Quantitative Financial Economics Stocks, Bonds and Foreign Exchange

Second Edition {2004}
KEITH CUTHBERTSON
AND
DIRK NITZSCHE

738 pages

 ...

12.1 Linearisation of Returns and the
RVF 274
12.2 Empirical Results 280
12.3 Persistence and Volatility 291
12.4 Summary 295
Appendix: Returns, Variance
Decomposition and Persistence 296
13 SDF Model and the
C-CAPM 303
Aims 303
13.1 Consumption-CAPM 304
13.2 C-CAPM and the ‘Standard’
CAPM 309
13.3 Prices and Covariance 314
13.4 Rational Valuation Formula and
SDF 315
13.5 Factor Models 315
13.6 Summary 317
Appendix: Joint Lognormality
and Power Utility 318
14 C-CAPM: Evidence and
Extensions 323
Aims 323
14.1 Should Returns be Predictable
in the C-CAPM? 323
14.2 Equity Premium Puzzle 327
14.3 Testing the Euler Equations of
the C-CAPM 332
14.4 Extensions of the SDF Model 336
14.5 Habit Formation 346
14.6 Equity Premium: Further
Explanations 350
14.7 Summary 353
Appendix: Hansen–Jagannathan
Bound 354
15 Intertemporal Asset
Allocation: Theory 355
Aims 355
15.1 Two-Period Model 356
15.2 Multi-Period Model 362
15.3 SDF Model of Expected Returns 368
15.4 Summary 368
Appendix I: Envelope Condition
for Consumption-Portfolio
Problem 369
Appendix II: Solution for Log
Utility 370
16 Intertemporal Asset
Allocation: Empirics 375
Aims 375
16.1 Retirement and Stochastic
Income 375
16.2 Many Risky Assets 381
16.3 Different Preferences 383
16.4 Horizon Effects and Uncertainty 386
16.5 Market Timing and Uncertainty 389
16.6 Stochastic Parameters 390
16.7 Robustness 391
16.8 Summary 392
Appendix: Parameter
Uncertainty and Bayes
Theorem 393
17 Rational Bubbles and
Learning 397
Aims 397
17.1 Rational Bubbles 397
17.2 Tests of Rational Bubbles 401
17.3 Intrinsic Bubbles 404
17.4 Learning 409
17.5 Summary 420
18 Behavioural Finance and
Anomalies 423
Aims 423
18.1 Key Ideas 423
18.2 Beliefs and Preferences 428
18.3 Survival of Noise Traders 430
18.4 Anomalies 433
18.5 Corporate Finance 447
18.6 Summary 449

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