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  • The book analyzes various assets markets using advanced econometric methodology from the perspective of asset pricing theory. The focus is on markets for stocks, bonds, and real estate, which has proved to be important especially in the last year or so, when a collapse of the housing bubble triggered the global recession. The contribution in the terms of theory includes a description of the role of habit persistence and durability in mean reversion to generate predictability of asset returns observed in the US and elsewhere. The present work also demonstrates the importance of including housing returns in asset pricing models. However, the main contribution is in the field of econometric modeling in financial economics. Namely, the authors analyze properties of the Generalized Method of Moments (GMM), introduce new tests for latent factors, generalize the existing variance ratio test and estimate a tri-variate Markov model.
  • The book analyzes various assets markets using advanced econometric methodology from the perspective of asset pricing theory. The focus is on markets for stocks, bonds, and real estate, which has proved to be important especially in the last year or so, when a collapse of the housing bubble triggered the global recession. The contribution in the terms of theory includes a description of the role of habit persistence and durability in mean reversion to generate predictability of asset returns observed in the US and elsewhere. The present work also demonstrates the importance of including housing returns in asset pricing models. However, the main contribution is in the field of econometric modeling in financial economics. Namely, the authors analyze properties of the Generalized Method of Moments (GMM), introduce new tests for latent factors, generalize the existing variance ratio test and estimate a tri-variate Markov model. (en)
Title
  • Asset pricing and the US financial & real estates markets
  • Asset pricing and the US financial & real estates markets (en)
skos:prefLabel
  • Asset pricing and the US financial & real estates markets
  • Asset pricing and the US financial & real estates markets (en)
skos:notation
  • RIV/00216208:11640/09:00331898!RIV10-MSM-11640___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(LC542), Z(MSM0021620846)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 304229
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11640/09:00331898
http://linked.open...riv/jazykVysledku
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  • asset pricing; housing models; equity premium puzzle (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [2F17F9F13758]
http://linked.open...i/riv/mistoVydani
  • Prague
http://linked.open...i/riv/nazevZdroje
  • Asset pricing and the US financial & real estates markets
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...v/pocetStranKnihy
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Zemčík, Petr
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Univerzita Karlova v Praze. Centrum pro ekonomický výzkum a doktorská studia
https://schema.org/isbn
  • 978-80-7343-193-8
http://localhost/t...ganizacniJednotka
  • 11640
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