Conditional Multifactor Explanation of Return Momentum PDF Download

Author: Xueping Wu
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 60

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Author: Gregory Connor
Publisher: Princeton University Press
ISBN: 1400835291
Category : Business & Economics
Languages : en
Pages : 400

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Book Description
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Author: Compiled by the British Library of Political and Economic Science
Publisher: Routledge
ISBN: 1134340028
Category : Business & Economics
Languages : en
Pages : 676

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Book Description
First published in 1952, the International Bibliography of the Social Sciences (anthropology, economics, political science, and sociology) is well established as a major bibliographic reference for students, researchers and librarians in the social sciences worldwide. Key features * Authority: Rigorous standards are applied to make the IBSS the most authoritative selective bibliography ever produced. Articles and books are selected on merit by some of the world's most expert librarians and academics. *Breadth: today the IBSS covers over 2000 journals - more than any other comparable resource. The latest monograph publications are also included. *International Coverage: the IBSS reviews scholarship published in over 30 languages, including publications from Eastern Europe and the developing world. *User friendly organization: all non-English titles are word sections. Extensive author, subject and place name indexes are provided in both English and French. Place your standing order now for the 2003 volumes of the the IBSS Anthropology: 2002 Vol.48 December 2003: 234x156: Hb: 0-415-32634-6: £195.00 Economics: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32635-4: £195.00 Political Science: 2002 Vol.51 December 2003: 234x156: Hb: 0-415-32636-2: £195.00 Sociology: 2002 Vol.52 December 2003: 234x156: Hb: 0-415-32637-0: £195.00

Author: Dinçer, Hasan
Publisher: IGI Global
ISBN: 1466646365
Category : Business & Economics
Languages : en
Pages : 497

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"This book explores the concept of a global industry through case studies, emerging research, and interdisciplinary perspectives applicable to a variety of fields in banking and finance"--Provided by publisher.

Author: Andrew Ang
Publisher: Oxford University Press, USA
ISBN: 0199959323
Category : Business & Economics
Languages : en
Pages : 717

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Book Description
Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.

Author: Wolfgang Gaul
Publisher: Springer Science & Business Media
ISBN: 3642244653
Category : Computers
Languages : en
Pages : 560

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Book Description
This volume provides approaches and solutions to challenges occurring at the interface of research fields such as data analysis, computer science, operations research, and statistics. It includes theoretically oriented contributions as well as papers from various application areas, where knowledge from different research directions is needed to find the best possible interpretation of data for the underlying problem situations. Beside traditional classification research, the book focuses on current interests in fields such as the analysis of social relationships as well as statistical musicology.

Author: Vasant Naik
Publisher: CFA Institute Research Foundation
ISBN: 1944960155
Category : Business & Economics
Languages : en
Pages : 192

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Author: Jong-Hun Park
Publisher:
ISBN:
Category : Aeronautics, Commercial
Languages : en
Pages : 56

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Book Description
Investigates the effects on air fares, passenger volume, and consumer surplus of four major alliances in North Atlantic aviation markets - British Airways/US Air, Delta/Sabena/Swissair, KLM/Northwest and Lufthansa/United Airlines.

Author: Turan G. Bali
Publisher: John Wiley & Sons
ISBN: 1118589475
Category : Business & Economics
Languages : en
Pages : 512

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Book Description
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Author: Cheng Few Lee
Publisher: World Scientific
ISBN: 9811202400
Category : Business & Economics
Languages : en
Pages : 5053

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Book Description
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.