The University of Southampton
University of Southampton Institutional Repository

Asset pricing and financial market regulation

Asset pricing and financial market regulation
Asset pricing and financial market regulation

The objective of this dissertation is to improve our understanding of the relationship between the macroeconomic environment and asset prices. In Part 1 of the thesis attention is focussed upon so called financial market anomalies and upon the links between the equity markets of Germany, Japan, the UK and the USA and their respective macroeconomies. The key results are:- 1) each market displays seasonality in varying degrees; 2) there exists in each economy a small, stable set of economic variables which are able to predict stock market returns over a number of years; and 3) that the Fisher hypothesis does not hold for any of the four markets. In Part 2 using UK data and the formal framework of the APT, it is shown that there exists a number of macroeconomic variables which have associated risk premia. Some of the variables which were found to have predictive power for equity returns in Part 1 are found to be an integral part of the asset pricing relationship in Part 2. The results from parts 1 and 2 are then used in Part 3 to develop two complete, risk based models of a securities house. The derived measures of the probability of firm failure were both found to be sensitive to balance sheet change when simulation experiments were conducted and therefore may offer regulators an important framework for the design of regulations for these firms.

University of Southampton
Clare, Andrew David
Clare, Andrew David

Clare, Andrew David (1992) Asset pricing and financial market regulation. University of Southampton, Doctoral Thesis.

Record type: Thesis (Doctoral)

Abstract

The objective of this dissertation is to improve our understanding of the relationship between the macroeconomic environment and asset prices. In Part 1 of the thesis attention is focussed upon so called financial market anomalies and upon the links between the equity markets of Germany, Japan, the UK and the USA and their respective macroeconomies. The key results are:- 1) each market displays seasonality in varying degrees; 2) there exists in each economy a small, stable set of economic variables which are able to predict stock market returns over a number of years; and 3) that the Fisher hypothesis does not hold for any of the four markets. In Part 2 using UK data and the formal framework of the APT, it is shown that there exists a number of macroeconomic variables which have associated risk premia. Some of the variables which were found to have predictive power for equity returns in Part 1 are found to be an integral part of the asset pricing relationship in Part 2. The results from parts 1 and 2 are then used in Part 3 to develop two complete, risk based models of a securities house. The derived measures of the probability of firm failure were both found to be sensitive to balance sheet change when simulation experiments were conducted and therefore may offer regulators an important framework for the design of regulations for these firms.

This record has no associated files available for download.

More information

Published date: 1992

Identifiers

Local EPrints ID: 461671
URI: http://eprints.soton.ac.uk/id/eprint/461671
PURE UUID: ce5dfee5-78b9-4646-8e92-e6aea7e2e0ed

Catalogue record

Date deposited: 04 Jul 2022 18:51
Last modified: 04 Jul 2022 18:51

Export record

Contributors

Author: Andrew David Clare

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×