Author: Vinod Chandrashekaran
Publisher:
ISBN:
Category :
Languages : en
Pages : 256

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Author: Mark Britten-Jones
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 330

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Book Description

Author: Thomas B. Fomby
Publisher: Emerald Group Publishing
ISBN: 1784411825
Category : Political Science
Languages : en
Pages : 772

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Book Description
This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.

Author: Cheng Few Lee
Publisher: World Scientific
ISBN: 9814478830
Category : Business & Economics
Languages : en
Pages : 269

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Book Description
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.

Author: Christian Funke
Publisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123

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Book Description
Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.

Author: Amit Goyal
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 374

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Author: Tracy Chevalier
Publisher: Routledge
ISBN: 1135314101
Category : Reference
Languages : en
Pages : 1032

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Book Description
This groundbreaking new source of international scope defines the essay as nonfictional prose texts of between one and 50 pages in length. The more than 500 entries by 275 contributors include entries on nationalities, various categories of essays such as generic (such as sermons, aphorisms), individual major works, notable writers, and periodicals that created a market for essays, and particularly famous or significant essays. The preface details the historical development of the essay, and the alphabetically arranged entries usually include biographical sketch, nationality, era, selected writings list, additional readings, and anthologies

Author: John B. Guerard, Jr.
Publisher: Springer
ISBN: 3319339761
Category : Business & Economics
Languages : en
Pages : 480

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Book Description
This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.

Author: John B. Guerard, Jr.
Publisher: Springer Science & Business Media
ISBN: 0387774394
Category : Business & Economics
Languages : en
Pages : 796

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Book Description
Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Author: Lisa Jardine
Publisher: Cambridge University Press
ISBN: 9780521204941
Category : Biography & Autobiography
Languages : en
Pages : 300

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Book Description
A New York socialite who wasn't interested in fortune or fame? That was Judy Lovin who valued friendship, integrity and her career as a preschool teacher. Then her father's business collapsed, and his most powerful enemy offered to help, but under the condition that Judy would accompany him to a remote Caribbean island as his companion - nothing more. Since it meant so much to her family, Judy agreed. She suspected that he was probably a harmless lonely man. But she was so wrong. She didn't expect to meet a powerful, attractive loner who would stun her senses and capture her heart.