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Oxford University Press, 2007, 489 pp.There are many textbooks for business students that provide a systematic, introductory development of the economics of financial markets. However, there are as yet no introductory textbooks aimed at more easily daunted undergraduate liberal arts students. Introduction to the Economics of Financial Markets fills this gap by providing an extremely accessible introductory exposition of how economists analyze both how, and how well, financial markets organize the intertemporal allocation of scarce resources. The central theme is that the function of a system of financial markets is to enable consumers, investors, and managers of firms to effect mutually beneficial intertemporal exchanges. James Bradfield uses the standard concept of economic efficiency (Pareto Optimality) to assess the efficacy of the financial markets. He presents an intuitive, and introductory, understanding of the primary theoretical and empirical models that economists use to analyze financial markets, and then uses these models to discuss implications for public policy. Students who use this text will acquire an understanding of the economics of financial markets that will enable them to read, with some sophistication, articles in the public press about financial markets and about public policy toward those markets. The book is addressed to undergraduate students in the liberal arts, but will also be useful for undergraduate and beginning graduate students in programs of business administration who want an understanding of how economists assess financial markets against the criteria of allocative and informational efficiency.CONTENTS:

The Economics of Financial Markets.

The Economic Function of a Financial Market.

The Intended Readers for This Book.

Three Kinds of Trade-Offs.

Mutually Beneficial Intertemporal Exchanges.

Economic Efficiency and Mutually Beneficial Exchanges.

Examples of Market Failures.

ssues in Public Policy.

The Plan of the Book.

Financial Markets and Economic Efficiency.

Financial Securities.

Transaction Costs.

Liquidity.

The Problem of Asymmetric Information.

The Problem of Agency.

Financial Markets and Informational Efficiency.

Part II Intertemporal Allocation by Consumers and Firms When Future Payments Are Certain.

The Fundamental Economics of Intertemporal Allocation.

The Plan of the Chapter.

A Primitive Economy with No Trading.

A Primitive Economy with Trading, but with No Markets.

The Assumption That Future Payments Are Known with Certainty Today.

Abstracting from Firms.

The Distinction between Income and Wealth.

ncome, Wealth, and Present Values Problems.

The Fisher Diagram for Optimal Intertemporal Allocation.

The Intertemporal Budget Line.

ntertemporal Indifference Curves.

Allocating Wealth to Maximize Intertemporal Utility.

Mutually Beneficial Exchanges.

The Efficient Level of Investment.

The Importance of Informational Efficiency in the Prices of Financial Securities.

Maximizing Lifetime Utility in a Firm with Many Shareholders.

The Plan of the Chapter.

A Firm with Many Shareholders.

A Profitable Investment Project.

Financing the New Project.

Conclusion.

A Transition to Models in Which Future Outcomes Are Uncertain.

A Brief Review and the Plan of the Chapter.

Risk and Risk Aversion.

A Synopsis of Modern Portfolio Theory.

A Model of a Firm Whose Future Earnings Are Uncertain: Two Adjacent Farms.

Mutually Beneficial Exchanges: A Contractual Claim and a Residual Claim.

The Equilibrium Prices of the Bond and the Stock.

Conclusion.

Part III Rates of Return as Random Variables.

Probabilistic Models.

The Objectives of Using Probabilistic Models.

Rates of Return and Prices.

Rates of Return as Random Variables.

Normal Probability Distributions.

A Joint Probability Distribution for Two Discrete Random Variables.

A Summary Thus Far.

The Effect of the Price of a Security on the Expected Value of Its Rate of Return.

The Effect of the Price of a Security on the Standard Deviation of Its Rate of Return.

A Linear Model of the Rate of Return.

Regression Lines and Characteristic Lines.

The Parameter _i as the Quantity of Risk in Security i.

Correlation.

Summary.

Рart IV Portfolio Theory and Capital Asset Pricing Theory.

Portfolio Theory.

ntroduction.

Portfolios as Synthetic Securities.

Portfolios Containing Two Risky Securities.

The Trade-Off between the Expected Value and the Standard Deviation of the Rate of Return on a Portfolio That Contains Two Securities.

A Simple Numerical Example to Show the Effect of _AB on the Trade-Off between Expected Return and Standard Deviation.

The Special Cases of Perfect Positive and Perfect Negative Correlation.

Trade-Offs between Expected Return and Standard Deviation for Portfolios That Contain N Risky Securities.

Summary.

The Capital Asset Pricing Model.

ntroduction.

Capital Market Theory and Portfolio Theory.

The Microeconomic Foundations of the CAPM.

The Three Equations of the CAPM.

A Summary of the Intuitive Introduction to the CAPM.

The Derivation of the Capital Market Line.

The Derivation of the Security Market Line.

nterpreting _i as the Marginal Effect of Security i on the Total Risk in the Investor’s Portfolio.

Summary.

Multifactor Models for Pricing Securities.

ntroduction.

Analogies and an Important Distinction between the Capital Asset.

