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Více informací o knize Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

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Anotace knihy

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 the importance 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.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Industry & industrial studies Civil service & public sector

• Plný název: Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives
• Autor: Amia Santini
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 77
• EAN: 9783658374495
• ID: 38866158
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 131 g
• Rozměry: 210 × 148 × 6 mm
• Datum vydání: 04. May 2022

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