Asset_Returns_Fall 2018.pdf - Asset Returns Bruce D McNevin...

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Asset Returns Bruce D. McNevin, Ph.D. Financial Econometrics, GA.3001.008 Department of Economics New York University
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Outline Some useful definitions. Returns : simple, compounded and annualized Distributions: joint, conditional, marginal Characteristics of returns Illustrations using R. The Efficient Market Hypothesis Law of Iterated Expectations Testing Random Walk Hypotheses
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Asset Returns It is very common in finance to evaluate asset performance using returns instead of prices. There are two reasons typically given for the use of returns: 1) Return is a scale free measure of an assets performance. 2) Returns have “nicer” statistical properties then prices. i.e. they are stationary There are, however, a number of ways to calculate the return on an asset.
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