(영어에쎄이) 주식반환 변동성의 설명과 원인(APT 재정가격결정이론,CAPM 자본자산가격결정모형 설명) ,Comment on the volatility of stock returns, including its possible sources and consequences

소개

주식반환 변동성에 대한 설명입니다. 재정가격결정이론 과 자본자산가격결정모형을 바탕으로 변동성에 대해서 설명하였습니다. 영어 에세이입니다. (1500자)
It provide quantitative description of volatility of stock returns based on the asset pricing models(CAPM and APT), and describe the predictions of these models regarding return volatility. It provide whether the models do a good job in accounting for the observed volatility, and base this argument on empirical volatility data. If the models do not do a good job, would introducing behavioural investor biases help? Finally, the essay briefly comment on implications, if any, for risk premia and trade volume (number of shares traded per day weighted by their price).

목차

-Abstract

-Volatility

-CAUSES OF VOLATILITY IN STOCKY RETUNRNS

-APT

-CAPM

-CONCLUSION

-Reference

본문내용

ABSTRACT

The objective of this paper is to describe the nature of volatility in the context of stock returns in financial markets, outlining the causes of volatility on stock returns, and the consequence of volatility in terms of the CAPM and APT model.

VOLATILITY

Volatility is a measure of dispersion around the mean or average return of a stock. One way to measure volatility is by using the standard deviation, which tells you how tightly the price of a stock is grouped around the mean or moving average (MA). When the prices are tightly bunched together, the standard deviation is small. When the price is spread apart, you have a relatively large standard deviation.

참고자료

· BIBLIOGRAPHY AND REFERENCES
· The Concepts and Practice of Mathematical Finance, by Mark S. Joshi,(8 December, 2003) Cambridge University Press
· Paul Wilmott on Quantitative Finance, by Paul Wilmott (27 April, 2000) John Wiley and Sons Ltd
· Options, Futures, and Other Derivatives, by John C. Hull 8th edition, Prentice Hall
· An Introduction to the Mathematics of Financial Derivatives, Second Edition, by Salih Neftci, (30 June, 2000)Academic Press
· www.investopedia.com