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Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Af: Amia Santini Engelsk Paperback

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Af: Amia Santini Engelsk Paperback
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The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces the importance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.
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The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces the importance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.
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Produktdetaljer
Sprog: Engelsk
Sider: 77
ISBN-13: 9783658374495
Indbinding: Paperback
Udgave:
ISBN-10: 3658374497
Kategori: Offentlige tjenester & sektore
Udg. Dato: 4 maj 2022
Længde: 0mm
Bredde: 148mm
Højde: 210mm
Forlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Oplagsdato: 4 maj 2022
Forfatter(e): Amia Santini
Forfatter(e) Amia Santini

Kategori Offentlige tjenester & sektore

ISBN-13 9783658374495

Sprog Engelsk

Indbinding Paperback

Sider 77

Udgave

Længde 0mm

Bredde 148mm

Højde 210mm

Udg. Dato 4 maj 2022

Oplagsdato 4 maj 2022

Forlag Springer-Verlag Berlin and Heidelberg GmbH & Co. KG