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Chen, James Ming

Econophysics and Capital Asset Pricing

Chen, James Ming - Econophysics and Capital Asset Pricing, ebook

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ISBN: 9783319634654
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Table of contents

Part I. The First Generation: Addressing Markets Up and Down

1. Baryonic Beta Dynamics: The Econophysics of Systematic Risk
James Ming Chen

2. Double- and Single-Sided Risk Measures
James Ming Chen

Part II. The Second Generation: The Strange Charm of Volatility and Correlation

3. Relative Volatility Versus Correlation Tightening
James Ming Chen

4. Asymmetrical Volatility and Spillover Effects
James Ming Chen

5. The Low-Volatility Anomaly
James Ming Chen

6. Correlation Tightening
James Ming Chen

Part III. The Third Generation: Truth and Beauty in Cash-Flow and Discount-Rate Effects

7. The Intertemporal Capital Asset Pricing Model
James Ming Chen

8. The Equity Premium Puzzle
James Ming Chen

9. Beta’s Cash Flow and Discount Rate Components
James Ming Chen

10. Risk and Uncertainty
James Ming Chen

11. Short-Term Price Continuation Anomalies
James Ming Chen

12. Systematic Risk in the Macrocosm
James Ming Chen

13. The Baryonic Ladder: The Firm, the Market, and the Economy
James Ming Chen

Keywords: Finance, Behavioral Finance, Behavioral/Experimental Economics, Economic Theory/Quantitative Economics/Mathematical Methods

Author(s)
Publisher
Springer
Publication year
2017
Language
en
Edition
1
Series
Quantitative Perspectives on Behavioral Economics and Finance
Category
Economy
Format
Ebook
eISBN (PDF)
9783319634654
Printed ISBN
978-3-319-63464-7

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