Financial Markets Theory Equilibrium, Efficiency and Information

Financial Markets Theory Equilibrium, Efficiency and Information / by Emilio Barucci.

Financial Markets Theory presents classical asset pricing theory, a theory composed of milestones such as portfolio selection, risk aversion, fundamental asset pricing theorem, portfolio frontier, CAPM, CCAPM, APT, the Modigliani-Miller Theorem, no arbitrage/risk neutral evaluation and information i...

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Bibliographic Details
Main Author: Barucci, Emilio (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: London : Springer London : Imprint: Springer, 2003.
Edition:1st ed. 2003.
Series:Springer Finance Textbooks
Springer eBook Collection.
Subjects:
Economic theory.
Public finance.
Economics, Mathematical .
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 1 Prerequisites
  • 1.1 Choices under Certainty
  • 1.2 General Equilibrium Theory
  • 1.3 Pareto Optimality
  • 2 Choices under Risk
  • 2.1 Expected Utility Theory
  • 2.2 Risk Aversion
  • 2.3 Portfolio Problem
  • 2.4 Insurance Demand and Prudence
  • 2.5 Notes, References and Exercises
  • 3 Stochastic Dominance, Mutual Funds Separation and Portfolio Frontier
  • 3.1 Stochastic Dominance
  • 3.2 Mean-Variance Analysis
  • 3.3 Portfolio Frontier (risky assets)
  • 3.4 Portfolio Frontier (risky assets and a risk free asset)
  • 3.5 Mutual Funds Separation
  • 3.6 Notes, References and Exercises
  • 4 General Equilibrium Theory and Risk Exchange
  • 4.1 Risk Sharing and Pareto Optimality
  • 4.2 Asset Markets
  • 4.3 Intertemporal Consumption
  • 4.4 The Fundamental Asset Pricing Theorem I
  • 4.5 Notes, References and Exercises
  • 5 Risk Premium: Capital Asset Pricing Model and Asset Pricing Theory
  • 5.1 Capital Asset Pricing Model (CAPM)
  • 5.2 Empirical Tests of the CAPM
  • 5.3 Arbitrage Pricing Theory (APT)
  • 5.4 Empirical Tests of the APT
  • 5.5 Notes, References and Exercises
  • 6 Multiperiod Market Models
  • 6.1 Portfolio Choice, Consumption and Equilibrium
  • 6.2 The Fundamental Asset Pricing Theorem II
  • 6.3 Risk Premium and Factor Models
  • 6.4 The No Arbitrage Fundamental Equation and Bubbles
  • 6.5 Empirical Tests: Price-Dividend Process
  • 6.6 Empirical Tests: CCAPM, ICAPM and Risk Premium
  • 6.7 Notes, References and Exercises
  • 7 Information and Financial Markets
  • 7.1 The Role of Information in Financial Markets
  • 7.2 On the Possibility of Efficient Markets
  • 7.3 On the Impossibility of Efficient Markets
  • 7.4 Multiperiod Models
  • 7.5 Empirical Analysis
  • 7.6 Notes, References and Exercises
  • 8 Uncertainty, Rationality and Heterogeneity
  • 8.1 Uncertainty, Risk and Probability
  • 8.2 On Expected Utility Theory
  • 8.3 Heterogeneous Agents and Substantial Rationality
  • 8.4 Bounded Rationality, Incomplete Information and Learning
  • 8.5 Imperfect and Incomplete Markets
  • 9 Financial Markets Microstructure
  • 9.1 The Role of Information under non-Perfect Competition
  • 9.2 Order Driven Markets
  • 9.3 Quote Driven Markets
  • 9.4 Multiperiod Market Models
  • 10 Corporate Finance
  • 10.1 Modigliani-Miller Theorem
  • 10.2 Asymmetric Information
  • 10.3 Agency Models
  • 11 Intermediation and Regulation
  • 11.1 Institutional Investors, Intermediation and Financial Markets
  • 11.2 Market Design
  • 11.3 Market Abuse: Insider Trading and Market Manipulation
  • References.

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