Econophysics and Capital Asset Pricing
eBook - PDF

Econophysics and Capital Asset Pricing

Splitting the Atom of Systematic Risk

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

Econophysics and Capital Asset Pricing

Splitting the Atom of Systematic Risk

About this book

This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.

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Yes, you can access Econophysics and Capital Asset Pricing by James Ming Chen in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Palgrave Macmillan
Year
2017
Print ISBN
9783319634647
eBook ISBN
9783319634654
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Acknowledgements
  2. Contents
  3. List of Tables
  4. Summary
  5. Part I The First Generation: Addressing Markets Up and Down
  6. Chapter 1 Baryonic Beta Dynamics: The Econophysics of Systematic Risk
  7. Chapter 2 Double- and Single-Sided Risk Measures
  8. Part II The Second Generation: The Strange Charm of Volatility and Correlation
  9. Chapter 3 Relative Volatility Versus Correlation Tightening
  10. Chapter 4 Asymmetrical Volatility and Spillover Effects
  11. Chapter 5 The Low-Volatility Anomaly
  12. Chapter 6 Correlation Tightening
  13. Part III The Third Generation: Truth and Beauty in Cash-Flow and Discount-Rate Effects
  14. Chapter 7 The Intertemporal Capital Asset Pricing Model
  15. Chapter 8 The Equity Premium Puzzle
  16. Chapter 9 Beta’s Cash Flow and Discount Rate Components
  17. Chapter 10 Risk and Uncertainty
  18. Chapter 11 Short-Term Price Continuation Anomalies
  19. Chapter 12 Systematic Risk in the Macrocosm
  20. Chapter 13 The Baryonic Ladder: The Firm, the Market, and the Economy
  21. Index