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140122 ||| eng |
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|a 9783663085294
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|a Drobetz, Wolfgang
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|a Global Stock Markets
|h Elektronische Ressource
|b Expected returns, consumption, and the business cycle
|c by Wolfgang Drobetz
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|a 1st ed. 2000
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|a Wiesbaden
|b Deutscher Universitätsverlag
|c 2000, 2000
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|a XIX, 332 p
|b online resource
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|a 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
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| 653 |
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|a Emerging Markets and Globalization
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| 653 |
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|a Globalization
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|a International economic integration
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|a Marketing
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|a eng
|2 ISO 639-2
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| 989 |
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|b SBA
|a Springer Book Archives -2004
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|a 10.1007/978-3-663-08529-4
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|u https://doi.org/10.1007/978-3-663-08529-4?nosfx=y
|x Verlag
|3 Volltext
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|a 337
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|a 303.482
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|a 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
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