Pricing Model and Multifactor Models.

A Hypothetical Two-Factor Asset Pricing Model.

The Three-Factor Model of Fama and French.

The Five-Factor Model of Fama and French.

The Arbitrage Pricing Theory.

Summary.

Appendix: Estimating the Values of _ and _ for a Two-Factor Model.

Part V The Informational and Allocative Efficiency of Financial Markets: The Concepts.

The Efficient Markets Hypothesis.

ntroduction.

nformational Efficiency, Rationality, and the Joint Hypothesis.

A Simple Example of Informational Efficiency.

A Second Example of Informational Efficiency: Predictability of Returns—Bubbles or Rational Variations of Expected Returns? .

nformational Efficiency and the Predictability of Returns.

nformational Efficiency and the Speed of Adjustment of Prices to Public Information.

nformational Efficiency and the Speed of Adjustment of Prices to Private Information.

nformation Trading, Liquidity Trading, and the Cost of Capital for a Firm.

Distinguishing among Equilibrium, Stability, and Volatility.

Conclusion.

Appendix: The Effect of a Unit Tax in a Competitive Industry.

Who Owns Inside Information? .

The Economic Effect of Insider Trading: A General Treatment.

The Effect of Insider Trading on Mitigating Problems of Agency.

The Effect of Insider Trading on Protecting the Value of a Firm’s Confidential Information.

The Effect of Insider Trading on the Firm’s Cost of Capital through the Effect on Liquidity.

The Effect of Insider Trading on the Trade-Off between Insiders and Informed Investors in Producing Informative Prices.

mplications for the Regulation of Insider Trading.

Summary.

Options.

ntroduction.

Call Options.

Put Options.

A Simple Model of the Equilibrium Price of a Call Option.

The Black-Scholes Option Pricing Formula.

The Put-Call Parity.

Homemade Options.

ntroduction to Implicit Options.

mplicit Options in a Leveraged Firm.

An Implicit Option on a Postponable and Irreversible Investment Project.

Summary.

Appendix: Continuous Compounding.

Futures Contracts.

ntroduction.

Futures Contracts as Financial Securities.

Futures Contracts and the Efficient Allocation of Risk.

The Futures Price, the Spot Price, and the Future Price.

The Long Side and the Short Side of a Futures Contract.

Futures Contracts as Financial Securities.

Futures Contracts as Transmitters of Information about the Future Values of Spot Prices.

nvestment, Speculation, and Hedging.

Futures Prices as Predictors of Future Values of Spot Prices.

Conclusion.

Additional Topics in the Economics of Financial Markets.

Bonds.

nitial Public Offerings.

Mutual Funds.

Behavioral Finance.

Market Microstructure.

Financial Derivatives.

Corporate Takeovers.

Signaling with Dividends.

Bibliographies.

Summary and Conclusion.

An Overview.

Efficiency.

Asset Pricing Models.

Market Imperfections.

Derivatives.

mplications for Public Policy.

A Final Word.

Notes.

Answers to Problems.

Glossary.

Bibliography of Nobel Laureates.

Bibliography.

Index.

The Economics of Financial Markets.

The Economic Function of a Financial Market.

The Intended Readers for This Book.

Three Kinds of Trade-Offs.

Mutually Beneficial Intertemporal Exchanges.

Economic Efficiency and Mutually Beneficial Exchanges.

Examples of Market Failures.

ssues in Public Policy.

The Plan of the Book.

Financial Markets and Economic Efficiency.

Financial Securities.

Transaction Costs.

Liquidity.

The Problem of Asymmetric Information.

The Problem of Agency.

Financial Markets and Informational Efficiency.

Part II Intertemporal Allocation by Consumers and Firms When Future Payments Are Certain.

The Fundamental Economics of Intertemporal Allocation.

The Plan of the Chapter.

A Primitive Economy with No Trading.

A Primitive Economy with Trading, but with No Markets.

The Assumption That Future Payments Are Known with Certainty Today.

Abstracting from Firms.

The Distinction between Income and Wealth.

ncome, Wealth, and Present Values Problems.

The Fisher Diagram for Optimal Intertemporal Allocation.

The Intertemporal Budget Line.

ntertemporal Indifference Curves.

Allocating Wealth to Maximize Intertemporal Utility.

Mutually Beneficial Exchanges.

The Efficient Level of Investment.

The Importance of Informational Efficiency in the Prices of Financial Securities.

Maximizing Lifetime Utility in a Firm with Many Shareholders.

The Plan of the Chapter.

A Firm with Many Shareholders.

A Profitable Investment Project.

Financing the New Project.

Conclusion.

A Transition to Models in Which Future Outcomes Are Uncertain.

A Brief Review and the Plan of the Chapter.

Risk and Risk Aversion.

A Synopsis of Modern Portfolio Theory.

A Model of a Firm Whose Future Earnings Are Uncertain: Two Adjacent Farms.

Mutually Beneficial Exchanges: A Contractual Claim and a Residual Claim.

