Econophysics and Capital Asset Pricing

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

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