuous time relations 6.3 Term premia 6.4 Review and further readings7 Term structure models 7.1 Spot rate spread regressions7.1.1 Term spreads 7.1.2 Regression model 7.1.3 Estimation outcomes7.2 Forward rate regressions 7.3 Dynamic analysis7.4 Behavioural perspectives 8 Real estate market 8.1 Housing prices8.1.1 Housing volatility bounds 8.1.2 Excess return regressions8.1.3 Empirical outcomes8.2 Rational speculative bubbles 8.3 Mortgages 8.4 Review and further readings 9 Derivative securities 9.1 Futures pricing 9.2 Options 9.3 Swaps 9.4 Review and further readings10 ConclusionReviewsAuthor InformationGian Maria Tomat is senior advisor at the Bank of Italy and provides policy and strategic advice to the Governing Board, the Board of Directors and the local administrative Directorates. He actively participates in the activities of national and international central banking working groups and has research interests in the fields of monetary and exchange rate policy, financial and real estate markets and interest rates. He has authored several articles in the areas of macroeconomics and finance and presented his work on a regular basis in workshops and conferences organized by academic institutions and international organizations. He earned a PhD in Political Economy at the University of Bologna, Italy. Tab Content 6Author Website:Countries AvailableAll regions |
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