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Essays on the arbitrage pricing theory and wavelet analysis
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Florence : European University Institute, 1998
EUI; ECO; PhD Thesis
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KIERMEIER, Michaela, Essays on the arbitrage pricing theory and wavelet analysis, Florence : European University Institute, 1998, EUI, ECO, PhD Thesis - https://hdl.handle.net/1814/4976
Abstract
In this thesis we concentrate on one of the most important and general approaches in financial economics which is the Arbitrage Pricing Theory (APT). First we present this theory and put it into context. We then construct estimated expectations based on this theory and contribute to the question of whether the German stockmarket is efficient. Furthermore, wavelet analysis is presented in the context of the forward premium anomaly and is then applied to the APT to get a new notion of expectations. The theory of finance originated from two pioneering approaches: Markowitz (1952) formed the basis for portfolio theory and Modigliani/Miller (1958) claimed that the capital structure and dividend policy of a firm are irrelevant for its value if the capital market is perfect. Markowitz's ideas led Sharpe (1964), Lintner (1965), and Mossin (1966) to develop the Capital Asset Pricing Model (CAPM). The CAPM is the first model to price assets that are risky. It is developed in the context of general equilibrium theory and therefore makes assumptions about the preferences of the investors and the definition of market equilibrium.
Table of Contents
-- Review of the arbitrage pricing theory and its estimation techniques
-- The arbitrage pricing theory and the efficiency of the German stock market
-- Wavelet analysis applied to the arbitrage pricing theory
Additional Information
Defence date: 13 July 1998
Examining board: Prof. Anindya Banerjee, Oxford University ; Prof. Søren Johansen, EUI ; Prof. Grayham Mizon, EUI, Supervisor ; Prof. Klaus Sandmann, University of Mainz
PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017
First made available in Open Access: 09 January 2025
Examining board: Prof. Anindya Banerjee, Oxford University ; Prof. Søren Johansen, EUI ; Prof. Grayham Mizon, EUI, Supervisor ; Prof. Klaus Sandmann, University of Mainz
PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017
First made available in Open Access: 09 January 2025