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Econophysics and capital asset pricing : splitting the atom of systematic risk

Author: Jim Chen
Publisher: Cham, Switzerland : Palgrave Macmillan, 2017.
Series: Quantitative perspectives on behavioral economics and finance.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Chen, Jim, 1966-
Econophysics and capital asset pricing.
Cham, Switzerland : Palgrave Macmillan, 2017
(OCoLC)992746609
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jim Chen
ISBN: 9783319634654 3319634658
OCLC Number: 1005878468
Notes: Includes index.
Description: 1 online resource
Contents: Machine generated contents note: pt. I First Generation: Addressing Markets Up and Down --
1. Baryonic Beta Dynamics: The Econophysics of Systematic Risk --
1.1. Conventional Capital Asset Pricing Model --
1.2. Efficient Market Hypothesis --
1.3. Challenging Efficient Markets and the CAPM --
1.4. Multifactor Models and the Battle Over Beta --
1.5. Baryonic Beta Dynamics --
2. Double-and Single-Sided Risk Measures --
2.1. Double-Sided Measures of Volatility, Variance, and Beta --
2.2. Single-Sided Risk Measures --
2.3. Trigonometry of Semideviation --
2.4. Behavioral Implications of Single-Sided Risk Measures --
pt. II Second Generation: The Strange Charm of Volatility and Correlation --
3. Relative Volatility Versus Correlation Tightening --
3.1. Single-Sided Beta's Discrete Volatility and Correlation Components --
3.2. Sinking, Fast and Slow --
3.3. Parameters Indicating Relative Volatility and Correlation Tightening --
4. Asymmetrical Volatility and Spillover Effects --
4.1. Beta Quotient --
4.2. Changes in Volatility Over Time and Across Financial Space --
4.3. Leverage Effect --
4.4. Volatility Feedback --
4.5. Options Pricing and Implied Volatility --
4.6. Volatility Spillovers --
5. Low-Volatility Anomaly --
5.1. Low-Volatility Anomaly --
5.2. Bowman's Paradox --
6. Correlation Tightening --
6.1. Correlation at the Core of the Risk-Return Relationship --
6.2. Correlation Tightening in Emerging Markets --
6.3. Isolating and Pricing Correlation Risk --
6.4. Correlation Risk and the Low-Volatility Anomaly --
6.5. Liquidity Risk as a Component of Correlation Risk --
6.6. Evidence Against a Correlation Risk Premium --
pt. III Third Generation: Truth and Beauty in Cash-Flow and Discount-Rate Effects --
7. Intertemporal Capital Asset Pricing Model --
7.1. Intertemporal Asset Pricing --
7.2. Consumption Smoothing --
8. Equity Premium Puzzle --
8.1. Equity Risk Premium --
8.2. Stock Market Nonparticipation Puzzle --
8.3. Equity Premium Puzzle --
8.4. Risk-Free Rate Puzzle --
8.5. Habit Formation --
8.6. Life-Cycle Economics --
8.7. Catching Up with the Joneses --
8.8. Coming Full Circle --
9. Beta's Cash Flow and Discount Rate Components --
9.1. Bad Beta, Good Beta --
9.2. Reexamining the Low-Volatility Anomaly Through the Three Generations of Baryonic Beta --
10. Risk and Uncertainty --
10.1. Epistemic Risk Versus Aleatory Uncertainty --
10.2. Information Uncertainty --
10.3. Ambiguity Aversion --
10.4. Rational Learning --
11. Short-Term Price Continuation Anomalies --
11.1. Post-Earnings Announcement Drift --
11.2. Momentum --
11.3. Unified Theory of Rational Drift --
11.4. Uncertainty Revisited: Mixed Signals --
12. Systematic Risk in the Macrocosm --
12.1. Microcosm and Macrocosm --
12.2. Macroeconomics and Capital Markets --
12.3. Decoupling --
12.4. Bad News, Good News --
12.5. Taxonomy of Macroeconomic Announcements --
12.6. From Macroeconomic Aggregates to Aggregate Wealth --
12.7. Consumed by Uncertainty --
13. Baryonic Ladder: The Firm, the Market, and the Economy.
Series Title: Quantitative perspectives on behavioral economics and finance.
Responsibility: James Ming Chen.

Abstract:

This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk.  Read more...

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"The book is more suitable for market practitioners than for financial mathematicians since the mathematical description is relatively well known. It can, however, shed new light on the well-known Read more...

 
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