Empirical Asset Pricing The Cross Section of Stock Returns.

Detalles Bibliográficos
Autor principal: Bali, Turan G.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Newark : John Wiley & Sons, Incorporated, 2016.
Colección:New York Academy of Sciences Ser.
Temas:
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Intro
  • Title Page
  • Copyright
  • Table of Contents
  • Dedication
  • Preface
  • References
  • Part I: Statistical Methodologies
  • Chapter 1: Preliminaries
  • 1.1 Sample
  • 1.2 Winsorization and Truncation
  • 1.3 Newey and West (1987) Adjustment
  • 1.4 Summary
  • References
  • Chapter 2: Summary Statistics
  • 2.1 Implementation
  • 2.2 Presentation and Interpretation
  • 2.3 Summary
  • Chapter 3: Correlation
  • 3.1 Implementation
  • 3.2 Interpreting Correlations
  • 3.3 Presenting Correlations
  • 3.4 Summary
  • References
  • Chapter 4: Persistence Analysis
  • 4.1 Implementation
  • 4.2 Interpreting Persistence
  • 4.3 Presenting Persistence
  • 4.4 Summary
  • References
  • Chapter 5: Portfolio Analysis
  • 5.1 Univariate Portfolio Analysis
  • 5.2 Bivariate Independent-Sort Analysis
  • 5.3 Bivariate Dependent-Sort Analysis
  • 5.4 Independent Versus Dependent Sort
  • 5.5 Trivariate-Sort Analysis
  • 5.6 Summary
  • References
  • Chapter 6: Fama and Macbeth Regression Analysis
  • 6.1 Implementation
  • 6.2 Interpreting FM Regressions
  • 6.3 Presenting FM Regressions
  • 6.4 Summary
  • References
  • Part II: The Cross Section of Stock Returns
  • Chapter 7: The Crsp Sample and Market Factor
  • 7.1 The U.S. Stock Market
  • 7.2 Stock Returns and Excess Returns
  • 7.3 The Market Factor
  • 7.4 The Capm Risk Model
  • 7.5 Summary
  • References
  • Chapter 8: Beta
  • 8.1 Estimating Beta
  • 8.2 Summary Statistics
  • 8.3 Correlations
  • 8.4 Persistence
  • 8.5 Beta and Stock Returns
  • 8.6 Summary
  • References
  • Chapter 9: The Size Effect
  • 9.1 Calculating Market Capitalization
  • 9.2 Summary Statistics
  • 9.3 Correlations
  • 9.4 Persistence
  • 9.5 Size and Stock Returns
  • 9.6 The Size Factor
  • 9.7 Summary
  • References
  • Chapter 10: The Value Premium
  • 10.1 Calculating Book-to-Market Ratio
  • 10.2 Summary Statistics
  • 10.3 Correlations
  • 10.4 Persistence
  • 10.5 Book-to-Market Ratio and Stock Returns
  • 10.6 The Value Factor
  • 10.7 The Fama and French Three-Factor Model
  • 10.8 Summary
  • References
  • Chapter 11: The Momentum Effect
  • 11.1 Measuring Momentum
  • 11.2 Summary Statistics
  • 11.3 Correlations
  • 11.4 Momentum and Stock Returns
  • 11.5 The Momentum Factor
  • 11.6 The Fama, French, and Carhart Four-Factor Model
  • 11.7 Summary
  • References
  • Chapter 12: Short-Term Reversal
  • 12.1 Measuring Short-Term Reversal
  • 12.2 Summary Statistics
  • 12.3 Correlations
  • 12.4 Reversal and Stock Returns
  • 12.5 Fama-Macbeth Regressions
  • 12.6 The Reversal Factor
  • 12.7 Summary
  • References
  • Chapter 13: Liquidity
  • 13.1 Measuring Liquidity
  • 13.2 Summary Statistics
  • 13.3 Correlations
  • 13.4 Persistence
  • 13.5 Liquidity and Stock Returns
  • 13.6 Liquidity Factors
  • 13.7 Summary
  • References
  • Chapter 14: Skewness
  • 14.1 Measuring Skewness
  • 14.2 Summary Statistics
  • 14.3 Correlations
  • 14.4 Persistence
  • 14.5 Skewness and Stock Returns
  • 14.6 Summary

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