Asset Pricing Theories
Mostrando 1-4 de 4 artigos, teses e dissertações.
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1. Análise do pairs trading sob o enfoque das teorias de precificação de ativos financeiros
Buscou-se, neste trabalho, aproximar teoria e prática financeira, através de um estudo sobre a estratégia Pairs Trading, analisada sob a luz do conhecimento teórico produzido a partir da segunda metade do século XX. Com isso, o interesse do trabalho ficou estabelecido em observar, para o caso específico do Pairs Trading, o quanto de conhecimento teóri
Publicado em: 2010
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2. The relationship between market sentiment index and stock returns: a panel data analysis / A relação entre índice de sentimento de mercado e as taxas de retorno das ações: uma análise com dados em painel
In classical nance theory investor sentiment is not considered an important factor in asset pricing. Although the existence of investor sentiment is not denied, theories assume that in competitive markets quasi-rational behavior is quickly oset by rational agents. The main goal of this thesis is to investigate the relationship between investor sentiment and
Publicado em: 2009
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3. "Contributions of the real options valuation approach in highly volatile economic environments - an emphasis in the Latin America scenario" / Contribuições da abordagem de avaliação de opções reais em ambientes econômicos de grande volatilidade - uma ênfase no cenário latino-americano.
In corporate finance and traditional capital budgeting, discounted cash flow methods have prevailed as the basic structure in most approaches to investment and shareholder value analysis. The evolution of the option pricing theory, however, has added a whole new set of tools to the traditional group of theories and practices, necessary to the good management
Publicado em: 2003
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4. The capital-asset-pricing model and arbitrage pricing theory: A unification
We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset’s return, wher
The National Academy of Sciences of the USA.