Econophysics and Capital Asset Pricing Splitting the Atom of Systematic Risk /
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&q...
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| Language: | English |
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Cham :
Springer International Publishing : Imprint: Palgrave Macmillan,
2017.
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| Edition: | 1st ed. 2017. |
| Series: | Quantitative Perspectives on Behavioral Economics and Finance,
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| Online Access: | https://doi.org/10.1007/978-3-319-63465-4 |
Table of Contents:
- 1. Baryonic Beta Dynamics: The Econophysics of Systematic Risk
- 2. Double- and Single-Sided Risk Measures
- 3. Relative Volatility Versus Correlation Tightening
- 4. Asymmetrical Volatility and Spillover Effects
- 5. The Low-Volatility Anomaly
- 6. Correlation Tightening
- 7. The Intertemporal Capital Asset Pricing Model
- 8. The Equity Premium Puzzle
- 9. Beta’s Cash-Flow and Discount-Rate Components
- 10. Risk and Uncertainty
- 11. Short-Term Price Continuation Anomalies
- 12. Systematic Risk in the Macrocosmos
- 13. The Baryonic Ladder: The Firm, the Market, and the Economy.