Author: Ying Jack Chin
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 68
Book Description
Commonality in the Determinants of Expected Stock Returns
Author: Ying Jack Chin
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 68
Book Description
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 68
Book Description
Commonality in the Determinants of Expected Stock Returns
Author: Robert A. Haugen
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Evidence is presented that the determinants of the cross-section of expected stock returns are stable in their identity and influence from period to period and from country to country. The determinants are related to risk, liquidity, price-level, growth potential, and stock price history. Out-of-sample predictions of expected return, using trailing moving average values for the payoffs to these firm characteristics, are strongly and consistently accurate. Moreover, the stocks with higher expected and realized return rates of return are generally and unambiguously of lower risk than stocks with lower returns. Given the nature of the tests, it is highly unlikely that these results may be attributed to bias or data snooping. Consequently, the results seem to reveal a major failure in the Efficient Markets Hypothesis.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Evidence is presented that the determinants of the cross-section of expected stock returns are stable in their identity and influence from period to period and from country to country. The determinants are related to risk, liquidity, price-level, growth potential, and stock price history. Out-of-sample predictions of expected return, using trailing moving average values for the payoffs to these firm characteristics, are strongly and consistently accurate. Moreover, the stocks with higher expected and realized return rates of return are generally and unambiguously of lower risk than stocks with lower returns. Given the nature of the tests, it is highly unlikely that these results may be attributed to bias or data snooping. Consequently, the results seem to reveal a major failure in the Efficient Markets Hypothesis.
An Investigation Into the Cross-sectional Determinants of Expected Stock Returns in the London Stock Exchange
Author: George Leledakis
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 472
Book Description
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 472
Book Description
Perspectives on Equity Indexing
Author: Frank J. Fabozzi, CFA
Publisher: John Wiley & Sons
ISBN: 9781883249823
Category : Business & Economics
Languages : en
Pages : 286
Book Description
This is the second edition of Professional Perspectives on Indexing. Contents include the active versus passive debate, Standard and Poor's U.S. equity indexes, medium and small capitalization indexing, global equity index families, investing in index mutual funds, and more.
Publisher: John Wiley & Sons
ISBN: 9781883249823
Category : Business & Economics
Languages : en
Pages : 286
Book Description
This is the second edition of Professional Perspectives on Indexing. Contents include the active versus passive debate, Standard and Poor's U.S. equity indexes, medium and small capitalization indexing, global equity index families, investing in index mutual funds, and more.
Applied Equity Valuation
Author: T. Daniel Coggin
Publisher: John Wiley & Sons
ISBN: 9781883249519
Category : Business & Economics
Languages : en
Pages : 256
Book Description
Applied Equity Valuation provides comprehensive coverage of the theory and practice of all aspects of valuation, including security valuation in a complex market, bottom-up approach to small capitalization active management, top down/thematic equity management, implementing an integrated quantitative investment process, applying the DDM, value-based equity strategies, market-neutral portfolio management, enhanced indexing, dynamic style allocation, and exploiting global equity pricing anomalies.
Publisher: John Wiley & Sons
ISBN: 9781883249519
Category : Business & Economics
Languages : en
Pages : 256
Book Description
Applied Equity Valuation provides comprehensive coverage of the theory and practice of all aspects of valuation, including security valuation in a complex market, bottom-up approach to small capitalization active management, top down/thematic equity management, implementing an integrated quantitative investment process, applying the DDM, value-based equity strategies, market-neutral portfolio management, enhanced indexing, dynamic style allocation, and exploiting global equity pricing anomalies.
Expected Stock Returns, Risk Premiums, and Volatilities of Economic Factors
Author: Yuming Li
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 184
Book Description
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 184
Book Description
Expected Stock Returns and Variance Risk Premia
Author: Tim Bollerslev
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
Book Description
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
Book Description
Determinants of Common Stock Returns Around Tender Offer Repurchases
Author: James W. Wansley
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 21
Book Description
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 21
Book Description
Liquidity and Asset Prices
Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Macroeconomics and Finance
Author: Rudiger Dornbusch
Publisher:
ISBN:
Category :
Languages : en
Pages : 402
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 402
Book Description