Wolfgang Drobetz

Global Stock Markets

Expected returns, consumption, and the business cycle

• Broschiertes Buch

Produktbeschreibung

Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of global stock portfolios successfully. Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle: If the time variation in expected returns is rational, driven by shocks to taste or technology, the variation in expected returns should be related to variation in consumption, investment and savings. Testing both stochastic discount factor models and beta pricing models, the author finds that predictability of stock returns is perfectly consistent with the concept of market efficiency and stock prices need not follow a random walk.

Produktdetails

• Gabler Edition Wissenschaft
• Verlag: Deutscher Universitätsverlag / Gabler
• Artikelnr. des Verlages: 978-3-8244-7272-7
• 2000
• Seitenzahl: 356
• Erscheinungstermin: 30. Oktober 2000
• Englisch
• Abmessung: 229mm x 152mm x 20mm
• Gewicht: 448g
• ISBN-13: 9783824472727
• ISBN-10: 3824472724
• Artikelnr.: 36797634

Autorenporträt

Dr. Wolfgang Drobetz ist Assistent am Schweizerischen Institut für Banken und Finanzen der Universität St. Gallen, wo er bei Prof. Dr. Heinz Zimmermann promovierte.

Inhaltsangabe

1 Introduction.- 2 Theory of asset pricing.- 3 Theory of international asset pricing.- 4 Time varying expected returns and the business cycle on international financial markets.- 5 Testing a conditional version of the consumption-based asset pricing model.- 6 Volatility bounds for stochastic discount factors on global financial markets.- 7 Mean reversion and rational pricing on global stock markets.- 8 On the contributions of this study.