adynamiccapmwithsupplyeffecttheoryandempiricalresults课程.pptVIP

A Dynamic CAPM with Supply Effect: Theory and Empirical Results Dr. Cheng Few Lee Distinguished Professor of Finance Rutgers, The State University of New JerseyEditor of Review of Quantitative Finance and Accounting Editor of Review of Pacific Basin Financial Markets and Policies Outline I. INTRODUCTION II. DEVELOPMENT OF MULTIPERIOD  ASSET PRICING MODEL WITH SUPPLY  EFFECT III. DATA AND EMPIRICAL RESULTS IV. SUMMARY AND CONCLUDING REMARKS A. SUMMARY B. FUTURE RESEARCH APPENDIX A MODELING THE PRICE PROCESS APPENDIX B. IDENTIFICATION OF THE  SIMULTANEOUS EQUA