International Asset Pricing with Noise Trader-Intertemporal Model
| Autor: | WANG, YI-TSUNG, 王怡聰 |
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| Rok vydání: | 1996 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 84 The traditional international asset pricing is the extension of CAPM. It considered how the asset price is affected by the the degree of international capital market. However, the model did not take intertemporal consumption into account, so interest rate is an exogenous variable. Besides, noise trader, the people acted as if they had information, do exist in the capital market. The thesis based on intertemporal model analyzed the influence of noise trader in the international capital market, including asset demand, price, interest rate, asset return, intertemporal consumption and welfare. There are two assumptions in the two-country model. Model 1(chap 3) assumed that the restricted investor is noise trader in the mild-segmentation market. However, model 2 assumed that noise trader is free investor. The results show that the misperception of noise trader will affect all the economic variables. Finally, the thesis assumed that the misperception of noise trader followed the normal distribution and analyzed the influence of noise trader variance. By doing so, we can find the discount of asset price because of the noise trader variance in different degree of capital market integration. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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