A01=Peter Bossaerts
Arbitrage
Arbitrariness
Author_Peter Bossaerts
Bankruptcy
Bankruptcy Risk
Bayesian
Bayesian inference
Bribery
Capital asset pricing model
Category=KFFM
Collusion
Credit risk
Default Premium
Discounting
Economic equilibrium
Economics
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equity premium puzzle
Expected utility hypothesis
Incomplete markets
Inference
Information asymmetry
Insider trading
Investment
Investor
Leverage (finance)
Liquidation value
Liquidity premium
Marginal rate of substitution
Marginal utility
Market liquidity
Market microstructure
Market portfolio
Market price
Market Proxy
Market value
Noise trader
Null hypothesis
Overreaction
Payout
Prediction
Preference (economics)
Price
Price Change
Price discovery
Price fixing
Price level
Pricing
Probability
Probability measure
Probability of default
Random walk hypothesis
Real versus nominal value (economics)
Repurchase agreement
Risk
Risk aversion
Risk perception
Risk premium
Sampling error
Selection bias
Share price
Shortage
Speculation
Stochastic volatility
Strike price
Substitution effect
Supply (economics)
Survivorship bias
Trade-off
Underpricing
Utility
Valuation effects
Wealth
Product details
- ISBN 9780691123134
- Weight: 28g
- Dimensions: 152 x 235mm
- Publication Date: 17 Jan 2005
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Paperback
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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.
Peter Bossaerts is William D. Hacker Professor of Economics and Management, Professor of Finance, and Executive Officer for the Social Sciences at the California Institute of Technology. He is the coauthor of "Lectures on Corporate Finance".
