Discusses the novel and controversial topic of econophysics
Looks at systematic risk as a divisible concept, comparable to the building blocks of matter
Approaches capital asset pricing from a dynamic perspective

Discusses the novel and controversial topic of econophysics Looks at systematic risk as a divisible concept, comparable to the building blocks of matter Approaches capital asset pricing from a dynamic perspective Includes supplementary material: sn.pub/extras

Autorentext

James Ming Chen holds the Justin Smith Morrill Chair in Law at Michigan State University, USA. His books, Disaster Law and Policy, Postmodern Portfolio Theory, and Finance and the Behavioral Prospect cover a broad range of issues concerning extreme events and risk management, from natural to financial disasters. He is of counsel to the Technology Law Group of Washington, DC; a public member of the Administrative Conference of the United States; and an elected member of the American Law Institute. A magna cum laude graduate of Harvard Law School and a former editor of the Harvard Law Review, Chen also served as a clerk to Justice Clarence Thomas of the Supreme Court of the United States.

Zusammenfassung
Discusses the novel and controversial topic of econophysics
Looks at systematic risk as a divisible concept, comparable to the building blocks of matter
Approaches capital asset pricing from a dynamic perspective

Inhalt

1. Baryonic Beta Dynamics: The Econophysics of Systematic Risk.- 2. Double- and Single-Sided Risk Measures.- 3. Relative Volatility Versus Correlation Tightening.- 4. Asymmetrical Volatility and Spillover Effects.- 5. The Low-Volatility Anomaly.- 6. Correlation Tightening.- 7. The Intertemporal Capital Asset Pricing Model.- 8. The Equity Premium Puzzle.- 9. Beta's Cash-Flow and Discount-Rate Components.- 10. Risk and Uncertainty.- 11. Short-Term Price Continuation Anomalies.- 12. Systematic Risk in the Macrocosmos.- 13. The Baryonic Ladder: The Firm, the Market, and the Economy.