Asset pricing in a multiperiod securities market with nonnegative wealth constraints

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buir.advisorAltay-Salih, Aslıhan
dc.contributor.authorArısoy, Yakup Eser
dc.date.accessioned2016-01-08T18:02:52Z
dc.date.available2016-01-08T18:02:52Z
dc.date.issued2007
dc.descriptionAnkara : The Department of Management, The Institute of Economics and Social Sciences of Bilkent University, 2007.en_US
dc.descriptionThesis (Ph.D.) -- Bilkent University, 2007.en_US
dc.descriptionIncludes bibliographical references leaves 114-120.en_US
dc.description.abstractAccording to Black-Scholes option pricing model, options are redundant securities, therefore have no importance for the allocation of wealth in the economy. This dissertation shows that options might be nonredundant when two factors are considered - nonnegative wealth and volatility risk. The first part of the dissertation empirically examines whether options are redundant securities or not in the context of volatility risk. It is documented that volatility risk, proxied by zero-beta at-the-money straddles, captures time variation in the stochastic discount factor. In relation to this, alternative explanations to size and value vs. growth anomalies are given. In the second part of the dissertation, a multiperiod securities market is considered, and a model where agents face nonnegative wealth constraints is developed. Individuals’ associated consumption-investment problem is solved under this constraint, and optimal sharing rules for each agent in the economy are derived, subsequently. The optimal consumption for the representative agent leads to a multifactor conditional C-CAPM, which is the main testable hypothesis of the theory. Overall the theory outlined, and the empirical findings documented have implications for asset pricing, portfolio management, and capital markets theories.en_US
dc.description.provenanceMade available in DSpace on 2016-01-08T18:02:52Z (GMT). No. of bitstreams: 1 0003436.pdf: 781126 bytes, checksum: 740fbab974bdcf96f9f1ea6249c1f81f (MD5)en
dc.description.statementofresponsibilityArısoy, Yakup Eseren_US
dc.format.extentxi, 120 leavesen_US
dc.identifier.urihttp://hdl.handle.net/11693/14603
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectNonnegative wealthen_US
dc.subjectvolatility risken_US
dc.subjectconditioning variableen_US
dc.subjectC-CAPMen_US
dc.subjectoption returnsen_US
dc.subject.lccHG4636 .A75 2007en_US
dc.subject.lcshCapital assets pricing model.en_US
dc.subject.lcshStocks--Prices--Econometric models.en_US
dc.subject.lcshSecurities.en_US
dc.subject.lcshRisk management.en_US
dc.titleAsset pricing in a multiperiod securities market with nonnegative wealth constraintsen_US
dc.typeThesisen_US
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorBilkent University
thesis.degree.levelDoctoral
thesis.degree.namePh.D. (Doctor of Philosophy)

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