The Economics of Financial Markets
eBook - PDF

The Economics of Financial Markets

  1. English
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  3. Available on iOS & Android
eBook - PDF

The Economics of Financial Markets

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About This Book

The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief overview of financial markets - their microstructure and the randomness of stock market prices - this textbook explores how the economics of uncertainty can be applied to financial decision-making. The mean-variance model of portfolio selection is discussed, with analysis extended to the capital asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an assessment of theories of the term structure of interest rates. Finally, financial derivatives are explored, focusing on futures and options contracts.

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Information

Publisher
Cambridge University Press
Year
2005
ISBN
9780511114151
Topic
Business
Subtopic
Finance
Index
Business
Asset
market
microstructure
55
Spencer,
P.
D.
(2000),
The
Structure
and
Regulation
of
Financial
Markets
,
Oxford:
Oxford
University
Press.
Spulber,
D.
F.
(1999),
Market
Microstructure:
Intermediaries
and
the
Theory
of
the
Firm
,
Cambridge:
Cambridge
University
Press.

Table of contents

  1. Cover
  2. Half-Title
  3. Title
  4. Copyright
  5. Contents in brief
  6. Contents
  7. Figures
  8. Preface
  9. 1 Asset markets and asset prices
  10. 2 Asset market microstructure
  11. 3 Predictability of prices and market efficiency
  12. 4 Decision making under uncertainty
  13. 5 Portfolio selection:the mean-variance model
  14. 6 The capital asset pricing model
  15. 7 Arbitrage
  16. 8 Factor models and the arbitrage pricing theory
  17. 9 Empirical appraisal of the CAPM and APT
  18. 10 Present value relationships and price variability
  19. 11 Intertemporal choice and the equity premium puzzle
  20. 12 Bond markets and fixed-interest securities
  21. 13 Term structure of interest rates
  22. 14 Futures markets I: fundamentals
  23. 15 Futures markets II: speculation and hedging
  24. 16 Futures markets III: applications
  25. 17 Swap contracts and swap markets
  26. 18 Options markets I: fundamentals
  27. 19 Options markets II: price determination
  28. 20 Options markets III: applications
  29. Subject index
  30. Author index