+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»

JOURNALS

  

FOR AUTHORS

  

SUBSCRIBE

    
Financial Analytics: Science and Experience
 

Overview of the theoretical concept of pricing for financial assets

Vol. 9, Iss. 20, MAY 2016

PDF  Article PDF Version

Received: 19 April 2016

Received in revised form: 24 April 2016

Accepted: 28 April 2016

Available online: 29 May 2016

Subject Heading: FINANCIAL INSTRUMENTS

JEL Classification: G02, G10, G12, G14

Pages: 2-17

Okun' S.A. Kuban State University, Krasnodar, Krasnodar Krai, Russian Federation
n121ha@rambler.ru

Importance The article overviews principal theories of pricing for financial assets and relevant processes. I point out the role of the efficient market hypothesis in contemporary scientific concepts and review principle assumption and possibilities for putting those concepts in practice.
Objectives The research analyzes principal concepts of pricing for financial assets and points out specific assumptions per each theory. I also identify aspects which unite the theories or allow them to supplement one another. The article shows further areas for developing theoretical concepts.
Methods I applied a comparative analysis of pricing concepts in relation to financial assets.
Conclusions and Relevance As the research shows, the efficient market hypothesis plays a prevailing role to analyze pricing for financial assets. The respective theories can be divided into two groups, i.e. those that directly study the system and its characteristics for securities circulation purposes, processes of pricing on the basis of interaction between various parties to sale and purchase of financial assets. The second group of theories seems to be more promising in terms of further development of pricing concepts in the financial market.

Keywords: financial market, stock market, hypothesis, theory of noise trading, theory of chaos, securities

References:

  1. Fama E. Efficient Capital Markets: a Review of Theory and Empirical Work. Journal of Finance, vol. 25, iss. 2, pp. 383–417. Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, December 28–30, 1969 (May, 1970). Available at: Link.
  2. Raghubir P., Das S. The Psychology of Financial Decision Making: A Case for Theory-Driven Experimental Inquiry. Financial Analysts Journal, Special Issue on Behavioral Finance, 1999, pp. 56–80.
  3. Kantolinskii M.I. [Stock market anomalies: definition and classification]. Vestnik Finansovogo universiteta = Bulletin of Financial University, 2010, no. 2, pp. 25–28. (In Russ.)
  4. Black F. Noise. The Journal of Finance, 1986, vol. 41, iss. 3, pp. 529–543.
  5. Baker K., Nofsinger J. Behavioral Finance: Investors, Corporations, and Markets. Hoboken, New Jersey, John Wiley and Sons, Inc., 2010, 757 p.
  6. Glaser M., Langer T., Reynders J., Weber M. Framing Effects in Stock Market Forecast: the Difference between Asking for Prices and Asking for Returns. Review of Finance, 2007, vol. 11, iss. 2, pp. 325–357.
  7. Shiller R. Irratsional'nyi optimizm: kak bezrassudnoe povedenie upravlyaet rynkami [Irrational Exuberance]. Moscow, Al'pina Pablisher Publ., 2013, 420 p.
  8. Shleifer A., Vishny R. The Limits of Arbitrage. The Journal of Finance, 1997, vol. 52, no. 1, pp. 35–55.
  9. Barberies N., Thaler R. A Survey of Behavioral Finance. In: Handbook of the Economics and Finance: Financial Markets and Asset Pricing. North Holland, 2003, pp. 1053–1128.
  10. Graham B., Dodd D. Analiz tsennykh bumag [Security analysis]. Moscow, Vil'yams Publ., 2012, 880 p.
  11. Damodaran A. Investitsionnaya otsenka: instrumenty i metody otsenki lyubykh aktivov [Investment Valuation: Tools and Techniques for Determining the Value of Any Asset]. Moscow, Al'pina Pablisher Publ., 2011, 1324 p.
  12. Murphy J.J. Tekhnicheskii analiz finansovykh rynkov: polnyi spravochnik po metodam i praktike treidinga [Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications]. Moscow, Vil'yams Publ., 2012, 496 p.
  13. Sarkisyan A.K. [A survey of applicability of technical analysis methods through historical MICEX data]. TERRA ECONOMICUS, 2012, vol. 10, iss. 2-2, pp. 111–114. (In Russ.)
  14. Niederhoffer V., Kenner L. Praktika birzhevykh spekulyatsii [Practical Speculation]. Moscow, Al'pina Pablisher Publ., 2012, 507 p.
  15. Osler C. Identifying Noise Traders: the Head-and-Shoulders Patterns in U.S. Equities. Federal Reserve Bank of New York, 1998. Available at: Link staff_reports/sr42.pdf.
  16. Tweed L. Psikhologiya finansov [Psychology of Finance]. Moscow, Analitika Publ., 2002, 376 p.
  17. Mandelbrot B., Hudson R. (Ne)poslushnye rynki: fraktal'naya revolyutsiya v finansakh [The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin, and Reward]. Moscow, Vil'yams Publ., 2006, 400 p.
  18. Peters E. Khaos i poryadok na rynkakh kapitala. Novyi analiticheskii vzglyad na tsikly, tseny i izmenchivost' rynka [Chaos and Order in the Capital Markets. A New View of Cycles, Prices, and Market Volatility]. Moscow, Mir Publ., 2000, 333 p.
  19. Shorikov A.F., Zenkova S.B. [An issue of using a fractal analysis in the Russian stock market]. Izvestiya Ural'skogo gosudarstvennogo ekonomicheskogo universiteta = Journal of the Ural State University of Economics, 2008, no. 3, pp. 75–79. (In Russ.)
  20. Zinchenko A.V. R/S analiz na fondovom rynke [R/S analysis in the stock market]. Biznes-Informatika = Business Informatics, 2012, no. 3, pp. 24–30. (In Russ.)
  21. Vega T. The Coherent Market Hypothesis. Financial Analysts Journal, 1990, vol. 46, no. 6, pp. 36–49.
  22. Soros G. Alkhimiya finansov [The Alchemy of Finance]. Moscow, INFRA-M Publ., 2001, 416 p.

View all articles of issue

 

ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

Journal current issue

Vol. 17, Iss. 1
March 2024

Archive