Asset expected returns and risk.

Title: Asset expected returns and risk.
Identifier: AAI9108133
identifier: 9108133
Creator: Koutmos, Gregory.
Contributor: Adviser: Ronald Anderson
Date: 1990
Language: English
Publisher: City University of New York.
Subject: Economics, Finance
Abstract: All major equilibrium models describing the behavior of prices of financial assets are stated in terms of expected returns and expected payoffs. As a result, empirical verification of those models depends heavily on the ability to calculate those expected values, which are required for each model specifically, using observed data.;In this paper I propose a method for deriving expected returns on individual assets and the market as a whole by simply assuming that markets are efficient, in the sense that prices fully reflect all currently available information, (the semi-strong form of market efficiency). No particular equilibrium model is assumed since the Efficient Markets Hypothesis, hence EMH, is much broader and should be consistent with any single equilibrium model. In fact all equilibrium models utilize some form of the EMH and any test of those models is indirectly a test of the EMH.;The advantage of the method proposed is that it can be applied to single securities, as well as the market index, and it allows for the expected returns to be time dependent (random).
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.