img Leseprobe Leseprobe

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Amia Santini

PDF
ca. 90,94
Amazon iTunes Thalia.de Weltbild.de Hugendubel Bücher.de ebook.de kobo Osiander Google Books Barnes&Noble bol.com Legimi yourbook.shop Kulturkaufhaus ebooks-center.de
* Affiliatelinks/Werbelinks
Hinweis: Affiliatelinks/Werbelinks
Links auf reinlesen.de sind sogenannte Affiliate-Links. Wenn du auf so einen Affiliate-Link klickst und über diesen Link einkaufst, bekommt reinlesen.de von dem betreffenden Online-Shop oder Anbieter eine Provision. Für dich verändert sich der Preis nicht.

Springer Fachmedien Wiesbaden img Link Publisher

Sozialwissenschaften, Recht, Wirtschaft / Volkswirtschaft

Beschreibung

The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces theimportance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.

Weitere Titel in dieser Kategorie
Cover Modern Money Theory
L. Randall Wray
Cover Building an Olive-Shaped Society
CICC Research, CICC Global Institute
Cover Money and Inflation
Mehdi Chowdhury
Cover The Rise of China’s Innovation Economy
CICC Research, CICC Global Institute
Cover The Long 2020
Subhas Ranjan Chakraborty

Kundenbewertungen

Schlagwörter

excess volatility, derivatives, natural expectations, rational expectations, risk-neutral measure, eurozone