ASSET PRICING MODEL AND EFFICIENCY PORFOLIO INVESTMENT ON DIFFERENCE FOREIGN OWNERSHIP EVIDENCE FROM VIETNAM STOCK MARKET
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This paper focuses on the question of whether economic growth was constrained by Vietnam’s balance of payments during the 1990-2004 period, by using the model developed by Thirlwall. Based on quarterly and annual data from the period, we found that economic growth was indeed constrained by the count[r]
Further, we determine estimates of the portion of bid-ask spread due to adverseselection adapting the methods introduced by Lin et al. (1995), and find the presence ofthe large shareholders increases the cost of adverse selection. Thus, this relation proposesthat blockholders have an informat[r]
communication and transportation technology, developers fromone country can readily implement projects in another. Especiallyin emerging markets, the influence of transnational investments inchanging the local landscape is becoming more significant.Accordingly, there have been some researches <[r]
1X0IE n IE log , 1;and soIE log IE log :122In summary, capital asset pricing works as follows: Consider an agent who has initial wealthX0and wants to invest in the stock and money market so as to maximizeIE log Xn:The optimalXnisXn=X0
1.2. Research gap From the above summary, the thesis finds that there is still a gap that needs to be supplemented and completed as follows: The domestic and foreign studies have studied only a part of the aspect of the price of gold, gold t[r]
Chapter 33Change of num´eraireConsider a Brownian motion driven market model with time horizonT. For now, we will haveone asset, which we call a “stock” even though in applications it will usually be an interest ratedependent claim. The price of the stock is model[r]
11Simple ExoticsThe purpose of this part of the book is to introduce the reader to the most important typesof equity derivatives and to illustrate the pricing techniques which have been introduced inthe last two parts. Exotic options can mostly be priced using classical statistical tec[r]
35InvestmentPreview AUGUST 2003BByy NNoollll MMoorriiaarrttyyEmail:nmoriart@bigpond.net.auFig. 1. World stock marketproportions in the majorsectors; Australia is over-exposed by financials andunder-exposed to IT,Healthcare, Utilities.Executive SummaryInvestment in resources is often seen as a[r]
IntroductionUnlike the neoclassical theory of investment, the literature based on asymmetric information emphasizes the role played by moral hazard and adverse selection problemsin a firm’s decision to invest in physical and human capital. As a result, the classicaldichot[r]
differentiated markets (Anderson & Palma, 1992; Bockem, 1994; Cohen & Whang, 1997; Lancaster, 1990), where consumers are assumed to have different preferences on products with respect to quality, color, or other characteristics. Hence, WKH¿UPVRQWKHPDUNHWPD\EHEHWWHURII[r]
changing constantly. Many behavioral factors thathave not been successfully incorporated into trad-itional quantitative models have now becomedecisive factors in valuing investments. Severalnew models have thus been developed in an effortto better explain why all of a sudden investors donot see the[r]
physical capital, human capital, natural resources, andtechnological knowledge available to workers.◆ Government policies can influence the economy’sgrowth rate in many ways: encouraging saving andinvestment, encouraging investment from abroad,fostering education, maintaining property[r]
After studying this chapter you will be able to: Read, calculate, and explain stock quotations; calculate dividends of preferred and common stocks; calculate return on investment; read, calculate, and explain bond quotations; compare bond yields to bond premiums and discounts; explain and calculate[r]
instead on indirect measures of the expected realrate such as ex post real rates estimated by sub-tracting actual inflation from realized nominalholding-period returns (Pennachi, 1991). Infla-tion-indexed securities permit the direct study ofthe real interest rate. Wilcox (1998) includ[r]