The Equilibrium Prices of the Bond and the Stock.

Conclusion.

Part III Rates of Return as Random Variables.

Probabilistic Models.

The Objectives of Using Probabilistic Models.

Rates of Return and Prices.

Rates of Return as Random Variables.

Normal Probability Distributions.

A Joint Probability Distribution for Two Discrete Random Variables.

A Summary Thus Far.

The Effect of the Price of a Security on the Expected Value of Its Rate of Return.

The Effect of the Price of a Security on the Standard Deviation of Its Rate of Return.

A Linear Model of the Rate of Return.

Regression Lines and Characteristic Lines.

The Parameter _i as the Quantity of Risk in Security i.

Correlation.

Summary.

Рart IV Portfolio Theory and Capital Asset Pricing Theory.

Portfolio Theory.

ntroduction.

Portfolios as Synthetic Securities.

Portfolios Containing Two Risky Securities.

The Trade-Off between the Expected Value and the Standard Deviation of the Rate of Return on a Portfolio That Contains Two Securities.

A Simple Numerical Example to Show the Effect of _AB on the Trade-Off between Expected Return and Standard Deviation.

The Special Cases of Perfect Positive and Perfect Negative Correlation.

Trade-Offs between Expected Return and Standard Deviation for Portfolios That Contain N Risky Securities.

Summary.

The Capital Asset Pricing Model.

ntroduction.

Capital Market Theory and Portfolio Theory.

The Microeconomic Foundations of the CAPM.

The Three Equations of the CAPM.

A Summary of the Intuitive Introduction to the CAPM.

The Derivation of the Capital Market Line.

The Derivation of the Security Market Line.

nterpreting _i as the Marginal Effect of Security i on the Total Risk in the Investor’s Portfolio.

Summary.

Multifactor Models for Pricing Securities.

ntroduction.

Analogies and an Important Distinction between the Capital Asset.

Pricing Model and Multifactor Models.

A Hypothetical Two-Factor Asset Pricing Model.

The Three-Factor Model of Fama and French.

The Five-Factor Model of Fama and French.

The Arbitrage Pricing Theory.

Summary.

Appendix: Estimating the Values of _ and _ for a Two-Factor Model.

Part V The Informational and Allocative Efficiency of Financial Markets: The Concepts.

The Efficient Markets Hypothesis.

ntroduction.

nformational Efficiency, Rationality, and the Joint Hypothesis.

A Simple Example of Informational Efficiency.

A Second Example of Informational Efficiency: Predictability of Returns—Bubbles or Rational Variations of Expected Returns? .

nformational Efficiency and the Predictability of Returns.

nformational Efficiency and the Speed of Adjustment of Prices to Public Information.

nformational Efficiency and the Speed of Adjustment of Prices to Private Information.

nformation Trading, Liquidity Trading, and the Cost of Capital for a Firm.

Distinguishing among Equilibrium, Stability, and Volatility.

Conclusion.

Appendix: The Effect of a Unit Tax in a Competitive Industry.

Who Owns Inside Information? .

The Economic Effect of Insider Trading: A General Treatment.

The Effect of Insider Trading on Mitigating Problems of Agency.

The Effect of Insider Trading on Protecting the Value of a Firm’s Confidential Information.

The Effect of Insider Trading on the Firm’s Cost of Capital through the Effect on Liquidity.

The Effect of Insider Trading on the Trade-Off between Insiders and Informed Investors in Producing Informative Prices.

mplications for the Regulation of Insider Trading.

Summary.

Options.

ntroduction.

Call Options.

Put Options.

A Simple Model of the Equilibrium Price of a Call Option.

The Black-Scholes Option Pricing Formula.

The Put-Call Parity.

Homemade Options.

ntroduction to Implicit Options.

mplicit Options in a Leveraged Firm.

An Implicit Option on a Postponable and Irreversible Investment Project.

Summary.

Appendix: Continuous Compounding.

Futures Contracts.

ntroduction.

Futures Contracts as Financial Securities.

Futures Contracts and the Efficient Allocation of Risk.

The Futures Price, the Spot Price, and the Future Price.

The Long Side and the Short Side of a Futures Contract.

Futures Contracts as Financial Securities.

Futures Contracts as Transmitters of Information about the Future Values of Spot Prices.

nvestment, Speculation, and Hedging.

Futures Prices as Predictors of Future Values of Spot Prices.

Conclusion.

Additional Topics in the Economics of Financial Markets.

Bonds.

nitial Public Offerings.

Mutual Funds.

Behavioral Finance.

Market Microstructure.

Financial Derivatives.

Corporate Takeovers.

Signaling with Dividends.

Bibliographies.

Summary and Conclusion.

An Overview.

Efficiency.

Asset Pricing Models.

Market Imperfections.

Derivatives.

mplications for Public Policy.

A Final Word.

Notes.

Answers to Problems.

Glossary.

Bibliography of Nobel Laureates.

Bibliography.

Index.

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