Commonality in the Determinants of Expected Stock Returns PDF Download
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Author: Ying Jack Chin
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 68
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Book Description
Author: Ying Jack Chin
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 68
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Book Description
Author: Robert A. Haugen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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.
Author: George Leledakis
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 472
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Book Description
Author: Frank J. Fabozzi, CFA
Publisher: John Wiley & Sons
ISBN: 9781883249823
Category : Business & Economics
Languages : en
Pages : 286
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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.
Author: T. Daniel Coggin
Publisher: John Wiley & Sons
ISBN: 9781883249519
Category : Business & Economics
Languages : en
Pages : 256
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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.
Author: Yuming Li
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 184
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Book Description
Author: Tim Bollerslev
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
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Book Description
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: James W. Wansley
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 21
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Author: Rudiger Dornbusch
Publisher:
ISBN:
Category :
Languages : en
Pages : 402
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Book Description
