Bestand:Adjusting the capital asset pricing model for the short-run with liquidity proxies, while accounting for denials and deceptions in financial markets (IA adjustingcapital1094541419).pdf
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Beschrijving
Adjusting the capital asset pricing model for the short-run with liquidity proxies, while accounting for denials and deceptions in financial markets
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Auteur
Mooney, John J., IV
Titel
Adjusting the capital asset pricing model for the short-run with liquidity proxies, while accounting for denials and deceptions in financial markets
Uitgever
Monterey, California: Naval Postgraduate School
Beschrijving
William Sharpe's 1964 capital asset pricing model relies heavily on an accurate assessment of the asset's sensitivity to the broader market, termed _. By modifying the classic approach to incorporate liquidity of the asset, designated _', short-term return estimates may be improved. Specifically, in this research, the limit order book is used as a short-term proxy for liquidity assessments. Unfortunately, precise data were unavailable to test: however, detailed realistic examples are outlined in order to explore both rationale and critiques of the adjusted model. In light of the adjusted CAPM, modern market conditions, such as the rise in both high-frequency trading and alternative trading systems, are investigated to determine their impact on the model and asset pricing. Parallels can be drawn to appreciate these implementation obstacles under such information operation paradigms as denial, deception, and counterdeception. These topics, the protection of critical information from leakage, as well as the advancement and detection of deliberate misinformation, are increasingly critical for asset pricing. Furthermore, in response to these implementation obstacles, short-term asset pricing research is explored under both the efficient and adaptive market hypotheses. In conclusion, the thesis offers policy makers and regulators recommendations and considerations for the evolving financial landscape.
Subjects: capital asset pricing model; liquidity; limit order book; order types; sensitivity; volatility; high-frequency trading; algorithmic trading; alternative trading systems; efficient market hypothesis; adaptive market hypothesis; exchange market fragmentation; adverse selection; informed traders; information warfare; information operations; operations security; military deception; security models; operational indicators
Taal
Engels
Datum van uitgave
maart 2014
Huidige locatie
IA Collections: navalpostgraduateschoollibrary; fedlink
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. As such, it is in the public domain, and under the provisions of Title 17, United States Code, Section 105, may not be copyrighted.
Licentie
Public domainPublic domainfalsefalse
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