Download or read book THE EMPIRICAL FOUNDATIONS OF THE ARBITRAGE PRICING THEORY II THE OPTIMAL CONSTRUCTION OF PORTFOLIOS written by Bruce N. LEHMANN and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Empirical Foundations of the Arbitrage Pricing Theory II written by Bruce Neal Lehmann and published by . This book was released on 1985 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Arbitrage Pricing Theory (APT) of Ross (1976) presumes that a factor model describes security returns. In this paper, we provide a comprehensive examination of the merits of various strategies for constructing basis portfolios that are, in principle, highly correlated with the common factors affecting security returns. Three main conclusions emerge from our study. First, increasing the number of securities included in the analysis dramatically improves basis portfolio performance. Our results indicate that factor models involving 750 securities provide markedly superior performance to those involving 30 or 250 securities. Second, comparatively efficient estimation procedures such as maximum likelihood and restricted maximum likelihood factor analysis(which imposes the APT mean restriction) significantly outperform the less efficient instrumental variables and principal components procedures that have been proposed in the literature. Third, a variant of the usual Fame-MacBeth portfolio formation procedure, which we call the minimum idiosyncratic risk portfolio formation procedure, outperformed the Fama-MacBeth procedure and proved equal toor better than more expensive quadratic programming procedures
Download or read book Essays in Honor of Kenneth J Arrow Volume 3 Uncertainty Information and Communication written by Walter P. Heller and published by Cambridge University Press. This book was released on 1986-09-26 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third in a series of volumes published in honour of Professor Kenneth J. Arrow, each covering a different area of economic theory.
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Download or read book Insurance and Risk Theory written by Marc Goovaerts and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: Canadian financial institutions have been in rapid change in the past five years. In response to these changes, the Department of Finance issued a discussion paper: The Regulation of Canadian Financial Institutions, in April 1985, and the government intends to introduce legislation in the fall. This paper studi.es the combinantion of financial institutions from the viewpoint of ruin probability. In risk theory developed to describe insurance companies [1,2,3,4,5J, the ruin probability of a company with initial reserve (capital) u is 6 1 -:;-7;;f3 u 1jJ(u) = H6 e H6 (1) Here,we assume that claims arrive as a Poisson process, and the claim amount is distributed as exponential distribution with expectation liS. 6 is the loading, i.e., premium charged is (1+6) times expected claims. Financial institutions are treated as "insurance companies": the difference between interest charged and interest paid is regarded as premiums, loan defaults are treated as claims.
Download or read book Finance written by John Eatwell and published by Springer. This book was released on 1989-09-21 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on finance.
Download or read book The Empirical Foundations of the Arbitrage Pricing Theory I written by Bruce Neal Lehmann and published by . This book was released on 1985 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-21 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. - Presents a broad survey of current research - Contributors are leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Download or read book Static Asset pricing Models written by Andrew Wen-Chuan Lo and published by Edward Elgar Publishing. This book was released on 2007 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.
Download or read book An Exact Arbitrage Pricing Model of Capital Assets written by Jin-Chuan Duan and published by . This book was released on 1986 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Indian Economic Journal written by and published by . This book was released on 1994 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Empirical Foundations of the Arbitrage Pricing Theory written by Bruce Neal Lehmann and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The empirical foundations of the arbitrage pricing theory written by Bruce N. Lehmann and published by . This book was released on 1985 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-03-09 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “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.
Download or read book Research Program in Finance Working Paper Series written by and published by . This book was released on 1971 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The C F A Digest written by Institute of Chartered Financial Analysts and published by . This book was released on 1986 with total page 824 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Diversification and Development written by Miklós Koren and published by . This book was released on 2003 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
