Equity Indices' Returns: Contingent Claims on GDP Stochastic Movements
- Title
- Equity Indices' Returns: Contingent Claims on GDP Stochastic Movements
- Author
- 이상빈
- Keywords
- contingent claim model; dynamic stochastic macroeconomic factors; Macro-finance; stock indices
- Issue Date
- 2015-06
- Publisher
- Journal of Investment Management
- Citation
- Journal of Investment Management, v. 13, NO 2, Page. 94-110
- Abstract
- This paper proposes an equity index contingent claim model. The model assumes that the equity broad-based market indices’stochastic movements are contingent to macroeconomic risk factors that are derived from Ho et al.’s (HPS, 2012, 2013) and Ho and Lee’s (HL, 2015b, 2015c) theoretical models. The results show that these factors can explain the equity indices’ returns reasonably well.
- URI
- https://www.joim.com/equity-indices-returns-contingent-claims-on-gdp-stochastic-movements/http://hdl.handle.net/20.500.11754/25711
- ISSN
- 1545-9144
- Appears in Collections:
- GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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