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Author: William F. Sharpe
Publisher: McGraw-Hill Companies
ISBN: 9780071353205
Category : Capital
Languages : en
Pages : 0
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Book Description
"Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author: William F. Sharpe
Publisher: McGraw-Hill Companies
ISBN: 9780071353205
Category : Capital
Languages : en
Pages : 0
Get Book Here
Book Description
"Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
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Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
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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.
Author: Seth Armitage
Publisher: Cambridge University Press
ISBN: 9780521000444
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
A thorough exposition of the theory relating to the cost of capital.
Author: Adam Zaremba
Publisher: Springer
ISBN: 3319915304
Category : Business & Economics
Languages : en
Pages : 325
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Book Description
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Author: Roger J. Grabowski
Publisher: John Wiley & Sons
ISBN: 1119070201
Category : Business & Economics
Languages : en
Pages : 443
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Book Description
The New Standard Source of International Cost of Capital Analysis The 2015 International Valuation Handbook – Guide to Cost of Capital provides data and methodology guidance that will enable the reader to assess risk and develop cost of capital estimates on a global scale, coupled with data exhibits that provide country-level country risk premia (CRPs), Relative Volatility (RV) factors, and equity risk premia (ERPs). The data exhibits can be used to estimate country-level cost of equity capital globally, for up to 188 countries, from the perspective of investors based in up to 55 different countries.* Don't Forget the Semi-annual Update The hardcover 2015 International Valuation Handbook - Guide to Cost of Capital includes international cost of capital data updated December 2014 and March 2015. This critical analysis is updated in a Semi-annual Update with data through June and September 2015 for a full year's coverage. Ensure that you are using the most up-to-date international cost of capital data and information available: add the Semi-annual Update and keep your data library current. For more information about Duff & Phelps valuation data resources published by Wiley, please visit www.wiley.com/go/valuationhandbooks. Also Available 2015 International Valuation Handbook - Industry Cost of Capital 2015 Valuation Handbook - Guide to Cost of Capital 2015 Valuation Handbook - Industry Cost of Capital Key Features Country-level Country Risk Premia (CRPs) for up to 188 countries: The 2015 International Valuation Handbook – Guide to Cost of Capital provides country-level country risk premia for up to 188 countries globally, from the perspective of investors based in up to 55 different countries. CRPs are estimated using the following models: (i) Country Credit Rating Model, and (ii) Country Yield Spread Model. Relative Volatility (RV) Factors for up to 69 countries: The 2015 International Valuation Handbook – Guide to Cost of Capital provides country-level relative volatility factors for up to 69 countries from the perspective of investors in the U.S. and Germany. Relative volatility factors are estimated using the Relative Standard Deviation Model. Equity Risk Premia (ERPs) for 18 countries based in USD and “local” currency: The 2015 International Valuation Handbook – Guide to Cost of Capital provides long-horizon and short-horizon ERP data in USD and “local” currencies. Additional ERP resources include Pablo Fernandez’ survey of ERPs for a variety of counties. *Depending on the estimation model being employed, and data availability. Some models do not include estimates for all countries. The Semi-annual update is (i) optional, and (ii) not sold separately. The Semi-annual Update is delivered in PDF format only.
Author: Frank K. Reilly
Publisher: 中信出版社
ISBN: 9787800735042
Category : Business enterprises
Languages : en
Pages : 1284
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Book Description
本书向您介绍了投资分析与组合管理。
Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260216
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author: Robert A. Haugen
Publisher:
ISBN: 9780132775878
Category : Capital market
Languages : en
Pages : 141
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Book Description
A supplement for junior/senior and graduate level courses in Investments, Behavioral Finance Theory, and related courses. Teach the concepts that expose the inefficiency of capital markets. The New Finance is a comprehensive and organized collection of evidence and arguments that develop a persuasive case for an inefficient, complex and, at times, nearly chaotic stock market. This brief text also shows students how the complexity and uniqueness of investor interactions have important market pricing consequences. The fourth edition includes two new chapters on the real determinants of expected stock returns and the nature of stock volatility that the Financial Crisis of 2008 has exposed.
Author: Wolfgang Bessler
Publisher: Routledge
ISBN: 1317979796
Category : Business & Economics
Languages : en
Pages : 248
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Book Description
This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues. Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.
